金融衍生工具英文版第六章题库学习资料

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金融衍生工具测试题 (6)

Test Bank: Chapter 6Interest Rate Futures1.Which of following is applicable to corporate bonds in the United States (circleone)(a)Actual/360(b)Actual/Actual(c)30/360(d)Actual/3652.It is May 1. The quoted price of a bond with an Actual/365 day count and 12% perannum coupon in the United States is 105. It has a face value of 100 and payscoupons on April 1 and October 1. What, to two decimal place accuracy, is the cash price? _ _ _ _ _ _3.What difference would it make to your answer to question 3 if the bo nd’s daycount were 30/360? _ _ _ _ _ _4.The quoted futures price is 103.5. Which of the following four bonds is cheapestto deliver (circle one)(a)Quoted price = 110; conversion factor = 1.0400.(b)Quoted price = 160; conversion factor = 1.5200.(c)Quoted price =131; conversion factor = 1.2500.(d)Quoted price = 143; conversion factor = 1.3500.5.Which of the following is not an option open to the party with a short position inthe Treasury bond futures contract (circle one)(a)The ability to deliver any of a number of different bonds(b)The wild card play(c)The fact that delivery can be made any time during the delivery month(d)The interest rate used in the calculation of the conversion factor6. A trader enters into a long position in one Eurodollar futures contract. How muchdoes the trader gain when the futures price quote increases by 6 basis points?_ _ _ _ _ _7. A company invests $1,000 in a five-year zero-coupon bond and $4,000 in aten-year zero-coupon bond. What is the duration of the portfolio? _ _ _ _ _ _8.The modified duration of a bond portfolio worth $1 million is 5 years. Byapproximately how much does the value of the portfolio change if all yieldsincrease by 5 basis points? Indicate whether the dollar amount you calculate is an increase or a decrease _ _ _ _ _ _ _ _ _ _ _ _ _9. A portfolio is worth $24,000,000. The futures price for a Treasury note futurescontract is 110 and each contract is for the delivery of bonds with a face value of $100,000. On the delivery date the duration of the bond that is expected to becheapest to deliver is 6 years and the duration of the portfolio will be 5.5 years.How many contracts are necessary for hedging the portfolio? _ _ _ _ _ _ _10.Which of the following is true (circle one)(a)The futures rates calculated from a Eurodollar futures quote is always less thanthe corresponding forward rate(b)The futures rates calculated from a Eurodollar futures quote is always greaterthan the corresponding forward rate(c)The futures rates calculated from a Eurodollar futures quote should equal thecorresponding forward rate(d)The futures rates calculated from a Eurodollar futures quote is sometimesgreater than and sometimes less than the corresponding forward rate。

金融衍生工具练习题33页PPT

金融衍生工具练习题
6、法律的基础有两个，而且只有两个……公平和实用。——伯克 7、有两种和平的暴力，那就是法律和礼节。——歌德
8、法律就是秩序，有好的法律才有好的秩序。——亚里士多德 9、上帝把法律和公平凑合在一起，可是人类却把它拆开。——查·科尔顿 10、一切法律都是无用的，因为好人用不着它们，而坏人又不会因为它们而变得规矩起来。——德谟耶克斯
1、最灵繁的人也看不见自己的背脊。——非洲 2、最困难的事情就是认识自己。——希腊 3、有勇气承担命运这才是英雄好汉。——黑塞 4、与肝胆人共事，无字句处读书。——周恩来 5、阅读使人充实，会谈使人敏捷

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〕。

Unit 6 Investment Banking

Unit6 Investment BankingThe practice of Investment Banking投资银行实务Venture Capital and Acquisition1．Investment banks are involved with venture capital investments. This includes venture capital fund management, taking portfolio companies public, or selling out to other businesses. Most investment banks have venture capital operations. Venture capital typically provides capital and strategic guidance to companies that may be recently formed and rapidly growing, but not yet large enough to access the public equity markets. Venture investing includes startups, growth stage, buyouts, and consolidation and company turnaround. Venture Capital Markets describes venture capital operations, investment agreements, and exit strategies. Mergers and Acquisitions (M&As) are an integral part of investment banking business. Mergers and Acquisitions covers strategic planning,valuation, financing, closing, and legal considerations. Top advisors in the United States include Merrill Lynch, Goldman Sachs, Morgan Stanley Dean WiRerlomon Smith Barney, Lehman Brothers, Credit Suisse First Boston. JP Morgan, Bear Steams, and DLJ.投资银行实务风险投资与收购Investment banks are involved with venture capital investments.投资银行会参与风险投资业务This includes venture capital fund management, taking portfolio companies public, or taking the selling out to other businesses.fund management：基金管理Pottfolio companies: 可译为组合公司。

新编金融英语教程 Chapter6 Financial Markets

Chapter 6
Overview of the Financial Markets
CONTENTS
6.1 L e a d - i n 6.2 K e y Po i n t s 6.3 L a n g u a g e N o t e s 6.4 F o l l o w - u p Ta s k s 6.5 E x t e n d e d Ta s k s
6.3 Language Notes
III. Sentences
1. Financial markets are typically defined by having transparent pricing, basic regulations on trading, costs and fees, and market forces determining the prices of securities that trade.
2. Financial markets can be classified as debt or equity markets, as primary or secondary markets, as exchanges and Over-the-Counter markets, as money or capital markets, or as spot or futures and forward markets.
discuss the various functions of the financial market.
6.2 Key Points
6.2.1 Definition of Financial Markets
￥$
Financial Markets

金融英语 Unit 6

recognition of interest income
Credit Risk Management
How to manage the credit risk ?
A
B
C
D
obtain certain basic information: the integrity ability to repay financial position, how much money purpose of the loan how long how to repay
Foreign Exchange Rate Risk Management
How to avoid the foreign exchange rate risk ?
Finance for the required amount and time in any currency
Sell in the forward market the inflow currency against the outflow currency for the specific dates when the inflows are expected
loan approval and
administration
procedures, and
appropriate loan
documentation
credit rationing refuse to make a loan of any amount to a borrower even if the borrower is willing to pay a higher interest rate make a loan but restricts the size of the loan to less than the borrower would like

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_课程习题-答案

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。

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。

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。

金融衍生工具练习题及答案（英文版）

金融衍生工具DerivativesExercises AnswersQuestion 1The basis strengthens unexpectedly. Which of the following is true (circle one)(a) A short hedger's position improves.(b) A short hedger's position worsens.(c) A short hedger's position sometimes worsens and sometimes improves.(d) A short hedger's position stays the same.Short Hedge•Suppose thatF1: Initial Futures PriceF2: Final Futures PriceS2: Final Asset Price•You hedge the future sale of an asset by entering into a short futures contract•Price Realized=S2+(F1 –F2)= F1+Basis3Question 2On 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?Long Hedge•Suppose thatF1: Initial Futures PriceF2: Final Futures PriceS2: Final Asset Price•You hedge the future purchase of an asset by entering into a long futures contract•Cost of Asset=S2–(F2–F1)= F1+ Basis =19+(24-23.5)=19.55Question 3The 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?pute 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?Margins and Marking-to-Market, in DollarsDATE FUTURESPRICE CASHFLOWBEGINNINGMARGINCASHWITHDRAWALENDINGMARGINDay 1900004,0004,000 Day 2903-3003,70003,700 Day 3912.5-9502,7501,2504,000 Day 489814505,450-1,4504,000 Day 58908004,800-8004,000•Since he sold gold futures, he is bearish.•The beginning margin is the margin level at the end of the trading day. •The ending margin is the after-cash flow adjustment based on the margin call or removal of excess margin.–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).•Mr Smith will get a margin call when the account value falls to $3,000 or loses 4,000 –3,000 = $1,000. As Mr Smith loses $100 for each $1increase in gold price, he will lose $1,000 if gold increases by $10.•He will have to secure $1,000 in cash.•His profit during the five days is: 1450 + 800 –1250 = $1000Question 4•Suppose that a March put option to sell a share for $40 costs $3.5 and is held until March.a. Draw a diagram illustrating how the profit from a shortposition in the option depends on the stock price atmaturity of the option.b. Under what circumstances will the option beexercised? If the option is exercised, will the seller ofthe option make profit? What is the maximum loss the seller may suffer?Question 5•The current £/$US spot exchange rate is 0.680. If you invested one UK pound for 90 days in the domesticriskless asset you would earn £1.05, and if you invested one US dollar for 90 days in the US riskless asset you would earn 1.01 dollars (assume continuouscompounding). A broker offers you a 90-day forwardcontract to buy or sell one million US dollars at theexchange rate of 0.60 pounds/dollar.•Can you make an arbitrage profit? If so, explain.Answer:Yes, there is arbitrage profit.90 days Present value Present value basedon spot rate$USD 1 million 1/1.01=0.9901 million 0.9901 * 0.68= UKP 0.6733 M£Worth:0.6733*1.05 = UKP0.7070 M USD 1.1783 M UKP 0.6733 MUKP 0.6733 M1.Borrow USD 0.9901M, change to UKP 0.6733 M2.Hold for 90 days, 0.6733*1.05 =UKP0.7070 M3.Change to USD, 0.7070M/0.60 = USD 1.17834.Repayment of the loan. Profit = 1.1783 –1 = USD 0.1783 millions.Question 6Prove the result F2= F1e r(t2 –t1)where F2and F1are two forward prices on the same commodity with maturity dates t1and t2(t1< t2), and r is the risk-free interest rate.Answer:F(t,T) = S(t)e r(T –t)where S is today’s spot, S1is spot at time t1and S2is spot at time t2,F1= Se rt1=> S = F1e–rt1and F2= Se rt2=> S = F2e–rt2Equate the two results to get F1e–rt1= F2e–rt2Multiplying both sides by e rt2gives the result.Question 7This is February. Forward prices for April and June forward contracts for gold are $900 and $915 per ounce, respectively, and the riskless yearly rate is 5%. Can you make arbitrage profits? Explain. Assume that the time differencebetween the maturity of the two contracts is 60 days.Question 8The current value of the Dow Jones Industrial Average is 11,200.The dividend yield is 3.00 per annum, assuming continuouscompounding and a 365-day year.a) What is the 60-day Dow Jones Industrial Average futures price?The interest rate is 10%.b) The Dow slides down and a week later ends at 10,500. What isthe 53-day forward price? What is the value of the forwardcontract to the long? Assume that the forward contract’s payoffs are determined by multiplying the above results by $10.a)R=10%, the continuous compounded interest rate:e r= 1+10%r = ln(1.10) = 9.53%The 60-day forward price:F0= S0e(r–q )T= 11,200e(0.0953 –0.03)(60/365)= 11,321b) The 60-day forward price:F0= S0e(r–q )T= 10,500 e(0.0953 –0.03)(53/365)= 10,600the value of the forward contract to long:= (10,600–11,321) e-0.0953 *(53/365)= –711.1If the forward’s payoffs are determined by multiplying the payoff by $10, then the long has lost $7,111Question 9•Show that a newly written forward contract is equivalent to a portfolio consisting of one purchased European call option on the underlying asset and one written European put option on the underlying asset, both with a common expiration date equal to the delivery date, and both with a common striking price equal to the forward price, F.Question 10A company has a $36 million portfolio with a beta of 1.2. The S&P index is currently standing at 900. Futures contracts on $250 times the index can be traded. What trade is necessary to achieve the following. (Indicate the number of contracts that should be traded and whether the position is long or short.)•Eliminate all systematic risk in the portfolio •Reduce the beta to 0.9•Increase beta to 1.8Question 11•What is the lower bound for the price of a four-month call option on a non-dividend paying stock when thestock price is $28, the strike price is $25, and therisk-free interest rate is 8% per annum?•What is the lower bound for the price of a one-month European put option on a non-dividend paying stockwhen the stock price is $12, the strike price is $15,and the risk-free interest rate is 6% per annum?i) 66.32528)12/4(08.00=−=−−−eKeS rTii)93.215)12/1(06.00==−−−eS KerTQuestion 12An investor is looking at the options market, where the following prices are being quoted for American options (stock price = $30).MONTH & STRIKE CALL PRICE PUT PRICEMay 2542May 3013June 3012a) The investor is exploring the ways to make some arbitrage profits. Explain the different ways to make arbitrage profits based on the above information.b) Draw the payoff diagrams with options. In particular,i) a straddle (long call and long put with May 25)ii) a bull spread (long May 25 call and short May 30 call)Question 13The following prices are given for European options on a particular stock expiring in December.Dec 50 call = $7Dec 55 call = $3Dec 50 put = $4Dec 55 put = $8Draw the profit and loss diagram on the expiration date from the following positions:(a) A bull spread (long Dec 50 call and short Dec 55 call).(b) A straddle (long Dec 55 call and long Dec 55 put).(c) A strangle (long Dec 50 put and long Dec 55 call)Question 14A non-dividend paying stock sells for $7.59. What is the theoretical value of a European style, $8 call with 1 year until expiration, assuming interest rates of 12% (with continuous compounding) and annual volatility of 30%?)1( 0D Kec S p rT++=+−724.16.06.06.0)12/7(12.0)12/4(12.0)12/2(12.0=++=−−−e e e D The put-call parity relationship with dividends becomes:where D denotes the present value (PV) of dividend payments. We expect three dividend payments of $0.60 in 2, 4 and 7 months. Therefore:956.5724.1363)12/8(12.000=⇒++=−++=⇒++=+−−−p e S D Ke c p D Ke c S p rT rT Now we have everything we need in equation (1) to compute the value of the put option:Question 16Use the put-call parity relationship to derive, for a non-dividend-paying stock, the relationship between:•The delta of a European call and the delta of a European put.•The gamma of a European call and the gamma of a European put.•The vega of a European call and the vega of a European put.•The theta of a European call and the theta of a European put.Question 17• A non-dividend paying stock sells for $10/share. In three months it will be either $12/share or $8/share. The risk free interest rate is 5% per annum (with continuouscompounding).(a) What is the value of a put option if the strike price is $10using no-arbitrage valuation?(b) What is the call price with the same strike and maturity?(c) Suppose that the market value of the put option is $2.Explain whether you can make arbitrage profits.The riskless portfolio is: long 0.5 shares and long 1 put option. The value of the portfolio in 3 months is 12*0.5 = 6.The value of the portfolio today is 6*e – 0.05*0.25 = 5.92.The value of the put option = 5.92 – 10*0.5 = $0.92– r t- 0.05*0.25b) c = p + S0 - K e = 0.92 + 10 - 10 e = $1.04c)Sell the traded put for $2buy a synthetic put for $0.92 (short sell 0.5 stocks and lend $(0.5*10 + 0.92) = 5.92 at the interest rate of 5% per annum).Today: Net cash flow is 2 + 0.5*10 - 5.92 = + $1.08.At maturity:(i) If the stock price is 12,cash flow from the traded put is 0,cash flow from the synthetic put is –0.5*12 + 5.92 e 0.05*0.25 = 0. (ii) If the stock price is 8,cash flow from the traded put is –(10 – 8) = –2,cash flow from the synthetic put is –0.5*8 + 5.92 e 0.05*0.25 = 2.Net cash inflow is –2 + 2 = 0.Thus $1.08 is the arbitrage profit you can make today.Question 18Consider a European call option on a non-dividend-paying stock where the stock price is $40, the strike price is $40, the risk-free rate is 4% per annum, the volatility is 30% per annum, and the time to maturity is six months.a)Calculate u, d, and p for a two-step tree.b)Value the option using a two-step tree.Question 19The volatility of a stock price is 30% per annum. What is the standard deviation of the percentage price change in one trading day?Question 20Explain the principle of risk-neutral valuation.。