金融衍生工具英文版第六章题库
金融衍生工具_课程习题答案(2)
资料范本本资料为word版本，可以直接编辑和打印，感谢您的下载金融衍生工具_课程习题答案(2)地点：__________________时间：__________________说明：本资料适用于约定双方经过谈判，协商而共同承认，共同遵守的责任与义务，仅供参考，文档可直接下载或修改，不需要的部分可直接删除，使用时请详细阅读内容第一章1、衍生工具包含几个重要类型？他们之间有何共性和差异？2、请详细解释对冲、投机和套利交易之间的区别，并举例说明。
3、衍生工具市场的主要经济功能是什么？4、“期货和期权是零和游戏。
”你如何理解这句话？习题答案1、期货合约：：也是指交易双方按约定价格在未来某一期间完成特定资产交易行为的一种方式。
期货合同是标准化的在交易所交易，远期一般是OTC市场非标准化合同，且合同中也不注明保证金。
主要区别是场内和场外；保证金交易。
二者的定价原理和公式也有所不同。
交易所充当中间人角色，即买入和卖出的人都是和交易所做交易。
特点：T＋0交易；标准化合约；保证金制度（杠杆效应）；每日无负债结算制度；可卖空；强行平仓制度。
1）确定了标准化的数量和数量单位、2）制定标准化的商品质量等级、（3）规定标准化的交割地点、4）规定标准化的交割月份互换合约：是指交易双方约定在合约有效期内，以事先确定的名义本金额为依据，按约定的支付率（利率、股票指数收益率）相互交换支付的约定。
例如，债务人根据国际资本市场利率走势，将其自身的浮动利率债务转换成固定利率债务，或将固定利率债务转换成浮动利率债务的操作。
这又称为利率互换。
互换在场外交易、几乎没有政府监管、互换合约不容易达成、互换合约流动性差、互换合约存在较大的信用风险期权合约：指期权的买方有权在约定的时间或时期内，按照约定的价格买进或卖出一定数量的相关资产，也可以根据需要放弃行使这一权利。
为了取得这一权利，期权合约的买方必须向卖方支付一定数额的费用，即期权费。
期权主要有如下几个构成因素①执行价格（又称履约价格，敲定价格〕。
金融衍生工具_课程习题答案(2)
第一章1、衍生工具包含几个重要类型？他们之间有何共性和差异？2、请详细解释对冲、投机和套利交易之间的区别，并举例说明。
3、衍生工具市场的主要经济功能是什么？4、“期货和期权是零和游戏。
”你如何理解这句话？第一章习题答案1、期货合约：：也是指交易双方按约定价格在未来某一期间完成特定资产交易行为的一种方式。
期货合同是标准化的在交易所交易，远期一般是OTC市场非标准化合同，且合同中也不注明保证金。
主要区别是场内和场外；保证金交易。
二者的定价原理和公式也有所不同。
交易所充当中间人角色，即买入和卖出的人都是和交易所做交易。
特点：T＋0交易；标准化合约；保证金制度（杠杆效应）；每日无负债结算制度；可卖空；强行平仓制度。
1）确定了标准化的数量和数量单位、2）制定标准化的商品质量等级、（3）规定标准化的交割地点、4）规定标准化的交割月份互换合约：是指交易双方约定在合约有效期内，以事先确定的名义本金额为依据，按约定的支付率（利率、股票指数收益率）相互交换支付的约定。
例如，债务人根据国际资本市场利率走势，将其自身的浮动利率债务转换成固定利率债务，或将固定利率债务转换成浮动利率债务的操作。
这又称为利率互换。
互换在场外交易、几乎没有政府监管、互换合约不容易达成、互换合约流动性差、互换合约存在较大的信用风险期权合约：指期权的买方有权在约定的时间或时期内，按照约定的价格买进或卖出一定数量的相关资产，也可以根据需要放弃行使这一权利。
为了取得这一权利，期权合约的买方必须向卖方支付一定数额的费用，即期权费。
期权主要有如下几个构成因素①执行价格（又称履约价格，敲定价格〕。
期权的买方行使权利时事先规定的标的物买卖价格。
②权利金。
期权的买方支付的期权价格，即买方为获得期权而付给期权卖方的费用。
③履约保证金。
期权卖方必须存入交易所用于履约的财力担保，④看涨期权和看跌期权。
看涨期权，是指在期权合约有效期内按执行价格买进一定数量标的物的权利；看跌期权，是指卖出标的物的权利。
金融衍生工具_课程习题答案(2)
资料范本本资料为word版本，可以直接编辑和打印，感谢您的下载金融衍生工具_课程习题答案(2)地点：__________________时间：__________________说明：本资料适用于约定双方经过谈判，协商而共同承认，共同遵守的责任与义务，仅供参考，文档可直接下载或修改，不需要的部分可直接删除，使用时请详细阅读内容第一章1、衍生工具包含几个重要类型？他们之间有何共性和差异？2、请详细解释对冲、投机和套利交易之间的区别，并举例说明。
3、衍生工具市场的主要经济功能是什么？4、“期货和期权是零和游戏。
”你如何理解这句话？习题答案1、期货合约：：也是指交易双方按约定价格在未来某一期间完成特定资产交易行为的一种方式。
期货合同是标准化的在交易所交易，远期一般是OTC市场非标准化合同，且合同中也不注明保证金。
主要区别是场内和场外；保证金交易。
二者的定价原理和公式也有所不同。
交易所充当中间人角色，即买入和卖出的人都是和交易所做交易。
特点：T＋0交易；标准化合约；保证金制度（杠杆效应）；每日无负债结算制度；可卖空；强行平仓制度。
1）确定了标准化的数量和数量单位、2）制定标准化的商品质量等级、（3）规定标准化的交割地点、4）规定标准化的交割月份互换合约：是指交易双方约定在合约有效期内，以事先确定的名义本金额为依据，按约定的支付率（利率、股票指数收益率）相互交换支付的约定。
例如，债务人根据国际资本市场利率走势，将其自身的浮动利率债务转换成固定利率债务，或将固定利率债务转换成浮动利率债务的操作。
这又称为利率互换。
互换在场外交易、几乎没有政府监管、互换合约不容易达成、互换合约流动性差、互换合约存在较大的信用风险期权合约：指期权的买方有权在约定的时间或时期内，按照约定的价格买进或卖出一定数量的相关资产，也可以根据需要放弃行使这一权利。
为了取得这一权利，期权合约的买方必须向卖方支付一定数额的费用，即期权费。
期权主要有如下几个构成因素①执行价格（又称履约价格，敲定价格〕。
金融衍生工具-课程习题答案(2)
第一章1、衍生工具包含几个重要类型？他们之间有何共性和差异？2、请详细解释对冲、投机和套利交易之间的区别，并举例说明。
3、衍生工具市场的主要经济功能是什么？4、“期货和期权是零和游戏。
”你如何理解这句话？第一章习题答案1、期货合约：：也是指交易双方按约定价格在未来某一期间完成特定资产交易行为的一种方式。
期货合同是标准化的在交易所交易，远期一般是OTC市场非标准化合同，且合同中也不注明保证金。
主要区别是场内和场外；保证金交易。
二者的定价原理和公式也有所不同。
交易所充当中间人角色，即买入和卖出的人都是和交易所做交易。
特点：T＋0交易；标准化合约；保证金制度（杠杆效应）；每日无负债结算制度；可卖空；强行平仓制度。
1）确定了标准化的数量和数量单位、2）制定标准化的商品质量等级、（3）规定标准化的交割地点、4）规定标准化的交割月份互换合约：是指交易双方约定在合约有效期内，以事先确定的名义本金额为依据，按约定的支付率（利率、股票指数收益率）相互交换支付的约定。
例如，债务人根据国际资本市场利率走势，将其自身的浮动利率债务转换成固定利率债务，或将固定利率债务转换成浮动利率债务的操作。
这又称为利率互换。
互换在场外交易、几乎没有政府监管、互换合约不容易达成、互换合约流动性差、互换合约存在较大的信用风险期权合约：指期权的买方有权在约定的时间或时期内，按照约定的价格买进或卖出一定数量的相关资产，也可以根据需要放弃行使这一权利。
为了取得这一权利，期权合约的买方必须向卖方支付一定数额的费用，即期权费。
期权主要有如下几个构成因素①执行价格（又称履约价格，敲定价格〕。
期权的买方行使权利时事先规定的标的物买卖价格。
②权利金。
期权的买方支付的期权价格，即买方为获得期权而付给期权卖方的费用。
③履约保证金。
期权卖方必须存入交易所用于履约的财力担保，④看涨期权和看跌期权。
看涨期权，是指在期权合约有效期内按执行价格买进一定数量标的物的权利；看跌期权，是指卖出标的物的权利。
米什金货币金融学英文版习题答案chapter6英文习题
米什金货币金融学英文版习题答案chapter6英文习题Economics of Money, Banking, and Financial Markets, 11e, Global Edition (Mishkin) Chapter 6 The Risk and Term Structure of Interest Rates6.1 Risk Structure of Interest Rates1) The risk structure of interest rates isA) the structure of how interest rates move over time.B) the relationship among interest rates of different bonds with the same maturity.C) the relationship among the term to maturity of different bonds.D) the relationship among interest rates on bonds with different maturities.Answer: BAACSB: Reflective Thinking2) The risk that interest payments will not be made, or that the face value of a bond is not repaid when a bond matures isA) interest rate risk.B) inflation risk.C) liquidity risk.D) default risk.Answer: DAACSB: Application of Knowledge3) Bonds with no default risk are calledA) flower bonds.B) no-risk bonds.C) default-free bonds.D) zero-risk bonds.Answer: CAACSB: Application of Knowledge4) Which of the following bonds are considered to be default-risk free?A) municipal bondsB) investment-grade bondsC) U.S. Treasury bondsD) junk bondsAnswer: CAACSB: Analytical Thinking5) U.S. government bonds have no default risk becauseA) they are issued in strictly limited quantities.B) the federal government can increase taxes or print money to pay its obligations.C) they are backed with gold reserves.D) they can be exchanged for silver at any time.Answer: BAACSB: Reflective Thinking6) The spread between the interest rates on bonds with default risk and default-free bonds is called theA) risk premium.B) junk margin.C) bond margin.D) default premium.Answer: AAACSB: Application of Knowledge7) If the probability of a bond default increases because corporations begin to suffer large losses, then the default risk on corporate bonds will ________ and the expected return on these bonds will ________, everything else held constant.A) decrease; increaseB) decrease; decreaseC) increase; increaseD) increase; decreaseAnswer: DAACSB: Reflective Thinking8) A bond with default risk will always have a ________ risk premium and an increase in its default risk will ________ the risk premium.A) positive; raiseB) positive; lowerC) negative; raiseD) negative; lowerAnswer: AAACSB: Reflective Thinking9) If a corporation begins to suffer large losses, then the default risk on the corporate bond willA) increase and the bond's return will become more uncertain, meaning the expected return on the corporate bond will fall.B) increase and the bond's return will become less uncertain, meaning the expected return on the corporate bond will fall.C) decrease and the bond's return will become less uncertain, meaning the expected return on the corporate bond will fall.D) decrease and the bond's return will become less uncertain, meaning the expected return on the corporate bond will rise.Answer: AAACSB: Reflective Thinking10) If the possibility of a default increases because corporations begin to suffer losses, then the default risk on corporate bonds will ________, and the bonds' returns will become________ uncertain, meaning that the expected return on these bonds will decrease, everything else held constant.A) increase; lessB) increase; moreC) decrease; lessD) decrease; moreAnswer: BAACSB: Reflective Thinking11) Other things being equal, an increase in the default risk of corporate bonds shifts the demand curve for corporate bonds to the ________ and the demand curve for Treasury bonds to the ________.A) right; rightB) right; leftC) left; rightD) left; leftAnswer: CAACSB: Reflective Thinking12) Other things being equal, a decrease in the default risk of corporate bonds shifts the demand curve for corporate bonds to the ________ and the demand curve for Treasury bonds to the ________.A) right; rightB) right; leftC) left; rightD) left; leftAnswer: BAACSB: Reflective Thinking13) A(n) ________ in the riskiness of corporate bonds will ________ the price of corporate bonds and ________ the yield oncorporate bonds, all else equal.A) increase; increase; increaseB) increase; decrease; increaseC) decrease; increase; increaseD) decrease; decrease;decreaseAnswer: BAACSB: Reflective Thinking14) An increase in the riskiness of corporate bonds will ________ the price of corporate bonds and ________ the price of Treasury bonds, everything else held constant.A) increase; increaseB) reduce; reduceC) reduce; increaseD) increase; reduceAnswer: CAACSB: Reflective Thinking15) A decrease in the riskiness of corporate bonds will ________ the price of corporate bonds and ________ the price of Treasury bonds, everything else held constant.A) increase; increaseB) reduce; reduceC) reduce; increaseD) increase; reduceAnswer: DAACSB: Reflective Thinking16) An increase in the riskiness of corporate bonds will ________ the yield on corporate bonds and ________ the yield on Treasury securities, everything else held constant.A) increase; increaseB) reduce; reduceC) increase; reduceD) reduce; increaseAnswer: CAACSB: Reflective Thinking17) A decrease in the riskiness of corporate bonds will ________ the yield on corporate bonds and ________ the yield on Treasury securities, everything else held constant.A) increase; increaseB) decrease; decreaseC) increase; decreaseD) decrease; increaseAnswer: DAACSB: Reflective Thinking18) An increase in default risk on corporate bonds ________ the demand for these bonds, but ________ the demand for default-free bonds, everything else held constant.A) increases; lowersB) lowers; increasesC) does not change; greatly increasesD) moderately lowers; does not changeAnswer: BAACSB: Reflective Thinking19) A decrease in default risk on corporate bonds ________ the demand for these bonds, and________ the demand for default-free bonds, everything else held constant.A) increases; lowersB) lowers; increasesC) does not change; greatly increasesD) moderately lowers; does not changeAnswer: AAACSB: Reflective Thinking20) As default risk increases, the expected return on corporate bonds ________, and the return becomes ________ uncertain, everything else held constant.A) increases; lessB) increases; moreC) decreases; lessD) decreases; moreAnswer: DAACSB: Reflective Thinking21) As default risk decreases, the expected return on corporate bonds ________, and the return becomes ________ uncertain, everything else held constant.A) increases; lessB) increases; moreC) decreases; lessD) decreases; moreAnswer: AAACSB: Reflective Thinking22) As their relative riskiness ________, the expected return on corporate bonds ________ relative to the expected return on default-free bonds, everything else held constant.A) increases; increasesB) increases; decreasesC) decreases; decreasesD) decreases; does not changeAnswer: BAACSB: Reflective Thinking23) Which of the following statements are TRUE?A) A decrease in default risk on corporate bonds lowers the demand for these bonds, but increases the demand for default-free bonds.B) The expected return on corporate bonds decreases as default risk increases.C) A corporate bond's return becomes less uncertain as default risk increases.D) As their relative riskiness increases, the expected return on corporate bonds increases relative to the expected return on default-free bonds.Answer: BAACSB: Reflective Thinking24) Everything else held constant, if the federal government were to guarantee today that it will pay creditors if a corporation goes bankrupt in the future, the interest rate on corporate bonds will ________ and the interest rate on Treasury securities will ________.A) increase; increaseB) increase; decreaseC) decrease; increaseD) decrease; decreaseAnswer: CAACSB: Reflective Thinking25) Bonds with relatively high risk of default are calledA) Brady bonds.B) junk bonds.C) zero coupon bonds.D) investment grade bonds.Answer: BAACSB: Analytical Thinking26) Junk bonds, bonds with a low bond rating, are also known asA) high-yield bonds.B) investment grade bonds.C) high quality bonds.D) zero-coupon bonds.Answer: AAACSB: Application of Knowledge27) Bonds with relatively low risk of default are called ________ securities and have a rating of Baa (or BBB) and above; bonds with ratings below Baa (or BBB) have a higher default risk and are called ________.A) investment grade; lower gradeB) investment grade; junk bondsC) high quality; lower gradeD) high quality; junk bondsAnswer: BAACSB: Analytical Thinking28) Which of the following bonds would have the highest default risk?A) municipal bondsB) investment-grade bondsC) U.S. Treasury bondsD) junk bondsAnswer: DAACSB: Reflective Thinking29) Which of the following long-term bonds has the highest interest rate?A) corporate Baa bondsB) U.S. Treasury bondsC) corporate Aaa bondsD) municipal bondsAnswer: AAACSB: Reflective Thinking30) Which of the following securities has the lowest interest rate?A) junk bondsB) U.S. Treasury bondsC) investment-grade bondsD) corporate Baa bondsAnswer: BAACSB: Reflective Thinking31) The spread between interest rates on low quality corporate bonds and U.S. government bondsA) widened significantly during the Great Depression.B) narrowed significantly during the Great Depression.C) narrowed moderately during the Great Depression.D) did not change during the Great Depression.Answer: AAACSB: Reflective Thinking32) During the Great Depression years 1930-1933 there wasa very high rate of business failures and defaults, we would expect the risk premium for ________ bonds to be very high.A) U.S. TreasuryB) corporate AaaC) municipalD) corporate BaaAnswer: DAACSB: Reflective Thinking33) Risk premiums on corporate bonds tend to ________during business cycle expansions and ________ during recessions, everything else held constant.A) increase; increaseB) increase; decreaseC) decrease; increaseD) decrease; decreaseAnswer: CAACSB: Reflective Thinking34) The collapse of the subprime mortgage marketA) did not affect the corporate bond market.B) increased the perceived riskiness of Treasury securities.C) reduced the Baa-Aaa spread.D) increased the Baa-Aaa spread.Answer: DAACSB: Reflective Thinking35) The collapse of the subprime mortgage market increased the spread between Baa and default-free U.S. Treasury bonds. This is due toA) a reduction in risk.B) a reduction in maturity.C) a flight to quality.D) a flight to liquidity.Answer: CAACSB: Analytical Thinking36) During a "flight to quality"A) the spread between Treasury bonds and Baa bonds increases.B) the spread between Treasury bonds and Baa bonds decreases.C) the spread between Treasury bonds and Baa bonds is notaffected.D) the change in the spread between Treasury bonds and Baa bonds cannot be predicted. Answer: AAACSB: Reflective Thinking37) If you have a very low tolerance for risk, which of the following bonds would you be least likely to hold in your portfolio?A) a U.S. Treasury bondB) a municipal bondC) a corporate bond with a rating of AaaD) a corporate bond with a rating of BaaAnswer: DAACSB: Reflective Thinking38) Which of the following statements is TRUE?A) A liquid asset is one that can be quickly and cheaply converted into cash.B) The demand for a bond declines when it becomes less liquid, decreasing the interest rate spread between it and relatively more liquid bonds.C) The differences in bond interest rates reflect differences in default risk only.D) The corporate bond market is the most liquid bond market.Answer: AAACSB: Reflective Thinking39) Corporate bonds are not as liquid as government bonds becauseA) fewer corporate bonds for any one corporation are traded, making them more costly to sell.B) the corporate bond rating must be calculated each timethey are traded.C) corporate bonds are not callable.D) corporate bonds cannot be resold.Answer: AAACSB: Reflective Thinking40) When the Treasury bond market becomes more liquid, other things equal, the demand curve for corporate bonds shifts to the ________ and the demand curve for Treasury bonds shifts to the ________.A) right; rightB) right; leftC) left; rightD) left; leftAnswer: CAACSB: Reflective Thinking41) When the Treasury bond market becomes less liquid, other things equal, the demand curve for corporate bonds shifts to the ________ and the demand curve for Treasury bonds shifts to the ________.A) right; rightB) right; leftC) left; rightD) left; leftAnswer: BAACSB: Reflective Thinking42) A decrease in the liquidity of corporate bonds, other things being equal, shifts the demand curve for corporate bonds to the ________ and the demand curve for Treasury bonds shifts to the ________.A) right; rightB) right; leftC) left; leftD) left; rightAnswer: DAACSB: Reflective Thinking43) An increase in the liquidity of corporate bonds, other things being equal, shifts the demand curve for corporate bonds to the ________ and the demand curve for Treasury bonds shifts to the ________.A) right; rightB) right; leftC) left; leftD) left; rightAnswer: BAACSB: Reflective Thinking44) A(n) ________ in the liquidity of corporate bonds will ________ the price of corporatebonds and ________ the yield on corporate bonds, all else equal.A) increase; increase; decreaseB) increase; decrease; decreaseC) decrease; increase; increaseD) decrease; decrease; decreaseAnswer: AAACSB: Reflective Thinking45) An increase in the liquidity of corporate bonds will ________ the price of corporate bonds and ________ the yield of Treasury bonds, everything else held constant.A) increase; increaseB) reduce; reduceC) increase; reduceD) reduce; increaseAnswer: AAACSB: Reflective Thinking46) A decrease in the liquidity of corporate bonds will ________ the yield of corporate bonds and ________ the yield of Treasury bonds, everything else held constant.A) increase; increaseB) decrease; decreaseC) increase; decreaseD) decrease; increaseAnswer: CAACSB: Reflective Thinking47) The risk premium on corporate bonds reflects the fact that corporate bonds have a higher default risk and are ________ U.S. Treasury bonds.A) less liquid thanB) less speculative thanC) tax-exempt unlikeD) lower-yielding thanAnswer: AAACSB: Analytical Thinking48) Which of the following statements is TRUE?A) State and local governments cannot default on their bonds.B) Bonds issued by state and local governments are called municipal bonds.C) All government issued bonds—local, state, and federal—are federal income tax exempt.D) The coupon payment on municipal bonds is usually higherthan the coupon payment on Treasury bonds.Answer: BAACSB: Reflective Thinking49) Everything else held constant, if the tax-exempt status of municipal bonds were eliminated, thenA) the interest rates on municipal bonds would still be less than the interest rate on Treasury bonds.B) the interest rate on municipal bonds would equal the rate on Treasury bonds.C) the interest rate on municipal bonds would exceed the rate on Treasury bonds.D) the interest rates on municipal, Treasury, and corporate bonds would all increase. Answer: CAACSB: Reflective Thinking50) Municipal bonds have default risk, yet their interest rates are lower than the rates ondefault-free Treasury bonds. This suggests thatA) the benefit from the tax-exempt status of municipal bonds is less than their default risk.B) the benefit from the tax-exempt status of municipal bonds equals their default risk.C) the benefit from the tax-exempt status of municipal bonds exceeds their default risk.D) Treasury bonds are not default-free.Answer: CAACSB: Reflective Thinking51) Everything else held constant, an increase in marginal tax rates would likely have the effect of ________ the demand for municipal bonds, and ________ the demand for U.S. government bonds.A) increasing; increasingB) increasing; decreasingC) decreasing; increasingD) decreasing; decreasingAnswer: BAACSB: Reflective Thinking52) Everything else held constant, a decrease in marginal tax rates would likely have the effect of ________ the demand for municipal bonds, and ________ the demand for U.S. government bonds.A) increasing; increasingB) increasing; decreasingC) decreasing; increasingD) decreasing; decreasingAnswer: CAACSB: Reflective Thinking53) Everything else held constant, the interest rate on municipal bonds rises relative to the interest rate on Treasury securities whenA) income tax rates are lowered.B) income tax rates are raised.C) municipal bonds become more widely traded.D) corporate bonds become riskier.Answer: AAACSB: Reflective Thinking54) Everything else held constant, if income tax rates were lowered, thenA) the interest rate on municipal bonds would fall.B) the interest rate on Treasury bonds would rise.C) the interest rate on municipal bonds would rise.D) the price of Treasury bonds would fall.Answer: CAACSB: Reflective Thinking55) Everything else held constant, abolishing the individual income tax willA) increase the interest rate on corporate bonds.B) reduce the interest rate on municipal bonds.C) increase the interest rate on municipal bonds.D) increase the interest rate on Treasury bonds.Answer: CAACSB: Reflective Thinking56) Which of the following statements are TRUE?A) An increase in tax rates will increase the demand for Treasury bonds, lowering their interest rates.B) Because the tax-exempt status of municipal bonds was of little benefit to bond holders when tax rates were low, they had higher interest rates than U.S. government bonds before World War II.C) Interest rates on municipal bonds will be higher than comparable bonds without the tax exemption.D) Because coupon payments on municipal bonds are exempt from federal income tax, the expected after-tax return on them will be higher for individuals in lower income tax brackets. Answer: BAACSB: Reflective Thinking57) The Obama administration increased the tax on the top income tax bracket from 35% to 39%. Supply and demand analysis predicts the impact of this change was a ________ interest rate on municipal bonds and a ________ interest rate on Treasury bonds, all else the same.A) higher; lowerB) lower; lowerC) higher; higherD) lower; higherAnswer: DAACSB: Reflective Thinking58) Three factors explain the risk structure of interest ratesA) liquidity, default risk, and the income tax treatment of a security.B) maturity, default risk, and the income tax treatment of a security.C) maturity, liquidity, and the income tax treatment of a security.D) maturity, default risk, and the liquidity of a security.Answer: AAACSB: Application of Knowledge59) The spread between the interest rates on Baa corporate bonds and U.S. government bonds is very large during the Great Depression years 1930-1933. Explain this difference using the bond supply and demand analysis.Answer: During the Great Depression many businesses failed. The default risk for the corporate bond increased compared to the default-free Treasury bond. The demand for corporate bonds decreased while the demand for Treasury bonds increased resulting in a larger risk premium.AACSB: Reflective Thinking60) If the federal government where to raise the income tax rates, would this have any impact ona state's cost of borrowing funds? Explain.Answer: Yes, if the federal government raises income taxrates, demand for municipal bonds which are federal income tax exempt would increase. This would lower the interest rate on the municipal bonds thus lowering the cost to the state of borrowing funds.AACSB: Reflective Thinking6.2 Term Structure of Interest Rates1) The term structure of interest rates isA) the relationship among interest rates of different bonds with the same maturity.B) the structure of how interest rates move over time.C) the relationship among the term to maturity of different bonds.D) the relationship among interest rates on bonds with different maturities.Answer: DAACSB: Reflective Thinking2) A plot of the interest rates on default-free government bonds with different terms to maturity is calledA) a risk-structure curve.B) a default-free curve.C) a yield curve.D) an interest-rate curve.Answer: CAACSB: Application of Knowledge3) Differences in ________ explain why interest rates on Treasury securities are not all the same.A) riskB) liquidityC) time to maturityD) tax characteristicsAnswer: CAACSB: Analytical Thinking4) The typical shape for a yield curve isA) gently upward sloping.B) mound shaped.C) flat.D) bowl shaped.Answer: AAACSB: Analytical Thinking5) When yield curves are steeply upward slopingA) long-term interest rates are above short-term interest rates.B) short-term interest rates are above long-term interest rates.C) short-term interest rates are about the same as long-term interest rates.D) medium-term interest rates are above both short-term and long-term interest rates. Answer: AAACSB: Reflective Thinking6) When yield curves are flatA) long-term interest rates are above short-term interest rates.B) short-term interest rates are above long-term interest rates.C) short-term interest rates are about the same as long-term interest rates.D) medium-term interest rates are above both short-term and long-term interest rates. Answer: CAACSB: Reflective Thinking7) When yield curves are downward slopingA) long-term interest rates are above short-term interest rates.B) short-term interest rates are above long-term interest rates.C) short-term interest rates are about the same as long-term interest rates.D) medium-term interest rates are above both short-term and long-term interest rates. Answer: BAACSB: Reflective Thinking8) An inverted yield curveA) slopes up.B) is flat.C) slopes down.D) has a U shape.Answer: CAACSB: Application of Knowledge9) Economists' attempts to explain the term structure of interest ratesA) illustrate how economists modify theories to improve them when they are inconsistent with the empirical evidence.B) illustrate how economists continue to accept theories that fail to explain observed behavior of interest rate movements.C) prove that the real world is a special case that tends to get short shrift in theoretical models.D) have proved entirely unsatisfactory to date.Answer: AAACSB: Reflective Thinking10) According to the expectations theory of the term structure, the interest rate on a long-term bond will equal the ________ of the short-term interest rates that people expect tooccur over the life of the long-term bond.A) averageB) sumC) differenceD) multipleAnswer: AAACSB: Analytical Thinking11) If bonds with different maturities are perfect substitutes, then the ________ on these bonds must be equal.A) expected returnB) surprise returnC) surplus returnD) excess returnAnswer: AAACSB: Analytical Thinking12) If the expected path of one-year interest rates over the next five years is 4 percent, 5 percent, 7 percent, 8 percent, and 6 percent, then the expectations theory predicts that today's interest rate on the five-year bond isA) 4 percent.B) 5 percent.C) 6 percent.D) 7 percent.Answer: CAACSB: Analytical Thinking13) If the expected path of 1-year interest rates over the next four years is 5 percent, 4 percent, 2 percent, and 1 percent, then the expectations theory predicts that today's interest rate on the four-year bond isA) 1 percent.C) 3 percent.D) 4 percent.Answer: CAACSB: Analytical Thinking14) If the expected path of 1-year interest rates over the next five years is 1 percent, 2 percent, 3 percent, 4 percent, and 5 percent, the expectations theory predicts that the bond with the highest interest rate today is the one with a maturity ofA) two years.B) three years.C) four years.D) five years.Answer: DAACSB: Analytical Thinking15) If the expected path of 1-year interest rates over the next five years is 2 percent, 4 percent, 1 percent, 4 percent, and 3 percent, the expectations theory predicts that the bond with the lowest interest rate today is the one with a maturity ofA) one year.B) two years.C) three years.D) four years.Answer: AAACSB: Analytical Thinking16) Over the next three years, the expected path of 1-year interest rates is 4, 1, and 1 percent. The expectations theory of the term structure predicts that the current interest rate on 3-year bond isA) 1 percent.C) 3 percent.D) 4 percent.Answer: BAACSB: Analytical Thinking17) According to the expectations theory of the term structureA) the interest rate on long-term bonds will exceed the average of short-term interest rates that people expect to occur over the life of the long-term bonds, because of their preference for short-term securities.B) interest rates on bonds of different maturities move together over time.C) buyers of bonds prefer short-term to long-term bonds.D) buyers require an additional incentive to hold long-term bonds.Answer: BAACSB: Reflective Thinking18) According to the expectations theory of the term structureA) when the yield curve is steeply upward sloping, short-term interest rates are expected to remain relatively stable in the future.B) when the yield curve is downward sloping, short-term interest rates are expected to remain relatively stable in the future.C) investors have strong preferences for short-term relative to long-term bonds, explaining why yield curves typically slope upward.D) yield curves should be equally likely to slope downward as slope upward.Answer: DAACSB: Reflective Thinking19) According to the segmented markets theory of the term structureA) bonds of one maturity are close substitutes for bonds of other maturities, therefore, interest rates on bonds of different maturities move together over time.B) the interest rate for each maturity bond is determined by supply and demand for that maturity bond.C) investors' strong preferences for short-term relative to long-term bonds explains why yield curves typically slope downward.D) because of the positive term premium, the yield curve will not be observed to be downward-sloping.Answer: BAACSB: Reflective Thinking20) According to the segmented markets theory of the term structureA) the interest rate on long-term bonds will equal an average of short-term interest rates that people expect to occur over the life of the long-term bonds.B) buyers of bonds do not prefer bonds of one maturity over another.C) interest rates on bonds of different maturities do not move together over time.D) buyers require an additional incentive to hold long-term bonds.Answer: CAACSB: Reflective Thinking21) A key assumption in the segmented markets theory is that bonds of different maturities。
金融衍生工具课后习题答案
金融衍生工具课后习题答案金融衍生工具课后习题答案金融衍生工具是指那些通过与金融资产或金融指标相关联的合约或协议，用于管理金融风险或进行投资的工具。
这些工具包括期权、期货、互换和其他衍生品。
在金融市场中，衍生工具起到了非常重要的作用，它们可以帮助投资者进行风险管理，实现投资组合的多样化，并提供一种有效的投机机会。
在学习金融衍生工具的过程中，习题是非常重要的一部分。
通过解答习题，我们可以更好地理解和掌握相关的概念和技巧。
下面是一些金融衍生工具课后习题的答案，希望对你的学习有所帮助。
1. 期权是一种金融衍生工具，它给予持有者在未来某个时间以特定价格购买或出售某种资产的权利。
期权分为两种类型：认购期权和认沽期权。
认购期权赋予持有者以特定价格购买资产的权利，而认沽期权赋予持有者以特定价格出售资产的权利。
2. 期货是一种标准化合约，约定在未来某个时间以特定价格交割一定数量的某种标的资产。
期货合约可以用于投机和套期保值。
投机者通过买入或卖出期货合约来获取价格波动的利润，而套期保值者则通过买入或卖出期货合约来对冲其在现货市场上的风险。
3. 互换是一种金融合约，约定在未来某个时间交换一定数量的资产或现金流。
互换合约可以用于对冲风险、降低成本或进行投机。
最常见的互换类型是利率互换和货币互换。
4. 衍生品的价格受到多种因素的影响，包括标的资产价格、市场波动性、利率水平和时间价值等。
标的资产价格是影响期权和期货价格的最主要因素，市场波动性则是影响期权价格的重要因素。
利率水平对互换价格有着直接的影响，而时间价值则是期权价格中的一个重要组成部分。
5. 在期权定价中，有两个重要的概念：内在价值和时间价值。
内在价值是期权的实际价值，即期权行权时的立即收益。
时间价值则是期权的额外价值，它取决于期权的剩余时间和市场波动性。
时间价值随着期权到期日的临近而逐渐减少。
6. 黑-斯科尔斯期权定价模型是一种用于计算欧式期权价格的数学模型。
它基于一些假设，如市场无摩擦、无交易成本和无套利机会等。
高级财务会计练习题第六章 衍生金融工具会计
第六章衍生金融工具会计一、单项选择题1、2010年某公司以投机为目的进行期货合约交易。
3月10日买入合约一张，单价为2 500元，数量为100吨，3月底该期货合约单价下跌至2 450元，则该公司2010年3月末持仓期货合约的浮动盈亏5 000元应记入的账户是（）。
A、投资收益B、套期损益C、资本公积D、公允价值变动损益2、下列有关现金流量套期会计处理中说法不正确的有（）。
A、满足运用套期会计方法条件的，套期工具利得或损失中属于有效套期的部分，应当直接确认为所有者权益B、套期工具利得或损失中属于无效套期的部分，应当计入当期损益C、套期工具已到期、被出售、合同终止或已行使的，应终止核算D、套期工具利得或损失中属于无效套期的部分，应当计入所有者权益E、预期交易预计不会发生的，应终止核算。
在此条件下，对于在套期有效期间直接计入所有者权益中的套期工具利得或损失应当转出，计入当期损益。
3、看涨期权是指（）。
A、买权B、卖权C、互换D、期货4、不能成为衍生金融工具会计核算对象的是（）。
A、远期合同B、即期外汇买卖合约C、外汇期权合同D、远期外汇合约5、商品期货属于（）。
A、远期合同B、期货合同C、金融互换D、金融期权6、看涨期权指其持有者有权在某一个确定时间以确定价格购买标的资产，也就是（）。
A、买权B、卖权C、互换D、期货7、我国衍生金融工具的计量的原则是（）。
A、重置成本B、现值C、公允价值D、历史成本8、企业取得衍生金融工具发生的相关交易费用应当计入（）。
A、金融资产成本B、资本公积C、投资收益D、财务费用9、取得衍生金融工具发生的相关交易费用应当计入（）。
A、衍生金融工具成本B、长期股权投资C、投资收益D、期间费用二、多项选择题1、下列各项中，属于企业应终止进行公允价值套期会计的条件有（）。
A、套期工具已到期、被出售、合同终止或已行使B、该套期不再满足运用套期会计方法的条件C、企业撤销了对套期关系的指定D、套期工具展期或被另一项套期工具替换时，展期或替换是企业正式书面文件所载明的套期策略组成部分的，也作为已到期或合同终止处理E、套期工具展期或被另一项套期工具替换时，展期或替换是企业正式书面文件所载明的套期策略组成部分的，不作为已到期或合同终止处理2、下列有关公允价值套期业务账务处理规定表述不正确的有（）。
《衍生金融工具》(第二版)习题及答案第6章
第六章1. 基于债券组合的利率互换定价原理是什么？答：利率互换可以视为债券的多空组合。
记V 为互换的价值，fix B 为固定利率债券的价值， float B 为浮动利率债券的价值， Q 为互换协议的本金。
当前时刻为0时刻，利率互换协议约定中介银行在 时刻（1i n ≤≤ ）收取固定利率利息K 美元，同时支付浮动利率利息。
如果将利率互换视为债券的多空组合，那么互换合约的价值为swap fix floatV B B =-这就是基于债券组合的利率互换定价原理。
2. 基于远期协议组合的货币互换定价原理是什么？答：利率互换可以分解为一系列的远期利率协议的和。
这种定价的过程有以下三步：1） 对决定互换现金流的每一个利率，计算远期利率2） 假设互换利率等于远期利率，计算互换现金流3） 设定互换价值等于每个互换现金流时点上FRA 净现金流的现值之和3. 简述人民币利率互换市场的发展状况。
答：人民币利率互换市场自2006 年2 月正式启动以来，逐渐成为我国衍生产品市场的主要产品，吸引了越来越多的市场成员的关注。
2008年2月18号，人民银行发布了《中国人民银行关于开展人民币利率互换业务有关事宜的通知》，人民币利率互换业务正式开展。
近年来，人民币利率互换市场的规模不断增加。
2011年全年，我国利率互换交易笔数为20202笔，交易规模达26759.60亿元，占同期中国场外利率衍生产品的市场份额分别为97.87%、96.28%，同比分别增长73.51%、78.36%。
人民币利率互换交易的交易品种也不断在增加，浮动参考利率主要有隔夜和三月期上海银行间同业拆放利率（SHIBOR -O/N 和SHIBOR -3M ）、银行同业间七天回购定盘利率（FR007）、一年期定存利率、6个月和1年期的贷款利率。
自2010年保监会开启了保险机构投资利率互换的大门后，越来越多的券商也积极参与到人民币利率互换市场之中。
2014年7月1日起，按人民银行规定，金融机构之间新达成的符合条件的人民币利率互换交易均应提交上海清算所进行集中清算。
金融衍生工具练习题及答案(英文版)
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Question 2
On March 1 the spot price of a commodity is $20 and the July futures price is $19. On June 1 the spot price is $24 and the July futures price is $23.50. A company entered into a futures contract on March 1 to hedge the purchase of the commodity on June 1. It closed out its position on June 1. What is the effective price paid by the company for the commodity?
There is no margin call until the margin reaches 75% of $4,000, or $3,000. Then, it has to be restored to the initial margin level of $4,000. If the profit exceeds the initial margin level, this excess margin can be removed (as on Days 4 and 5).
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Question 3
The following futures prices were observed for gold at the end of five consecutive trading days: $900, $903, $912.5, $898, and $890. Mr Smith short one gold futures (contract size 100 oz.) at the end of Day 1. Suppose the initial margin requirement is $4,000 and the maintenance margin at the 75% level. 1. Is Mr Smith bullish or bearish on gold? 2. Compute his cash flows and margin levels. 3. At what price of gold will Mr Smith get a margin call? 4. How much of a variation margin will Mr Smith have to secure? 5. How much in total during the five days has Mr Smith earned?
国际金融英文版试题chapter6
INTERNATIONAL FINANCEAssignment Problems (6) Name: Student#:I. Choose the correct answer for the following questions (only correct answer) (3 credits for each question, total credits 3 x 20 = 60)1. Which of the following is NOT true regarding forward contracts?A. The maturity of forward contracts is flexible.B. Forward contracts are traded both on organized exchanges and OTC market.C. Forward contracts are used to speculate the discrepancies of the exchange rates.D. The size of a forward contract is usually much larger than that of the futures or options.2. Which of the following is NOT a contract specification for currency futures trading on an organized exchange?A. maturity dateB. maintenance margin requirementC. size of the contractD. All of the above are specified3. A futures contract is very similar to a forward contract, because __________.A. both are agreements between two parties to deliver relative currencies at a certain time for a certain priceB. both are standardized contractsC. both can be used to eliminate the default riskD. both are required to physically deliver the underlying currency4. If the amount in the margin account drops below the maintenance margin, the futures contract holder will __________.A. close out the contractB. be issued a margin callC. write a new contractD. notify the exchange5. Which of the following is NOT a difference between a currency futures contract and a forward contract?A. The counterparty to the futures participant is unknown with the clearinghouse stepping into each transaction whereas the forward contract participants are in direct contact setting the forward specifications.B. A single sales commission covers both the purchase and sale of a futures contract whereas there is no specific sales commission with a forward contract because banks earn a profit through the bid-ask spread.C. The futures contract is marked to market daily whereas a forward contract is only due to be settled at maturity.D. All of the above are differences between a currency futures contract and a forwardcontract.6. Assume that Citibank in New York quotes a 30-day forward rate on euro of $0.7533 while the Singapore International Monetary Exchange (SIMEX) euro futures for delivery in 30 days is being quoted at $0.7522. You can make a riskless profit by __________.A. taking a short position on euro in SIMEX euro futures contract and a long position on euro in the forward contractB. taking a long position on euro in SIMEX euro futures contract and a short position on euro in the forward contractC. taking a short position on dollar in SIMEX euro futures contract and a short position on dollar in the forward contractD. taking a long position on dollar in SIMEX euro futures contract and a long position on dollar in the forward contract7. The main function of the “Marking to market” procedure comes down to __________.A. avoid default risk inherent in forward contractsB. cover risk exposure arisen from the international transactionsC. protect the contract holders from suffering the lossD. all of the above8. The buyer of a futures contract is required to put a sum of money in the exchange. This sum of money is called __________.A. down paymentB. initial marginC. premiumD. commission9. When reading the futures quotation in the newspaper, the column heading indicating the number of contracts outstanding on the previous day is called __________.A. percentage changeB. settleC. open interestD. estimated volume10. A put option on Japanese yen is written with a strike price of ¥ 88/$. Which of the following spot rate maximizes your profit if you choose to execute the contract before maturity?A. ¥70/$B. ¥80/$C. ¥90/$D. ¥100/$11. The agreed price in a currency option contract is called the __________.A. forward priceB. futures priceC. exercise priceD. spot price12. For a currency put option if the future spot rate is above the strike price, the option is said to be __________.A. in-the-moneyB. at-the-moneyC. out-of-the-moneyD. break-even13. The writer of an option contract has __________ whereas the holder has __________.A. obligation; choiceB. right; responsibilityC. choice; obligationD. priority; privilege14. Assume you bought a call option with the exercise price of $1.55/₤ in Chicago Mercantile Exchange on September 6. The contract would be expired in December. If the spot exchange rate was $1.50/₤ on October 10, the intrinsic value of this call option on that day would be __________.A. $0.05B. -$0.05C. $0D. None of the above, becau se the contract doesn’t expire on October 10.15. The foreign-currency accounts payable can be hedged by buying a __________ option on the foreign currency, whereas accounts receivable can be hedged by buying a __________ option on the foreign currency.A. call; putB. put; callC. American; EuropeanD. European; American16. Mr. Bull tries to speculate on the direction of the entire stock market, the most efficient method he should use is to acquire __________.A. a stock index futuresB. a portfolio containing stocks of all traded companiesC. a currency forward contractD. a currency futures contract17. The amount that the option purchaser must pay to obtain an option contract may be described as option __________.A. costB. premiumC. priceD. All of the above18. A Canadian dollar option quoted as “C$ Sep 9800 put” is selling on the CME at a price of $0.0026/C$. The size of the contract is C$100,000. Assume the spot exchange rate on the maturity day turns out to be $0.95/C$. You will have __________ if you hold 10 contracts.A. $30,000 net profitB. $30,000 net lossC. $27,400 net profitD. $27,400 net loss19. A fixed-to-fixed currency swap is used to __________.A. hedge currency riskB. speculate discrepancies of the exchange rateC. make a riskless profitD. All of the above20. Exxon and Chase Manhattan Bank reached an agreement. In the next two years, Exxon would pay fixed price of oil to Chase Manhattan Bank on June 30, and Chase Manhattan Bank would pay floating price of oil according to the spot price on the same day. This is an example of __________.A. fixed-for-floating currency swapB. commodity swapC. swaptionD. equity swapII. Problems (40 Credits)1. Samuel Samosir trades currencies for Peregrine Funds in Jakarta, Indonesia. He focuses nearly all of his time and attention on the U.S. dollar/Singapore dollar ($/S$) exchange rate. The current spot rate is $0.6000/S$. After considerable study this week, he has concluded that the Singapore dollar will appreciate versus the U.S. dollar in the coming 90 days, probably to about $0.7000/S$. He has the following options on the Singapore dollar to choose from: (3 credits for each question, total credits 3 x 5 = 15 credits)a. Should Samuel buy a put on Singapore dollars or a call on Singapore dollar?b. Using your answer to part a, what is Samuel’s break-even price?c. Using your answer to part a, what is Samuel’s gross profit and net profit (including the premium) if the spot rate at the end of the 90 days is indeed $0.7000/S$?d. Using your answer to part a, what is Samuel’s gross profit and net profit (including the premium) if the spot rate at the end of the 90 days is indeed $0.8000/S$?e. Using your answer to part a, what is the contract’s time value at the end of the 90 days?2. Jennifer Magnussen, a currency trader for Chicago-based Black River Investments, uses the futures quotes below on the British pound to speculate on its value: (5 credits for each question, total credits 4 x 3 = 12 credits)a. If Jennifer buys 5 June pound futures right after CME opens, and the spot rate at maturity is $1.3980/pound, what is the value of her position?b. If Jennifer sells 12 March pound futures with the opening quote, and the spot rate at maturity is $1.4560/pound, what is the value of her position?c. If Jennifer buys 10 June pound futures at $1.3500/₤ in the early afternoon, and the closing rate at the end of the day is $1.3246/pound instead of $1.4162/pound, what will happen? Explain.3. You head the currency trading desk at Bearings Bank in London. As the middleman in a deal between the U.K. and Danish government, you have just paid ₤1,000,000 to the U.K. government and have been promised DKr8,438,000 from the Danish government in three months. All else constant, you wo uldn’t mind leaving this long krone position open. However, next month’s referendum in Denmark may close the possibility of Denmark joining the European Union. If this happens, you expect the krone to drop on world markets. As a hedge, you are considering purchasing a call option on pounds sterling with an exercise price of DKr8.4500/₤ that sells for DKr0.1464/₤. (13 credits total)a. Fill in the call option values at expiration the following table. (3 credits) Spot rate at expiration (DKr/₤): 8.00 8.40 8.42 8.44 8.46 8.48Call value at expiration (DKr/₤):b, Based on the previous information, draw the payoff profile for a long krone put option at expiration. Note that these exchange rates are reciprocals of those in problem a. (3 credits)Spot rate ate xpiration (₤/DKr) .12500 .11905 .11876 .11848 .11820 .11792 Put value at expiration (₤/DKr)c. Label your axes and plot each of the points. Draw a profit/loss graph for this long krone put at expiration. (7 credits)Answers to Assignment (6)I. (60 credits)1. B2. D3. A4.B5. D6. B7. A8. B9. C 10. A 11. C 12. C13. A 14. C 15. A 16. A 17. D 18. C 19. A 20.BII. (40 credits)1. Option problema. Samuel should buy a call on Singapore dollar.b. Break-even exchange rate for a call option = strike price + premium= 0.6500 + 0.00046 = $0.65046/S$c. Gross profit = 0.7000 – 0.6500 = $0.05Net profit = 0.7000 – 0.65046 = $0.04954d. Gross profit = 0.8000 – 0.6500 = $0.15Net profit = 0.8000 – 0.65046 = $0.14954e. time value = 0, no time value when the contract expires.2. Futures problema. Jennifer’s loss = (1.3980 – 1.4164) x (62,500) x 5 = -$5,750Value of her position: (2,500 x 5) – 5,750 = $12,500 – 5,750 = $6,750b. Jennifer’s loss = (1.4246 – 1.4560) x (62,500 x 12 = -$23,550Value of her position: (2,500 x 12) – 23,550 = $30,000 – 23,550 = $6,450c. Jennifer’s margin account at the end of the day drops to: (1.3246 –1.3500) x (62,500) x 10 = -$15,875 + 25,000 = $9,125Jennifer will receive a margin call from the exchange which is12,500 – 9,125 = $3,375Jennifer should bring $3,375 more to meet the maintenance margin requirement.。
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Fundamentals of Futures and Options Markets, 8e (Hull)Chapter 6 Interest Rate Futures1) Which of the following is applicable to corporate bonds in the United States?A) Actual/360B) Actual/ActualC) 30/360D) Actual/365Answer: C2) It is May 1. The quoted price of a bond with an Actual/Actual (in period) day count and 12% per annum coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price?A)B)C)D)Answer: C3) It is May 1. The quoted price of a bond with a 30/360 day count and 12% per annum coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price?A)B)C)D)Answer: A4) The most recent settlement bond futures price is . Which of the following four bonds is cheapest to deliver?A) Quoted bond price = 110; conversion factor =B) Quoted bond price = 160; conversion factor =C) Quoted bond price = 131; conversion factor =D) Quoted bond price = 143; conversion factor =Answer: C5) Which of the following is NOT an option open to the party with a short position in the Treasury bond futures contract?A) The ability to deliver any of a number of different bondsB) The wild card playC) The fact that delivery can be made any time during the delivery monthD) The interest rate used in the calculation of the conversion factor Answer: D6) A trader enters into a long position in one Eurodollar futures contract. How much does the trader gain when the futures price quote increases by 6 basis points?A) $6B) $150C) $60D) $600Answer: B7) A company invests $1,000 in a five-year zero-coupon bond and $4,000 in a ten-year zero-coupon bond. What is the duration of the portfolio?A) 6 yearsB) 7 yearsC) 8 yearsD) 9 yearsAnswer: D8) The modified duration of a bond portfolio worth $1 million is 5 years. By approximately how much does the value of the portfolio change if all yields increase by 5 basis points?A) Increase of $2,500B) Decrease of $2,500C) Increase of $25,000D) Decrease of $25,000Answer: B9) A portfolio is worth $24,000,000. The futures price for a Treasury note futures contract is 110 and each contract is for the delivery of bonds with a face value of $100,000. On the delivery date the durationof the bond that is expected to be cheapest to deliver is 6 years and the duration of the portfolio will be years. How many contracts are necessary for hedging the portfolio?A) 100B) 200C) 300D) 400Answer: B10) Which of the following is true?A) The futures rates calculated from a Eurodollar futures quote are always less than the corresponding forward rateB) The futures rates calculated from a Eurodollar futures quote are always greater than the corresponding forward rateC) The futures rates calculated from a Eurodollar futures quote should equal the corresponding forward rateD) The futures rates calculated from a Eurodollar futures quote are sometimes greater than and sometimes less than the corresponding forward rateAnswer: B11) How much is a basis point?A) %B) %C) %D) %Answer: C12) Which of the following day count conventions applies to a US Treasury bond?A) Actual/360B) Actual/Actual (in period)C) 30/360D) Actual/365Answer: B13) What is the quoted discount rate on a money market instrument?A) The interest rate earned as a percentage of the final face value of a bondB) The interest rate earned as a percentage of the initial price of a bondC) The interest rate earned as a percentage of the average price of a bondD) The risk-free rate used to calculate the present value of future cash flows from a bondAnswer: A14) Which of the following is closest to the duration of a 2-year bond that pays a coupon of 8% per annum semiannually? The yield on the bond is 10% per annum with continuous compounding.A)B)C)D)Answer: C15) Which of the following is NOT true about duration?A) It equals the years-to-maturity for a zero coupon bondB) It equals the weighted average of payment times for a bond, where weights are proportional to the present value of paymentsC) Equals the weighted average of individual bond durations for a portfolio, where weights are proportional to the present value of bond pricesD) The prices of two bonds with the same duration change by the same percentage amount when interest rate move up by 100 basis points Answer: D16) The conversion factor for a bond is approximatelyA) The price it would have if all cash flows were discounted at 6% per annumB) The price it would have if it paid coupons at 6% per annumC) The price it would have if all cash flows were discounted at 8% per annumD) The price it would have if it paid coupons at 8% per annumAnswer: A17) The time-to-maturity of a Eurodollars futures contract is 4 years, and the time-to-maturity of the rate underlying the futures contract is years. The standard deviation of the change in the short term interest rate, σ = . What is the difference between the futures and the forward interest rate?A) %B) %C) %D) %Answer: B18) A trader uses 3-month Eurodollar futures to lock in a rate on $5 million for six months. How many contracts are required?A) 5B) 10C) 15D) 20Answer: B19) In the . what is the longest maturity for 3-month Eurodollar futures contracts?A) 2 yearsB) 5 yearsC) 10 yearsD) 20 yearsAnswer: C20) Duration matching immunizes a portfolio againstA) Any parallel shift in the yield curveB) All shifts in the yield curveC) Changes in the steepness of the yield curveD) Small parallel shifts in the yield curveAnswer: D。