衍生产品投资五试题文档格式.docx

衍生产品投资五试题文档格式.docx

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B.Astockwiththesamepriceasanotherhasahigherrateofreturn.

C.Astockwiththesamepriceasanotherhasahigherexpectedrateofreturn.

答案：

A

Anarbitrageopportunityexistswhenacombinationoftwosecuritieswillproduceacertainpayoffinthefuturethatproducesareturnthatisgreaterthantherisk-freerateofinterest.Borrowingattherisklessratetopurchasethepositionwillproduceacertainfutureamountgreaterthantheamountrequiredtorepaytheloan.

2.Whichofthefollowingstatementsaboutthefuturesmarketismostaccurate?

A.Speculatorstradetoreducesomepreexistingriskexposure.

B.Ifatrader'

saccountfallsbelowthemaintenancemarginleveltheyhavethreedaystobringitbackuptothemaintenancemarginlevel.

C.Openinterestisthenumberoffuturescontractsforwhichdeliveryiscurrentlyobligated.

C

Openinterestisthenumberofcontractscurrentlyinexistence.Speculatorstakeriskforreturn.Youmustbringthemarginaccountuptotheinitiallevelbythenextday'

sopening.

3.Toaccountforpositivecashflowsfromtheunderlyingasset,weneedtoadjusttheput-callparityformulaby:

A.addingthefuturevalueofthecashflowstoS.

B.addingthefuturevalueofthecashflowstoX.

C.subtractingthepresentvalueofthecashflowsfromS.

Iftheunderlyingassetusedtoestablishtheput-callparityrelationshipgeneratesacashflowpriortoexpiration,theassetsvaluemustbereducedbythepresentvalueofthecashflowdiscountedattherisk-freerate.

4.Whichofthefollowingstatementsismostaccurate?

A.Forwardcontractsrequirethatbothpartiestothetransactionhaveahighdegreeofcreditworthiness.

B.Forwardcontractsaremarkedtomarketdaily.

C.Futurescontractshavemoredefaultriskthanforwardcontracts.

Forwardcontractsareusuallyprivatetransactionsthatdonothaveanintermediarysuchasaclearinghousetoguaranteeperformancebybothparties.Thistypeoftransactionrequiresahighdegreeofcreditworthinessforbothparties.

5.Anoptionsoldfor$10iscurrentlyin-the-money$5.Iftheunderlyingispricedat$80,whichofthefollowingbestdescribesthatoption?

A.Putoptionwithanexercisepriceof$85.

B.Putoptionwithanexercisepriceof$70.

C.Calloptionwithanexercisepriceof$75.

Acalloptionwithanexercisepriceof$75oraputoptionwithanexercisepriceof$85willbecurrentlyin-the-money$5.

6.AU.S.bankentersintoaplainvanillacurrencyswapwithanotionalprincipalofUS$100m（￡67m）.Ateachsettlementdate,theU.S.bankpaysafixedrateof8percentonthepoundsreceived,andanEnglishbankpaysavariablerateequaltoLondoninterbankofferedrate（LIBOR）ontheU.S.dollarsreceived.Giventhefollowinginformation,whatpaymentismadetowhomattheendofyear2?

TheU.S.bankpays:

A.US$5.5mandtheEnglishbankpays￡5.36m.

B.US$6mandtheEnglishbankpays￡5.36m.

C.￡5.36mandtheEnglishbankpaysUS$5.5m.

TheU.S.bankpays8%fixedon￡67m,whichmakesforanannualpaymentof￡5.36m.

Thevariableratetobeusedattimeperiod2issetattimeperiod1（thearrearsmethod）.

Therefore,theEnglishbankpays5.5%timesUS$100mforapaymentofUS$5.5m.

7.ThemainriskfacedbyanindividualwhoentersintoaforwardcontracttobuytheS&

P500Indexisthat

A.themarketmayrise.

B.themarketmayfall.

C.marketvolatilitymayrise.

B

Ifthemarketfalls,thebuyerofaforwardcontractcouldpaymorefortheindex,asdeterminedbythepricethatwascontractedforattheinceptionofthecontract,thantheindexisworthwhenthecontractmatures.Althoughitispossiblethatariseininterestratescouldcausethemarkettofall,thismightnotalwayshappensandthusisasecondaryconsideration.

8.WhichofthefollowingstatementsmostaccuratelydescribesthedifferencebetweenLIBORandEuribor?

A.LIBORisalendingrate,whileEuriborisaborrowingrate.

B.LIBORisarepresentativeborrowingrateonU.S.dollars,whileEuriborisarepresentativeborrowingrateoneuros.

C.LIBORisaglobalrisk-freerate,whileEuriborisaEuropeanrisk-freerate.

LIBORistherateatwhichLondonbankslenddollarstootherLondonbanks;

EuriboristherateatwhichmajorEuropeanbanksborroweurosfromeachother.

9.Financialderivativesalsoprovideapowerfultoolforlimitingrisksthatindividualsandfirmsfaceintheordinaryconductoftheirbusiness.Thisisanexampleof:

A.tradingefficiency.

B.speculation.

C.riskmanagement.