第七章外汇期货题库1-2-10
第七章外汇期货与外汇期权
Lecture10(Chapter 07)Futures and Options on Foreign Exchange外汇期货与期权1. A put option on $15,000 with a strike price of €10,000 is the same thing as a call option on €10,000 with a strike price of $15,000.TRUE2. A CME contract on €125,000 with Septe mber delivery 交货A. is an example of a forward contract.B. is an example of a futures contract.C. is an example of a put option.D. is an example of a call option.3. Yesterday, you entered into a futures contract to buy €62,500 at $1.50 per €. Suppose t he futures price closes today at $1.46. How much have you made/lost?A. Depends on your margin balance.B. You have made $2,500.00.C. You have lost $2,500.00.D. You have neither made nor lost money, yet.4. In reference to the futures market, a "speculator"A. attempts to profit from a change in the futures priceB. wants to avoid price variation by locking in a purchase price of the underlying asset through a long position in the futures contract or a sales price through a short position in the futures contractC. stands ready to buy or sell contracts in unlimited quantityD. both b) and c)5. Comparing "forward" and "futures" exchange contracts, we can say thatA. they are both "marked-to-market" daily.B. their major difference is in the way the underlying asset is priced for future purchase or sale: futures settle daily and forwards settle at maturity.C. a futures contract is negotiated by open outcry between floor brokers or traders and is traded on organized exchanges, while forward contract is tailor-made by an international bank for its clients and is traded OTC.D. both b) and c)Topic: Futures Contracts: Some Preliminaries6. Comparing "forward"远期合约 and "futures"期货合约 exchange contracts, we can say thatA. delivery of the underlying asset is seldom made in futures contracts.B. delivery of the underlying asset is usually made in forward contracts.C. delivery of the underlying asset is seldom made in either contract—they are typically cash settled at maturity.D. both a) and b)E. both a) and c)7. In which market does a clearinghouse serve as a third party to all transactions?A. FuturesB. ForwardsC. SwapsD. None of the above8. In the event of a default on one side of a futures trade,A. the clearing member stands in for the defaulting party. 结算会员代表为违约方B. the clearing member will seek restitution for the defaulting party.寻求赔偿C. if the default is on the short side, a randomly selected long contract will not get paid. That party will then have standing to initiate a civil suit against the defaulting short.D. both a) and b)9. Yesterday, you entered into a futures contract to buy €62,500 at $1.50 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted? 题目的意思是，初始保证金余额１５００，维持保证金水平为５００，当汇率在哪个水平上，客户需要追加保证金？,A.$1.5160 per €.B.$1.208 per €.C.$1.1920 per €.D.$1.4840 per €.10. Yesterday, you entered into a futures contract to sell €62,500 at $1.50 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted?A.$1.5160 per €.B.$1.208 per €.C.$1.1920 per €.D.$1.1840 per €.11. Yesterday, you entered into a futures contract to buy €62,500 at$1.50/€. Your initial margin was $3,750 (= 0.04 ⨯€62,500 ⨯$1.50/€ = 4 percent of the contract value in dollars). Your maintenance margin is $2,000 (meaning that your broker leaves you alone until your account balance falls to $2,000). At what settle price (use 4 decimal places) do you get a margin call?A.$1.4720/€６２５００×（１．５－？）＝３７５０－２０００B.$1.5280/€C.$1.500/€D. None of the above12. Three days ago, you entered into a futures contract to sell €62,500 at $1.50 per €. Over the past three days the contract has settled at $1.50, $1.52, and $1.54. How much have you made or lost?A.Lost $0.04 per € or $2,500B.Made $0.04 per € or $2,500C.Lost $0.06 per € or $3,750D. None of the above13. Today's settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days' settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME Yen contract is ¥12,500,000). If you have a short position 空头in one futures contract, the changes in the margin account from daily marking-to-market will result in the balance of the margin account after the third day to be 日元贬值，赚钱A. $1,425.B. $2,000.C. $2,325.＝（０．８０１１－０．７９８５）×１２５０００＋２０００D. $3,425.14. Today's settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days' settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME Yen contract is ¥12,500,000). If you have a long position 多头in one futures contract, the changes in the margin account from daily marking-to-market, will result in the balance of the margin account after the third day to be 日元贬值，亏钱A. $1,425.B. $1,675.C. $2,000.D. $3,425.Topic: Currency Futures Markets15. Suppose the futures price is below the price predicted by IRP. What steps would assure an arbitrage profit?A. Go short in the spot market, go long in the futures contract.B. Go long in the spot market, go short in the futures contract.C. Go short in the spot market, go short in the futures contract.D. Go long in the spot market, go long in the futures contract.16. What paradigm is used to define the futures price?A. IRP利率平价B. Hedge RatioC. Black ScholesD. Risk Neutral Valuation17. Suppose you observe the following 1-year interest rates, spot exchange rates and futures prices. Futures contracts are available on €10,000. How much risk-free arbitrage profit could you make on 1 contract at maturity from this mispricing?A. $159.22Ｆ＝１．４５×１．０４／１．０３＝１．４６４１B. $153.10（１．４８－１．４６４１）×１００００＝４５９C. $439.42D. None of the aboveThe futures price of $1.48/€ is above the IRP futures price of $1.4641/€, so we want to sel l (i.e. take a short position in 1 futures contract on €10,000, agreeing to sell €10,000 in 1 year for $14,800).Profit =To hedge, we borrow $14,077.67 today at 4%, convert to euro at the spot rate of $1.45/€, invest at 3%. At maturity, our investme nt matures and pays €10,000, which we sell for $14,800, and then we repay our dollar borrowing with $14,640.78. Our risk-free profit = $159.22 = $14,800 - $14,640.7818. Which equation is used to define the futures price?A.B.C.D.19. Which equation is used to define the futures price? A.B.C.D.E.Topic: Currency Futures Markets20. If a currency futures contract (direct quote) is priced below the price implied by Interest Rate Parity (IRP), arbitrageurs could take advantage of the mispricing by simultaneouslyA. going short in the futures contract, borrowing in the domestic currency, and going long in the foreign currency in the spot market.B. going short in the futures contract, lending in the domestic currency, and going long in the foreign currency in the spot market.C. going long in the futures contract, borrowing in the domestic currency, and going short in the foreign currency in the spot market.D. going long in the futures contract, borrowing in the foreign currency, and going long in the domestic currency, investing the proceeds at the local rate of interest.21. Open interest in currency futures contractsA. tends to be greatest for the near-term contracts.B. tends to be greatest for the longer-term contracts.C. typically decreases with the term to maturity of most futures contracts.D. both a) and c)22. The "open interest" shown in currency futures quotations isA. the total number of people indicating interest in buying the contracts in the near future.B. the total number of people indicating interest in selling the contracts in the near future.C. the total number of people indicating interest in buying or selling the contracts in the near future.D. the total number of long or short contracts outstanding for the particular delivery month.23. If you think that the dollar is going to appreciate against the euro, you shouldA. buy put options on the euro.B. sell call options on the euro.卖出欧元看涨权C. buy call options on the euro.D. none of the above24. From the perspective of the writer 卖家of a put option 看跌期权written on €62,500. If the s trike price执行价格 i s $1.55/€, and the option premium is $1,875, at what exchange rate do you start to lose money?A.$1.52/€B.$1.55/€C.$1.58/€D. None of the above25. A European option is different from an American option in thatA. one is traded in Europe and one in traded in the United States.B. European options can only be exercised at maturity; American options can be exercised prior to maturity.C. European options tend to be worth more than American options, ceteris paribus.D. American options have a fixed exercise price; European options' exercise price is set at the average price of the underlying asset during the life of the option.26. An "option" isA. a contract giving the seller (writer) of the option the right, but not the obligation, to buy (call) or sell (put) a given quantity of an asset at a specified price at some time in the future.B. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (call) or sell (put) a given quantity of an asset at a specified price at some time in the future.C. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (put) or sell (call) a given quantity of an asset at a specified price at some time in the future.D. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (put) or sell (sell) a given quantity of an asset at a specified price at some time in the future.27. An investor believes that the price of a stock, say IBM's shares, will increase in the next 60 days. If the investor is correct, which combination of the following investment strategies will show a profit in all the choices?(i) - buy the stock and hold it for 60 days(ii) - buy a put option(iii) - sell (write) a call option(iv) - buy a call option(v) - sell (write) a put optionA. (i), (ii), and (iii)B. (i), (ii), and (iv)C. (i), (iv), and (v)D. (ii) and (iii)28. Most exchange traded currency optionsA. mature every month, with daily resettlement.B. have original maturities of 1, 2, and 3 years.C. have original maturities of 3, 6, 9, and 12 months.D. mature every month, without daily resettlement.29. The volume of OTC currency options trading isA. much smaller than that of organized-exchange currency option trading.B. much larger than that of organized-exchange currency option trading.C. larger, because the exchanges are only repackaging OTC options for their customers.D. none of the above30. In the CURRENCY TRADING section of The Wall Street Journal, the following appeared under the heading OPTIONS:Which combination of the following statements are true?(i)- The time values of the 68 May and 69 May put options are respectively .30 cents and .50 cents.(ii)- The 68 May put option has a lower time value (price) than the 69 May put option.(iii)- If everything else is kept constant, the spot price and the put premium are inversely related. (iv)- The time values of the 68 May and 69 May put options are, respectively, 1.63 cents and 0.83 cents.(v)- If everything else is kept constant, the strike price and the put premium are inversely related.A. (i), (ii), and (iii)B. (ii), (iii), and (iv)C. (iii) and (iv)D. ( iv) and (v)31. With currency futures options the underlying asset isA. foreign currency.B. a call or put option written on foreign currency.C. a futures contract on the foreign currency.D. none of the above32. Exercise of a currency futures option results inA. a long futures position for the call buyer or put writer.B. a short futures position for the call buyer or put writer.C. a long futures position for the put buyer or call writer.D. a short futures position for the call buyer or put buyer.33. A currency futures option amounts to a derivative on a derivative. Why would something like that exist?A. For some assets, the futures contract can have lower transactions costs and greater liquidity than the underlying asset. 标的资产B. Tax consequences matter as well, and for some users an option contract on a future is more tax efficient.C. Transactions costs and liquidity.D. All of the above34. The current spot exchange rate目前即期汇率is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consi der a three-month American call option on €62,500. For this option to be considered at-the-money, the strike price must beA.$1.60 = €1.00B.$1.55 = €1.00C. $1.55 ⨯ (1+i$)3/12= €1.00 ⨯ (1+i€)3/12D. none of the above35. The current spot exchange rate is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.50 = €1.00. Immediate exercise of this option will generate a profit ofA. $6,125B. $6,125/(1+i$)3/12C. negative profit, so exercise would not occurD. $3,12536. The current spot exchange rate is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.50 = €1.00. If you pay an option premium of $5,000 to buy this call, at what exchange rate will you break-even?A.$1.58 = €1.00B.$1.62 = €1.00C.$1.50 = €1.00D.$1.68 = €1.0037. Consider the graph of a call option shown at right. The option is a three-month American call option on €62,500 with a strike price of $1.50 = €1.00 and an option premium of $3,125. What are the values of A, B, and C, respectively?A. A = -$3,125 (or -$.05 depending on your scale); B = $1.50; C = $1.55B. A = -€3,750 (or -€.06 depend ing on your scale); B = $1.50; C = $1.55C. A = -$.05; B = $1.55; C = $1.60D. none of the above38. Which of the lines is a graph of the profit at maturity of writing a call option on €62,500 with a strike price of $1.20 = €1.00 and an option premium of $3,125?A. AB. BC. CD. D39. The current spot exchange rate is $1.55 = €1.00; the three-month U.S. dollar interest rate is 2%. Consider a three-month American call option on €62,500 with a strike price of $1.50 =€1.00. What is the least that this option should sell for?A. $0.05 62,500 = $3,125B. $3,125/1.02 = $3,063.73C. $0.00D. none of the above40. Which of the follow options strategies are consistent in their belief about the future behavior of the underlying asset price?A. Selling calls and selling putsB. Buying calls and buying putsC. Buying calls and selling putsD. None of the aboveTopic: American Option-Pricing Relationships41. American call and put premiumsA. should be at least as large as their intrinsic value. 内在价值B. should be at no larger than their moneyness.C. should be exactly equal to their time value.D. should be no larger than their speculative value.42. Which of the following is correct?A. Time value = intrinsic value + option premiumB. Intrinsic value = option premium + time valueC. Option premium = intrinsic value - time valueD. Option premium = intrinsic value + time value43. Which of the following is correct?A. European options can be exercised early.B. American options can be exercised early.C. Asian options can be exercised early.D. All of the above44. Assume that the dollar-euro spot rate is $1.28 and the six-month forward rateis . The six-month U.S. dollar rate is 5% and the Eurodollar rate is 4%. The minimum price that a six-month American call option with a striking price of $1.25 should sell for in a rational market isA. 0 centsB. 3.47 centsC. 3.55 centsD. 3 cents45. For European options, what of the effect of an increase in S t?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus46. For an American call option, A and B in the graph areA. time value and intrinsic value.B. intrinsic value and time value.C. in-the-money and out-of-the money.D. none of the above47. For European options, what of the effect of an increase in the strike price E?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus48. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in r$ relative to r€?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus49. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in r$?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribusTopic: European Option-Pricing Relationships50. For European currency options written on euro with a strike price in dollars, what of the effect of an increase r€?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus51. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in the exchange rate S($/€)?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus52. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in the exchange rate S(€/$)?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus53. The hedge ratioA. Is the size of the long (short) position the investor must have in the underlying asset per option the investor must write (buy) to have a risk-free offsetting investment that will result in the investor perfectly hedging the option.B.C. Is related to the number of options that an investor can write without unlimited loss while holding a certain amount of the underlying asset.D. All of the above54. Find the value of a call option written on €100 with a strike price of $1.00 = €1.00. In one period there are two possibilities: the exchange rate will move up by 15% or down by 15% (i.e. $1.15 = €1.00 or $0.85 = €1.00). The U.S. risk-free rate is 5% over the period. The risk-neutral probability of dollar depreciation is 2/3 and the risk-neutral probability of the dollar strengthening is 1/3.A. $9.5238B. $0.0952C. $0D. $3.174655. Use the binomial option pricing model to find the value of a call option on £10,000 with a strike price of €12,500.The current exchange rate is €1.50/£1.00 and in the next period the exchange rate can increase to €2.40/£ or decrease to €0.9375/€1.00 (i.e. u = 1.6 and d = 1/u = 0.625).The current interest rates are i€ = 3% and are i£ = 4%.Choose the answer closest to yours.A.€3,275B.€2,500C.€3,373D.€3,24356. Find the hedge ratio for a call option on £10,000 with a strike price of €12,500.The current exchange rate is €1.50/£1.00 and in the next period the exchange rate can increase to €2.40/£ or decrease to €0.9375/€1.00 (i.e. u = 1.6 and d = 1/u = 0.625).The current interest rates are i€ = 3% and are i£ = 4%.Choose the answer closest to yours.A. 5/9B. 8/13C. 2/3D. 3/8E. None of the above57. You have written a call option on £10,000 with a strike price of $20,000. The current exchange rate is $2.00/£1.00 and in the next period the exchange rate can increase to$4.00/£1.00 or decrease to $1.00/€1.00 (i.e. u = 2 and d = 1/u = 0. 5). The current interest rates are i$ = 3% and are i£ = 2%. Find the hedge ratio and use it to create a position in the underlying asset that will hedge your option position.A. Buy £10,000 today at $2.00/£1.00.B. Enter into a short position in a futures contract on £6,666.67.C. Lend the present value of £6,666.67 today at i£ = 2%.D. Enter into a long position in a futures contract on £6,666.67.E. Both c) and d) would workF. None of the above58. Draw the tree for a put option on $20,000 with a strike price of £10,000. The current exchange rate is £1.00 = $2.00 and in one period the dollar value of the pound will either double or be cut in half. The current interest rates are i$ = 3% and are i£ = 2%.A.B.C. None of the above59. Draw the tree for a call option on $20,000 with a strike price of £10,000. The current exchange rate is £1.00 = $2.00 and in one period the dollar value of the pound will either double or be cut in half. The current interest rates are i$ = 3% and are i£ = 2%.A.B.C. None of the above60. Find the hedge ratio for a put option on $15,000 with a strike price of €10,000. In one period the exchange rate (currently S($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e.u = 1.6 and d = 0.625).A. -15/49B. 5/13C. 3/2D. 15/4961. Find the hedge ratio for a put option on €10,000 with a strike price of $15,000. In one period the exchange rate (currently S($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625).A. -15/49B. 8/13C. -5/13D. 15/4962. Find the dollar value today of a 1-period at-the-money call option on €10,000. The spot exchange rate is €1.00 = $1.25. In the next period, the euro can increase in dollar value to $2.00 or fall to $1.00. The interest rate in dollars is i$ = 27.50%; the interest rate in euro is i€ = 2%.A. $3,308.82B. $0C. $3,294.12D. $4,218.7563. Suppose that you have written a call option on €10,000 with a strike price in dollars. Suppose further that the hedge ratio is ½. Which of the following would be an appropriate hedge for a short position in this call option?A.Buy €10,000 today at today's spot exchange rate.B.Buy €5,000 today at today's spot exchange rate.C.Agree to buy €5,000 at the maturity of the option at the forward exchange rate for the maturity of the option that prevails today (i.e., go long i n a forward contract on €5,000).D.Buy the present value of €5,000 discounted at i€ for the maturity of the option.E. Both c) and d) would work.F. None of the above64. Find the value of a one-year put option on $15,000 with a strike price of €10,000. I n one year the exchange rate (currently S0($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625). The current one-year interest rate in the U.S. is i$ = 4% and the current one-year interest rate in the euro zone is i€ = 4%.A.€1,525.52B. $3,328.40C. $4,992.60D.€2,218.94E. None of the above65. Find the value of a one-year call option on €10,000 with a strike price of $15,000. In one year the exchange rate (currently S0($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625). The current one-year interest rate in the U.S. is i$ = 4% and the current one-year interest rate in the euro zone is i€ = 4%.A.€1,525.52B. $3,328.40C. $4,992.60D.€2,218.94E. None of the above66. Consider a 1-year call option written on £10,000 with an exercise price of $2.00 = £1.00. The current exchange rate is $2.00 = £1.00; The U.S. risk-free rate is 5% over the period and the U.K. risk-free rate is also 5%. In the next year, the pound will either double in dollar terms or fall by half (i.e. u = 2 and d = ½). If you write 1 call option, what is the value today (in dollars) of the hedge portfolio?A. £6,666.67B. £6,349.21C. $12,698.41D. $20,000E. None of the above67. Value a 1-year call option written on £10,000 with an exercise price of $2.00 = £1.00. The spot exchange rate is $2.00 = £1.00; The U.S. risk-free rate is 5% and the U.K. risk-free rate is also 5%. In the next year, the pound will either double in dollar terms or fall by half (i.e. u = 2 and d = ½). Hint: H= ⅔.A. $6,349.21B.C.D. None of the aboveTopic: Binomial Option-Pricing Model68. Which of the following is correct?A. The value (in dollars) of a call option on £5,000 with a strike price of $10,000 is equal to the value (in dollars) of a put option on $10,000 with a strike price of £5,000 only when the spot exchange rate is $2 = £1.B. The value (in dollars) of a call option on £5,000 with a strike price of $10,000 is equal to the value (in dollars) of a put option on $10,000 with a strike price of £5,000.69. Find the input d1 of the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent.A.d1 = 0.103915B.d1 = 2.9871C.d1 = -0.0283D. none of the above70. Find the input d1 of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r$ = 5.5% and r¥ = 6%.A.d1 = 0.074246B.d1 = 0.005982C.d1 = $0.006137/¥D. None of the above71. The Black-Scholes option pricing formulaeA. are used widely in practice, especially by international banks in trading OTC options.B. are not widely used outside of the academic world.C. work well enough, but are not used in the real world because no one has the time to flog their calculator for five minutes on the trading floor.D. none of the above72. Find the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is10.7 percent.A.C e = $0.63577B.C e = $0.0998C.C e = $1.6331D. none of the aboveINSTRUCTOR NOTE: YOU WILL HAVE TO PROVIDE YOUR STUDENTS WITH A TABLE OF THE NORMAL DISTRIBUTION.。
外汇期货复习题的答案
外汇期货复习题的答案一、单项选择题1. 外汇期货合约的交割方式是（C）。
A. 现金交割B. 现货交割C. 物理交割D. 期权交割答案：A2. 外汇期货合约的最小变动单位是（B）。
A. 0.01B. 0.0001C. 0.001D. 0.1答案：B3. 外汇期货合约的交易时间是（D）。
A. 周一至周五B. 周一至周四C. 周二至周五D. 全天24小时答案：D二、多项选择题1. 外汇期货的主要功能包括（ABC）。
A. 套期保值B. 投机C. 套利D. 投资答案：ABC2. 影响外汇期货价格的因素有（ABD）。
A. 利率差异B. 经济数据C. 政治因素D. 市场预期答案：ABD三、判断题1. 外汇期货合约的交割日是固定的。
（对）2. 外汇期货合约可以用于对冲汇率风险。
（对）3. 外汇期货合约的交易只能在交易所内进行。
（错）四、简答题1. 简述外汇期货合约的定义。
外汇期货合约是指在期货交易所内，买卖双方约定在未来某一特定日期，按照事先确定的汇率买卖一定数量的外币的标准化合约。
2. 外汇期货合约的主要参与者有哪些？外汇期货合约的主要参与者包括套期保值者、投机者、套利者和对冲基金等。
五、计算题1. 假设某投资者持有100万美元，预期未来3个月美元对欧元汇率将下跌，他决定通过外汇期货合约进行对冲。
当前美元对欧元的即期汇率为1.2000，期货合约的交割月份为3个月后，期货价格为1.2050。
请计算该投资者购买多少份外汇期货合约进行对冲，并计算对冲成本。
解：投资者需要购买的合约数量为100万美元 / (1.2050 * 10万欧元/合约) = 83.33合约（向上取整为84合约）。
对冲成本为84合约 * (1.2050 - 1.2000) * 10万欧元/合约 = 4200欧元。
六、论述题1. 论述外汇期货合约在国际贸易中的作用。
外汇期货合约在国际贸易中主要起到对冲汇率风险的作用。
通过购买或卖出与未来交易金额相等的外汇期货合约，企业可以锁定未来汇率，从而避免因汇率波动带来的损失。
外汇期货复习题及答案
外汇期货复习题及答案一、单选题1、外汇期货价格与外汇即期汇率的变动方向（）。
A、基本一致B、完全一致C、基本反向D、完全反向2、除了（）外，外汇期货合约对所有交易要素都作了规范化、标准化的处理。
A、交易币种B、合约价格C、报价方法D、保证金数额3、盯市制即期货市场按每个交易日的（）计算当日客户的损益并计入保证金帐户的做法。
A、结算价B、交易价C、起算价D、确定价4、某美国出口商，3个月后将收回62500GBP，这时我们称其拥有英镑的（）。
如果用期货交易进行保值，则应在期货市场上（）。
A、空头，买入1张英镑合约B、多头，买入1张英镑合约C、空头，卖出1张英镑合约D、多头，卖出1张英镑合约5、某美国进口商，3个月后将支付125，000GBP，这时我们称其拥有英镑的（）。
如果用期货交易进行保值，则应在期货市场上( )A、空头，买入2张英镑合约B、多头，买入2张英镑合约C、空头，卖出2张英镑合约 D 、多头，卖出2张英镑合约6．外币的期货交易一般都要做（）A．实际的交割业务 B．不做实际的交割业务C．进行对冲交易 D．不进行对冲交易7．在芝加哥商业交易所中，1张投机欧元期货合约的最小变动价位是( )。
A．0.0001 B．0.000001 C．0.0002 D．0.0000258.外汇期货交易是按照成交单位与交割时间由（）原则来进行的。
A．交易所确定的标准化 B．买卖双方共同确定的 C．买方确定的 D．卖方确定的9.外汇期货交易中的卖出套期保值交易，是指对外（）的人为了防止将来外汇汇率下跌而蒙受损失，在外汇期货市场上做（）的交易，以便用期货交易与现货市场的对冲来规避汇率风险，达到保值的目的。
A．负有债权，先卖后买 B．负有债务，先卖后买C．负有债权，先买后卖 D．负有债务，先买后卖10. 沪深300股指期货限价指令每次最大下单数量为（）手A.50B.100C.20011. 2010年6月3日（周四），中国金融期货交易所可供交易的沪深300股指期货合约应该有（）。
外汇期货答案
1（单选题）以下属于场内交易的外汇衍生品是（）。
A外汇期货2（单选题）将1个单位或100个单位的外国货币折算为一定数额的本国货币，该标价方法是（）。
D直接标价法3（单选题）买入或卖出即期外汇的同时在远期市场进行方向相反但数量相等的外汇交易，是（ )。
C外汇掉期4（多选题）狭义的外汇主要包括以外币表示（）。
A银行汇票B银行支票C银行存款1（多选题）关于购买力平价理论与利率平价理论的区别，描述正确的是（）。
A前者强调汇率与商品市场的关系，后者强调汇率与金融市场的关系C前者对于汇率长期变化有较强解释力2（多选题）影响购买力平价理论对汇率变动解释力的因素有（）。
现实中存在运输费用和贸易管制会限制套利活动B非贸易品在很大程度上是不能套利的C现实中的产品存在差异性，使同类商品之间难以进行价格上的比较，给套利带来难度D不同国家衡量物价水平使用的统计口径和方法存在差异，因此汇率变动不可能抵消官方统计的通货膨胀差异3（单选题）购买力平价理论认为两国货币的汇率等于（）。
D两国价格水平之比4（单选题）根据购买力平价理论，当一国物价水平相对其他国家而言大幅上涨时，则该国货币应（）。
B贬值5（单选题）根据利率平价理论，如果本国利率大于外国利率，则预期未来该国货币将（）。
B贬值6（单选题）假设1年期美元债券利率1％，同时期英国为3%，假设即期美元与英镑的汇率为1英镑兑1.6美元，根据利率平价理论，1年期的远期汇率应是（）。
A1英镑兑1.5689美元1（单选题）当某进口商在未来某一时间需要以外币支付支付进口商品货款时，为了防范汇率变动风险，可利用外汇期货进行（）。
B多头套期保值2（多选题）外汇空头套期保值适用的情形有（）。
A在未来某一时间收到外币标价的货款B在未来某一时间收到外币标价本金和利息的贷款人D持有外币资产3（多选题）外汇期货与外汇远期的区别包括（）。
A合约标准化程度不同B交割期限不同C合约了结方式不同D交易风险不同4（单选题）外汇期货交易量占全球外汇期货交易量的绝大比重的是（）。
青海省期货从业资格 外汇期货考试试题
青海省期货从业资格：外汇期货考试试题随着全球化的加速和金融市场的日益复杂，外汇期货成为了国际金融市场的重要工具。
为了帮助青海省的期货从业者更好地理解和应用外汇期货，我们特别准备了这次考试试题。
一、选择题1、下列哪个选项是外汇期货合约的交易单位？A.美元/人民币B.英镑/欧元C.盎司/黄金D.以上都不是正确答案：A解释：外汇期货合约的交易单位通常由货币对组成，如美元/人民币、英镑/欧元等。
2、在外汇期货交易中，哪个市场参与者最有可能成为买方？A.出口商B.进口商C.中央银行D.以上都不是正确答案：B解释：进口商需要购买外汇以支付进口商品或服务的费用，因此他们最有可能成为外汇期货交易的买方。
3、下列哪个因素最有可能导致外汇期货价格波动？A.利率差异B.通货膨胀率差异C.政治稳定性差异D.以上都是正确答案：D解释：利率差异、通货膨胀率差异和政治稳定性差异都可能影响一国货币的价值，从而导致外汇期货价格的波动。
二、简答题4、请简述外汇期货的主要功能。
正确答案：外汇期货的主要功能包括套期保值、价格发现和投机。
套期保值是指通过买卖期货合约来对冲现货市场的风险，从而锁定未来的购买或出售价格。
价格发现是指通过期货市场来反映未来的货币价值，为市场参与者提供定价参考。
投机是指利用期货市场的杠杆效应来博取盈利。
41、请说明外汇期货与现货交易的区别。
正确答案：外汇期货与现货交易的主要区别在于：外汇期货是标准化合约，规定了交易单位、交割日期等，而现货交易则是一对一协商；外汇期货交易是在交易所进行的，而现货交易则是在场外市场进行；外汇期货具有杠杆效应，投资者只需要预存一部分保证金就能进行大额交易，而现货交易则没有这个特点。
青海省下半年期货从业资格：外汇期货考试试题一、单项选择题1、下列哪一项不是外汇期货的基本功能？A.套期保值B.投机C.套利D.生产性2、当投资者进行外汇期货交易时，下列哪一项因素不会影响到期货价格？A.各币种之间的利率差异B.各币种之间的汇率C.投资者对未来汇率的预期D.投资者对利率的预期3、下列哪一项最能代表外汇期货的特性？A.标准化B.杠杆效应C.流动性高D.高风险性二、多项选择题1、下列哪些因素会影响到外汇期货价格？A.各币种之间的利率差异B.各币种之间的汇率C.投资者对未来汇率的预期D.投资者对利率的预期E.各币种收益率的差异2、外汇期货的交易规则包括哪些？A.标准化合约B.保证金制度C.双向交易D.每日结算制度E.集中交易制度3、外汇期货的优点包括哪些？A.套期保值B.投机C.套利D.生产性E.避险性三、判断题1、外汇期货属于金融期货的一种。
第七章《外汇期货交易概念和外汇期货交易策略》详解课件
第七章 外汇期货交易
第二节 外汇期货交易策略
一、外汇期货与一般远期外汇交易的异同点
（一）、相同点 1、交易客体都是外汇 2、交易原理相同 3、交易目的相同 4、交易的经济功能相似
第二节 外汇期货交易策略
（二）、不同点
2、交易者不同 3、标的物不同 4、交易方式不同 5、交易场所不同 6、保证金和佣金的制度不同 7、交易的结算制度不同 8、交割方式不同 9、交割期不同
第二节 外汇期货交易策略
2、空头套期保值（Short Hedge）
空头套期保值指在期货市场上先卖出某种货币期货， 然后买进该种货币期货，以抵消现汇汇率下跌而给 持有的外汇债权带来的风险。 当你将处于某种外汇的多头地位时，应当作空头套 期保值（即在期货市场上作空）。 例：见教材P168例。
<一>、标准化的外汇合约 合约的币种、数量、货币的价格波动幅度、交割日期、交割月份、 交割地点都是标准化的，汇率是唯一的变量。 <二>、特殊的交易方式 外汇期货交易只能在期货交易所内通过公开竞价进行 <三>、外汇期货交易是以美圆作为报价货币进行报价的 例：ＧＢＰ１＝ＵＳＤ１.５１５２ ＣＨＦ１＝ＵＳＤ０.６２６５ <四>、保证金制度 初始保证金、可变保证金、维持保证金 <五>、每日结算制度 <六>、期货交易所实行限价制度
（2）做空头
投机者预测某种货币汇率将下跌时，先卖出该货币 的期货合约，然后再买进该种货币的期货合约。 例：见教材P169例。
第二节 外汇期货交易策略
2、外汇期货套利
跨月套利 跨市场套利 跨币种套利
第二节 外汇期货交易策略
（1）跨月套利 投资者买进某一交割月份外汇期货合约 的同时，卖出另一交易月份的同种期货合约， 利用相同币种但交割月份不同的期货合约在 某一交易所的价格差异套期图利。 例：见教材P170例。
第七章外汇期货解析
例：4月10日，某交易者在国际货币市场以1 英镑=1.5363美元的价格买进200手（ 62500英镑/手）6月到期英镑期货合约，同 时在伦敦国际金融期货交易所以1英镑 =1.5486 美元的价格卖出500手（25000英 镑/手） 6月期英镑期货合约。5月10日，该 交易者以1英镑=1.4978美元的同样价格分 别在两个交易所对冲手中合约。
卖出20手9月到期的日元期货合约对冲平 仓，成交价格为JPY/USD=0.007030 （该报价相当于即期市场报价法的 USD/JPY=142.25）
损失 盈亏 －1756230=－52070美元
盈利 20× (0.007030一0.006835) ÷ 0.000001× 12.5=48750美元
• 外汇期货套利
外汇期货卖期保值期汇率为
卖出4手6月到期的欧元期货合约，
EUR/USD=1.3432，表示1欧元兑 成交价格EUR/USD=1.3450(表
1.3432美元。购买50万欧元，付出 示1欧元兑1. 3450美元)
67.16万美元
6.1
当日欧元即期汇率为
买入4手6月到期的欧元期货合约
元、美元、瑞典克朗等。 • 澳大利亚悉尼期货交易所：澳元期货、澳元期货期权。 • 新加坡交易所：英镑、日元期货等。
外汇期货的规格
• 外汇期货合约的交易单位。每一份外汇期货合约都由 交易所规定标准交易单位。例如，芝加哥商业交易所 的离岸人民币期货合约（标准合约）规模为100000 美元。
• 交割月份。一般为每年的3月、6月、9月和12月 。
• 外汇期货卖出套期保值
• 外汇期货卖出套期保值，又称外汇期货空 头套期保值，是指在现汇市场上处于多头 地位的人，为防止汇率下跌的风险，在外 汇期货市场卖出期货合约。
期货市场基础知识第七章重点试题及答案
期货市场基础知识第七章重点试题及答案一、单选题1.某交易者7月30日买人1手11月份小麦合约，价格为7.6美元/蒲式耳，同时卖出1手11月份玉米合约，价格为2.45美元/蒲式耳，9月30日，该交易者卖出1手11月份小麦合约，价格为7.45美元/蒲式耳，同时买入1手11月份玉米合约，价格为2.20美元/蒲式耳，1手：5000蒲式耳，请计算套利盈亏（）。
A.获利700美元B.亏损700美元C.获利500美元D.亏损500美元答案：c2.以下哪种套利活动不属于跨商品套利（）。
A.小麦/玉米套利B.玉米/大豆套利C.大豆提油套利D.反向大豆提油套利答案：b3.蝶式套利必须同时下达（）个指令，并同时对冲。
A.一B.二C.三D.四答案：c4.套利者在从事套利交易时（）。
A.可以用套利来保护已亏损的单盘交易B.必须同时以双脚;踏人套利，退出时也必须同时抽出双脚C.不需要明确写明买人合约与卖出合约之间的价格差D.在准备平仓时先了结价格有利的那笔交易答案：b5.理论上，在反向市场牛市套利中，如果价差缩小，交易者（）;A.获利B.亏损C.保本D.以上都有可能答案：b6.套利者在从事套利交易时（）。
A.可以用套利来保护已亏损的单盘交易B.必须同时以双脚;踏人套利，退出时也必须同时抽出双脚C.不需要明确写明买人合约与卖出合约之间的价格差D.在准备平仓时先了结价格有利的那笔交易答案：b7.在不同国家的市场进行跨市套利时，需要特别考虑的因素是（）。
A.交易单位的差异B.运输费用C.价格晶级差异D.利率水平答案：a8.理论上，在反向市场熊市套利中，如果价差缩小，交易者（）。
A.获利B.亏损C.保本D.以上都有可能答案：a9.理论上，在正向市场牛市套利中，如果价差扩大，交易者（）。
A.获利B.亏损C.保本D.以上都有可能答案：b10.反向市场中，发生以下哪类情况时应采取牛市套利决策（）。
A.近期月份合约价格上升幅度大于远期月份和约B.近期月份合约价格上升幅度等于远期月份和约C.近期月份合约价格上升幅度小于远期月份和约D.近期月份合约价格下降幅度大于远期月份和约答案：a11.某交易者在5月30日买人1手9月份铜合约，价格为17520元/吨，同时卖出1手11月份铜合约，价格为17570元/吨，7月30日，该交易者卖出1手9月份铜合约，价格为17540元/吨，同时以较高价格买入1手11月份铜合约，已知其在整个套利过程中净亏损100元，且交易所规定，1手：5吨，试推算7月30日的11月份铜合约价格（）。
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第七章外汇期货题库
1-2-10
问题：
[多选]下列关于外汇市场的发展正确的有（）。
A.A．全球外汇市场日均成交额近年来高速增长
B.B．外汇市场比较完善和发达
C.C．外汇市场是全球最大而且最活跃的金融市场
D.D．外汇市场是－个12小时交易的市场
选项D错误。
外汇市场是一个24小时连续交易的市场。
另外，外汇市场是一个分散但规模庞大的国际市场。
问题：
[多选]外汇期货合约对（）等内容都有统－的规定。
A.A．合约金额
B.B．交易时间
C.C．交割月份
D.D．交易币种
外汇期货合约，是指期货交易所制定的一种标准化合约，合约对交易币种、合约金额、交易时间、交割月份、交易地点等内容都有统一的规定。
不同期货交易所制定的期货合约的主要内容基本相同。
问题：
[多选]外汇期货交易一般可分为（）。
A.A．套期保值交易
B.B．卖出套期保值
C.C．投机和套利交易
D.D．买入套期保值
外汇期货交易一般可分为外汇期货套期保值交易、外汇期货投机和套利交易。
外汇期货套期保值具体可分为买入套期保值和卖出套期保值两类。
出处：天津11选5 ;
问题：
[判断题]一国同其他国家之间的利率相对水平的高低是影响汇率的重要因素。
（）
A.正确
B.错误
问题：
[判断题]外汇期货交易的产生意味着它能在国际金融市场上取代传统的银行间的外汇远期交易。
（）
A.正确
B.错误
尽管外汇远期交易和外汇期货交易在许多方面相同或相似，但外汇期货交易的产生并不意味它能在国际金融市场上取代传统的银行间的外汇远期交易，相反，它们各有不同特征，能够在国际金融市场上并存。
问题：
[判断题]投机者根据对外汇期货价格走势的预测，购买或出售－定数量的某－交割月份的外汇期货合约，有意识地使自己处于外汇风险暴露之中。
（）
A.正确
B.错误
问题：
[判断题]跨币种套利是指交易者根据对同－外汇期货合约在不同交易所的价格走势的预测，在－个交易所买入－种外汇期货合约，同时在另－个交易所卖出同种外汇期货合约，从而进行套利交易。
（）
A.正确
B.错误
题干所述为跨市套利。
跨币种套利是交易者根据对交割月份相同而币种不同的期货合约在某－交易所的价格走势的预测，买进某－币种的期货合约，同时卖出另－币种相同交割月份的期货合约，从而进行套利交易。
问题：
[单选]6月10日，国际货币市场6月期瑞士法郎的期货价格为0．8764美元／瑞士法郎，6月期欧元的期货价格为1．2106美元／欧元。
某套利者预计6月20日瑞士法郎对欧元的汇率将上升，在国际货币市场买人100手6月期瑞士法郎期货合约，同时卖出72手6月期欧元期货合约。
6月20日，瑞士法郎对欧元的汇率由0．72上升为0．73，该交易套利者分别以0．9066美元／瑞士法郎和1．2390美元／欧元的价格对冲手中合约，则套利的结果为（）。
A.A．赢利120900美元
B.B．赢利110900美元
C.C．赢利121900美元
D.D．赢利111900美元
套利者进行的是跨币种套利交易。
6月10日，买入100手6月期瑞士法郎期货合约开仓，总价值为：100×125000×0．8764＝10955000美元；卖出72手6月期欧元期货合约开仓，总价值为：72×125000×1．2106＝10895400美元。
6月20日，卖出100手6月期瑞士法郎期货合约平仓，总价值为：100×125000×0．9066＝11332500美元；买入72手6月期欧元期货合约平仓，总价值为：72×125000×1．2390＝11151000美元。
瑞士法郎赢利：11332500—10955000＝377500美元；欧元损失：11151000—10895400＝255600美元，则套利结果为赢利：377500—255600＝121900美元。