国际金融IFinanceTestBank5.docx

1、国际金融IFinanceTestBank5Chapter 5Currency Derivatives 1. Kalons, Inc. is a U.S.-based MNC that frequently imports raw materials from Canada. Kalons is typically invoiced for these goods in Canadian dollars and is concerned that the Canadian dollar will appreciate in the near future. Which of the follow

2、ing is not an appropriate hedging technique under these circumstances?a.purchase Canadian dollars forward.b.purchase Canadian dollar futures contracts.c.purchase Canadian dollar put options.d.purchase Canadian dollar call options.ANS: C PTS: 1 2. Graylon, Inc., based in Washington, exports products

3、to a German firm and will receive payment of 200,000 in three months. On June 1, the spot rate of the euro was $1.12, and the 3-month forward rate was $1.10. On June 1, Graylon negotiated a forward contract with a bank to sell 200,000 forward in three months. The spot rate of the euro on September 1

4、 is $1.15. Graylon will receive $_ for the euros.a.224,000b.220,000c.200,000d.230,000ANS: BSOLUTION:200,000 $1.10 = $220,000PTS: 1 3. The one-year forward rate of the British pound is quoted at $1.60, and the spot rate of the British pound is quoted at $1.63. The forward _ is _ percent.a.discount; 1

5、.9b.discount; 1.8c.premium; 1.9d.premium; 1.8ANS: BSOLUTION:(F/S) 1 = ($1.60/$1.63) 1 = 1.8 percent.PTS: 1 4. The 90-day forward rate for the euro is $1.07, while the current spot rate of the euro is $1.05. What is the annualized forward premium or discount of the euro?a.1.9 percent discount.b.1.9 p

6、ercent premium.c.7.6 percent premium.d.7.6 percent discount.ANS: CSOLUTION:(F/S) 1 360/90 = 7.6 percent.PTS: 1 5. Thornton, Inc. needs to invest five million Nepalese rupees in its Nepalese subsidiary to support local operations. Thornton would like its subsidiary to repay the rupees in one year. Th

7、ornton would like to engage in a swap transaction. Thus, Thornton would:a.convert the rupees to dollars in the spot market today and convert rupees to dollars in one year at todays forward rate.b.convert the dollars to rupees in the spot market today and convert dollars to rupees in one year at the

8、prevailing spot rate.c.convert the dollars to rupees in the spot market today and convert rupees to dollars in one year at todays forward rate.d.convert the dollars to rupees in the spot market today and convert rupees to dollars in one year at the prevailing spot rate.ANS: C PTS: 1 6. In the U.S.,

9、the typical currency futures contract is based on a currency value in terms of:a.euros.b.U.S. dollars.c.British pounds.d.Canadian dollars.ANS: B PTS: 1 7. Currency futures contracts sold on an exchange:a.contain a commitment to the owner, and are standardized.b.contain a commitment to the owner, and

10、 can be tailored to the desire of the owner.c.contain a right but not a commitment to the owner, and can be tailored to the desire of the owner.d.contain a right but not a commitment to the owner, and are standardized.ANS: A PTS: 1 8. Currency options sold through an options exchange:a.contain a com

11、mitment to the owner, and are standardized.b.contain a commitment to the owner, and can be tailored to the desire of the owner.c.contain a right but not a commitment to the owner, and can be tailored to the desire of the owner.d.contain a right but not a commitment to the owner, and are standardized

12、.ANS: D PTS: 1 9. Currency options are commonly traded through the _ system.a.robotb.Euroc.GLOBEXd.ScopeANS: C PTS: 1 10. Forward contracts:a.contain a commitment to the owner, and are standardized.b.contain a commitment to the owner, and can be tailored to the desire of the owner.c.contain a right

13、but not a commitment to the owner, and can be tailored to the desire of the owner.d.contain a right but not a commitment to the owner, and are standardized.ANS: B PTS: 1 11. Which of the following is the most likely strategy for a U.S. firm that will be receiving Swiss francs in the future and desir

14、es to avoid exchange rate risk (assume the firm has no offsetting position in francs)?a.purchase a call option on francs.b.sell a futures contract on francs.c.obtain a forward contract to purchase francs forward.d.all of the above are appropriate strategies for the scenario described.ANS: B PTS: 1 1

15、2. Which of the following is the most unlikely strategy for a U.S. firm that will be purchasing Swiss francs in the future and desires to avoid exchange rate risk (assume the firm has no offsetting position in francs)?a.purchase a call option on francs.b.obtain a forward contract to purchase francs

16、forward.c.sell a futures contract on francs.d.all of the above are appropriate strategies for the scenario described.ANS: C PTS: 1 13. If your firm expects the euro to substantially depreciate, it could speculate by _ euro call options or _ euros forward in the forward exchange market.a.selling; sel

17、lingb.selling; purchasingc.purchasing; purchasingd.purchasing; sellingANS: A PTS: 1 14. When you own _, there is no obligation on your part; however, when you own _, there is an obligation on your part.a.call options; put optionsb.futures contracts; call optionsc.forward contracts; futures contracts

18、d.put options; forward contractsANS: D PTS: 1 15. The greater the variability of a currency, the _ will be the premium of a call option on this currency, and the _ will be the premium of a put option on this currency, other things equal.a.greater; lowerb.greater; greaterc.lower; greaterd.lower; lowe

19、rANS: B PTS: 1 16. When currency options are not standardized and traded over-the-counter, there is _ liquidity and a _ bid/ask spread.a.less; narrowerb.more; narrowerc.more; widerd.less; widerANS: D PTS: 1 17. The shorter the time to the expiration date for a currency, the _ will be the premium of

20、a call option, and the _ will be the premium of a put option, other things equal.a.greater; greaterb.greater; lowerc.lower; lowerd.lower; greaterANS: C PTS: 1 18. Assume that a speculator purchases a put option on British pounds (with a strike price of $1.50) for $.05 per unit. A pound option repres

21、ents 31,250 units. Assume that at the time of the purchase, the spot rate of the pound is $1.51 and continually rises to $1.62 by the expiration date. The highest net profit possible for the speculator based on the information above is:a.$1,562.50.b.$1,562.50.c.$1,250.00.d.$625.00.ANS: BSOLUTION:The

22、 premium of the option is $.05 (31,250 units) = $1,562.50. Since the option will not be exercised, the net profit is $1,562.50.PTS: 1 19. Which of the following is true?a.The futures market is primarily used by speculators while the forward market is primarily used for hedging.b.The futures market i

23、s primarily used for hedging while the forward market is primarily used for speculating.c.The futures market and the forward market are primarily used for speculating.d.The futures market and the forward market are primarily used for hedging.ANS: A PTS: 1 20. Which of the following is true?a.Most fo

24、rward contracts between firms and banks are for speculative purposes.b.Most future contracts represent a conservative approach by firms to hedge foreign trade.c.The forward contracts offered by banks have maturities for only four possible dates in the future.d.none of the aboveANS: D PTS: 1 21. If y

25、ou expect the euro to depreciate, it would be appropriate to _ for speculative purposes.a.buy a euro call and buy a euro putb.buy a euro call and sell a euro putc.sell a euro call and sell a euro putd.sell a euro call and buy a euro putANS: D PTS: 1 22. If you expect the British pound to appreciate,

26、 you could speculate by _ pound call options or _ pound put options.a.purchasing; sellingb.purchasing; purchasingc.selling; sellingd.selling; purchasingANS: A PTS: 1 23. Which of the following is correct?a.The longer the time to maturity, the less the value of a currency call option, other things eq

27、ual.b.The longer the time to maturity, the less the value of a currency put option, other things equal.c.The higher the spot rate relative to the exercise price, the greater the value of a currency put option, other things equal.d.The lower the exercise price relative to the spot rate, the greater t

28、he value of a currency call option, other things equal.ANS: D PTS: 1 24. Research has found that the options market is:a.efficient before controlling for transaction costs.b.efficient after controlling for transaction costs.c.highly inefficient.d.none of the aboveANS: B PTS: 1 25. Assume no transact

29、ions costs exist for any futures or forward contracts. The price of British pound futures with a settlement date 180 days from now will:a.definitely be above the 180-day forward rate.b.definitely be below the 180-day forward rate.c.be about the same as the 180-day forward rate.d.none of the above; t

30、here is no relation between the futures and forward prices.ANS: C PTS: 1 26. Assume that a currencys spot and future prices are the same, and the currencys interest rate is higher than the U.S. rate. The actions of U.S. investors to lock in this higher foreign return would _ the currencys spot rate and _ the currencys futures price.a.put upward pressure on; put upward pressure onb.put downward pressure on; put upward pressure onc.put upward pressure on; put downward pressure ond.