国际金融IFinanceTestBank5.docx
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国际金融IFinanceTestBank5
Chapter5—CurrencyDerivatives
1.Kalons,Inc.isaU.S.-basedMNCthatfrequentlyimportsrawmaterialsfromCanada.KalonsistypicallyinvoicedforthesegoodsinCanadiandollarsandisconcernedthattheCanadiandollarwillappreciateinthenearfuture.Whichofthefollowingisnotanappropriatehedgingtechniqueunderthesecircumstances?
a.
purchaseCanadiandollarsforward.
b.
purchaseCanadiandollarfuturescontracts.
c.
purchaseCanadiandollarputoptions.
d.
purchaseCanadiandollarcalloptions.
ANS:
CPTS:
1
2.Graylon,Inc.,basedinWashington,exportsproductstoaGermanfirmandwillreceivepaymentof€200,000inthreemonths.OnJune1,thespotrateoftheeurowas$1.12,andthe3-monthforwardratewas$1.10.OnJune1,Graylonnegotiatedaforwardcontractwithabanktosell€200,000forwardinthreemonths.ThespotrateoftheeuroonSeptember1is$1.15.Graylonwillreceive$____fortheeuros.
a.
224,000
b.
220,000
c.
200,000
d.
230,000
ANS:
B
SOLUTION:
€200,000⋅$1.10=$220,000
PTS:
1
3.Theone-yearforwardrateoftheBritishpoundisquotedat$1.60,andthespotrateoftheBritishpoundisquotedat$1.63.Theforward____is____percent.
a.
discount;1.9
b.
discount;1.8
c.
premium;1.9
d.
premium;1.8
ANS:
B
SOLUTION:
（F/S）−1=（$1.60/$1.63）−1=−1.8percent.
PTS:
1
4.The90-dayforwardratefortheeurois$1.07,whilethecurrentspotrateoftheeurois$1.05.Whatistheannualizedforwardpremiumordiscountoftheeuro?
a.
1.9percentdiscount.
b.
1.9percentpremium.
c.
7.6percentpremium.
d.
7.6percentdiscount.
ANS:
C
SOLUTION:
[（F/S）−1]⋅360/90=7.6percent.
PTS:
1
5.Thornton,Inc.needstoinvestfivemillionNepaleserupeesinitsNepalesesubsidiarytosupportlocaloperations.Thorntonwouldlikeitssubsidiarytorepaytherupeesinoneyear.Thorntonwouldliketoengageinaswaptransaction.Thus,Thorntonwould:
a.
converttherupeestodollarsinthespotmarkettodayandconvertrupeestodollarsinoneyearattoday'sforwardrate.
b.
convertthedollarstorupeesinthespotmarkettodayandconvertdollarstorupeesinoneyearattheprevailingspotrate.
c.
convertthedollarstorupeesinthespotmarkettodayandconvertrupeestodollarsinoneyearattoday'sforwardrate.
d.
convertthedollarstorupeesinthespotmarkettodayandconvertrupeestodollarsinoneyearattheprevailingspotrate.
ANS:
CPTS:
1
6.IntheU.S.,thetypicalcurrencyfuturescontractisbasedonacurrencyvalueintermsof:
a.
euros.
b.
U.S.dollars.
c.
Britishpounds.
d.
Canadiandollars.
ANS:
BPTS:
1
7.Currencyfuturescontractssoldonanexchange:
a.
containacommitmenttotheowner,andarestandardized.
b.
containacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.
c.
containarightbutnotacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.
d.
containarightbutnotacommitmenttotheowner,andarestandardized.
ANS:
APTS:
1
8.Currencyoptionssoldthroughanoptionsexchange:
a.
containacommitmenttotheowner,andarestandardized.
b.
containacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.
c.
containarightbutnotacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.
d.
containarightbutnotacommitmenttotheowner,andarestandardized.
ANS:
DPTS:
1
9.Currencyoptionsarecommonlytradedthroughthe____system.
a.
robot
b.
Euro
c.
GLOBEX
d.
Scope
ANS:
CPTS:
1
10.Forwardcontracts:
a.
containacommitmenttotheowner,andarestandardized.
b.
containacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.
c.
containarightbutnotacommitmenttotheowner,andcanbetailoredtothedesireoftheowner.
d.
containarightbutnotacommitmenttotheowner,andarestandardized.
ANS:
BPTS:
1
11.WhichofthefollowingisthemostlikelystrategyforaU.S.firmthatwillbereceivingSwissfrancsinthefutureanddesirestoavoidexchangeraterisk（assumethefirmhasnooffsettingpositioninfrancs）?
a.
purchaseacalloptiononfrancs.
b.
sellafuturescontractonfrancs.
c.
obtainaforwardcontracttopurchasefrancsforward.
d.
alloftheaboveareappropriatestrategiesforthescenariodescribed.
ANS:
BPTS:
1
12.WhichofthefollowingisthemostunlikelystrategyforaU.S.firmthatwillbepurchasingSwissfrancsinthefutureanddesirestoavoidexchangeraterisk（assumethefirmhasnooffsettingpositioninfrancs）?
a.
purchaseacalloptiononfrancs.
b.
obtainaforwardcontracttopurchasefrancsforward.
c.
sellafuturescontractonfrancs.
d.
alloftheaboveareappropriatestrategiesforthescenariodescribed.
ANS:
CPTS:
1
13.Ifyourfirmexpectstheeurotosubstantiallydepreciate,itcouldspeculateby____eurocalloptionsor____eurosforwardintheforwardexchangemarket.
a.
selling;selling
b.
selling;purchasing
c.
purchasing;purchasing
d.
purchasing;selling
ANS:
APTS:
1
14.Whenyouown____,thereisnoobligationonyourpart;however,whenyouown____,thereisanobligationonyourpart.
a.
calloptions;putoptions
b.
futurescontracts;calloptions
c.
forwardcontracts;futurescontracts
d.
putoptions;forwardcontracts
ANS:
DPTS:
1
15.Thegreaterthevariabilityofacurrency,the____willbethepremiumofacalloptiononthiscurrency,andthe____willbethepremiumofaputoptiononthiscurrency,otherthingsequal.
a.
greater;lower
b.
greater;greater
c.
lower;greater
d.
lower;lower
ANS:
BPTS:
1
16.Whencurrencyoptionsarenotstandardizedandtradedover-the-counter,thereis____liquidityanda____bid/askspread.
a.
less;narrower
b.
more;narrower
c.
more;wider
d.
less;wider
ANS:
DPTS:
1
17.Theshorterthetimetotheexpirationdateforacurrency,the____willbethepremiumofacalloption,andthe____willbethepremiumofaputoption,otherthingsequal.
a.
greater;greater
b.
greater;lower
c.
lower;lower
d.
lower;greater
ANS:
CPTS:
1
18.AssumethataspeculatorpurchasesaputoptiononBritishpounds（withastrikepriceof$1.50）for$.05perunit.Apoundoptionrepresents31,250units.Assumethatatthetimeofthepurchase,thespotrateofthepoundis$1.51andcontinuallyrisesto$1.62bytheexpirationdate.Thehighestnetprofitpossibleforthespeculatorbasedontheinformationaboveis:
a.
$1,562.50.
b.
−$1,562.50.
c.
−$1,250.00.
d.
−$625.00.
ANS:
B
SOLUTION:
Thepremiumoftheoptionis$.05⋅（31,250units）=$1,562.50.Sincetheoptionwillnotbeexercised,thenetprofitis−$1,562.50.
PTS:
1
19.Whichofthefollowingistrue?
a.
Thefuturesmarketisprimarilyusedbyspeculatorswhiletheforwardmarketisprimarilyusedforhedging.
b.
Thefuturesmarketisprimarilyusedforhedgingwhiletheforwardmarketisprimarilyusedforspeculating.
c.
Thefuturesmarketandtheforwardmarketareprimarilyusedforspeculating.
d.
Thefuturesmarketandtheforwardmarketareprimarilyusedforhedging.
ANS:
APTS:
1
20.Whichofthefollowingistrue?
a.
Mostforwardcontractsbetweenfirmsandbanksareforspeculativepurposes.
b.
Mostfuturecontractsrepresentaconservativeapproachbyfirmstohedgeforeigntrade.
c.
Theforwardcontractsofferedbybankshavematuritiesforonlyfourpossibledatesinthefuture.
d.
noneoftheabove
ANS:
DPTS:
1
21.Ifyouexpecttheeurotodepreciate,itwouldbeappropriateto____forspeculativepurposes.
a.
buyaeurocallandbuyaeuroput
b.
buyaeurocallandsellaeuroput
c.
sellaeurocallandsellaeuroput
d.
sellaeurocallandbuyaeuroput
ANS:
DPTS:
1
22.IfyouexpecttheBritishpoundtoappreciate,youcouldspeculateby____poundcalloptionsor____poundputoptions.
a.
purchasing;selling
b.
purchasing;purchasing
c.
selling;selling
d.
selling;purchasing
ANS:
APTS:
1
23.Whichofthefollowingiscorrect?
a.
Thelongerthetimetomaturity,thelessthevalueofacurrencycalloption,otherthingsequal.
b.
Thelongerthetimetomaturity,thelessthevalueofacurrencyputoption,otherthingsequal.
c.
Thehigherthespotraterelativetotheexerciseprice,thegreaterthevalueofacurrencyputoption,otherthingsequal.
d.
Thelowertheexercisepricerelativetothespotrate,thegreaterthevalueofacurrencycalloption,otherthingsequal.
ANS:
DPTS:
1
24.Researchhasfoundthattheoptionsmarketis:
a.
efficientbeforecontrollingfortransactioncosts.
b.
efficientaftercontrollingfortransactioncosts.
c.
highlyinefficient.
d.
noneoftheabove
ANS:
BPTS:
1
25.Assumenotransactionscostsexistforanyfuturesorforwardcontracts.ThepriceofBritishpoundfutureswithasettlementdate180daysfromnowwill:
a.
definitelybeabovethe180-dayforwardrate.
b.
definitelybebelowthe180-dayforwardrate.
c.
beaboutthesameasthe180-dayforwardrate.
d.
noneoftheabove;thereisnorelationbetweenthefuturesandforwardprices.
ANS:
CPTS:
1
26.Assumethatacurrency'sspotandfuturepricesarethesame,andthecurrency'sinterestrateishigherthantheU.S.rate.TheactionsofU.S.investorstolockinthishigherforeignreturnwould____thecurrency'sspotrateand____thecurrency'sfuturesprice.
a.
putupwardpressureon;putupwardpressureon
b.
putdownwardpressureon;putupwardpressureon
c.
putupwardpressureon;putdownwardpressureon
d.
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