衍生产品投资(一)
mbp>turistas
(总分48,考试时间90分钟)
swfupload单项选择
competitive
1. Consider a U. S. commercial bank that takes in one-year certificates of deposit(CDs) in its Japan branch, denominated in Japane yen, to fund three-year, fixed-rate loans the bank is making in the U. S. denominated in U. S. dollars. Why would this bank wish to enter into a currency swap? The bank faces the risk that the Japane yen:A. increas in value against the U. S. dollar and the risk that interest rates decrea in Japan. B. decreas in value against the U. S. dollar and the risk that interest rates increa in Japan. C. increas in value against the U. S. dollar and the risk that interest rates increa in Japan.
2. Which of the following describe(s) a hedger?A. An oil refiner who has a large inventory of unleaded gasoline that will not be sold for 3 months takes a SHORT position in unleaded gasoline futures contracts. B. An orange grower will harvest oranges and process them int
o orange juice at the end of next month. He lls (takes a SHORT position in) orange juice futures today. C. All of the above describe hedgers.
3. Macklin Metals has received 80 million pounds sterling. **pany plans to spend $120 million on a project in the United States in 90 days. Macklin inters into a cash ttlement currency forward to exchange the pounds for U. S. dollars at a rate of $1.50 per pound in 90 days. If the exchange rate is $1.61 per pound at the ttlement date, the cash ttlement Macklin will pay or receive is clost to:A. $5.5 million payment. B. $8.8 million payment. C. $5.5 million receipt.
4. A private agreement between two parties to exchange a ries of future cash flows, with at least one of the two ries of cash flows determined by a later outcome, is best characterized as a (n) :A. swap. B. futures contract. C. over-the-counter contingent claim.
5. The price of a 90-day forward contract on a 90-day Treasury bill will be:A. above the current price of a 90-day T-bill. B. above the current price of a 180-day T-bill. C. either
above or below the current price of a 180-day T-bill.
buzy6. Consider a call option expiring in 110 days on a non-dividend-paying stock trading at 27 when the risk-free rate is 6%. The lower bound for a call option with an exerci price of 25 is:A. $2.00. B. $2.44. C. $1.97.
7. Which of the following characteristics about swaps is least accurate? Swaps:A. are custom instruments and involve counterparty risk. B. are highly regulated. C. have no active condary market.北外青少英语网站
8. Which of the following statements about closing a futures position is least accurate?A. Few futures positions are ttled by delivery of cash or asts. B. Except for exchange for physicals (EFP) transactions, futures contracts must be clod on the exchange floor. C. Closing a position through delivery refers exclusively to the physical delivery of goods.
9. Which of the following is NOT considered a reason for using the swaps market? To:A. reduce transactions costs and obtain cheaper financing. B. exploit market inefficiencies. C. maintain privacy.
10. Financial derivatives contribute to **pleteness by allowing traders to do all of the following EXCEPT :A. increa market efficiency through the u of arbitrage. B. hedge positions in other asts and engage in high risk speculation. C. narrow the amount of trading opportunities to a more manageable range.
11. A company is planning on tting up a new financing arrangement where $100 million will be borrowed in order to finance a major expansion into a foreign market. The CFO is concerned that there may be an interest rate decline within the next two months. There is significant concern among the executives of **pany that any delay would riously hamper **pany's chances of gaining a foothold in the new market and feel that it is vital to proceed without delay. The CFO obtains the following quotes from a dealer for an FRA:Dealer Quotes
hypocritical60-Day LIBOR=0.0450
90-Day LIBOR=0.0440
180-Day LIBOR=0.1420
The contract covers a notional principal of $100 million. **pany goes short on the FRA and 90 days later when the contract expires, the 90-day LIBOR rate is 4. 50 percent. What does **pany collect from, or pay to, the dealer?A. **pany pays $24722. B. **pany pays $25000. C. **pany pays $146699.
12. In October, James Knight owned stock in Valerio, Inc. , that was valued at $45 per share. At that time, Knight sold a call option on Valerio with an exerci price of $60 for $1.45. In December, at expiration, the stock is trading at $32. What is Knight's profit (or loss) from his covered call strategy? Knight:A. lost $11.55. B. lost $13.00. C. gained $1.45.
13. Assume the following information relating to a swap agreement.
The swap covers a five-year period and involves annual payments on a $1000000 notional principal amount.
>绯闻女孩大结局>pupils怎么读英语
