金融衍生工具全套试题
金融衍生工具练习试卷3(题后含答案及解析)
金融衍生工具练习试卷3(题后含答案及解析) 题型有：1. 单项选择题 2. 多项选择题 3. 判断题单项选择题本大题共70小题，每小题0.5分，共35分。
以下各小题所给出的四个选项中，只有一项最符合题目要求。
1．当交易者连续亏损,保证金余额不足以维持最低水平时,结算所会通过经纪人发出追加保证金的通知,要求交易者在规定时间内追缴保证金达至( )水平。
A．初始保证金B．维持保证金C．最低保证金D．结算保证金正确答案：A 涉及知识点：金融衍生工具2．期货交易实行无负债的每日结算制度,又称逐日盯市制度,以( )个交易日为最长的结算周期,从而控制市场风险。
A．1B．3C．5D．7正确答案：A 涉及知识点：金融衍生工具3．通常,交易所规定的大户报告限额( )限仓限额。
A．大于B．大于或等于C．等于D．小于正确答案：D 涉及知识点：金融衍生工具4．期货交易所通常对每个交易时段允许的最大波动范围作出规定,一旦达到涨(跌)幅限制,则高于(低于)该价格的多头(空头)委托无效的规定是( )。
A．无负债结算制度B．每日价格波动限制C．断路器规则D．限仓制度正确答案：C 涉及知识点：金融衍生工具5．外汇期货是以外汇为基础工具的期货合约,主要作用是( )。
A．增加投资品种B．规避外汇风险C．增加金融衍生工具品种D．进行外汇投资正确答案：B 涉及知识点：金融衍生工具6．( )主要是指人们在国际贸易中因汇率变动而遭受损失的可能性,是外汇风险中最常见且最重要的风险。
A．商业性汇率风险B．债权债务风险C．储备风险D．结算风险正确答案：A 涉及知识点：金融衍生工具7．利率期货的基础资产主要是( )。
A．即期利率B．远期利率C．固定收益金融工具D．利率指数正确答案：C 涉及知识点：金融衍生工具8．1975年10月,利率期货产生于( )。
A．美国证券交易所B．堪萨斯农产品交易所C．纽约证券交易所D．芝加哥期货交易所正确答案：D 涉及知识点：金融衍生工具多项选择题本大题共60小题，每小题0.5分，共30分。
金融衍生工具练习题及答案(英文版)
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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?
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Short Hedge
• Suppose that F1 : Initial Futures Price F2 : Final Futures Price S2 : Final Asset Price • You hedge the future sale of an asset by entering into a short futures contract • Price Realized=S2+ (F1 – F2) = F1 + Basis
金融衍生工具的投资价值分析_真题(含答案与解析)-交互
金融衍生工具的投资价值分析(总分39, 做题时间90分钟)一、单项选择题(以下备选答案中只有一项最符合题目要求)1.某公司股票发行价格为25元，认股权证的预购股票价格为20元。
经过一个月后，该公司股票市价升至50元，如果不考虑费用，此时认股权证的理论价值等于( )元。
SSS_SINGLE_SELA 5B 20C 25D 30分值: 0.5答案:D[解析] 认股权证的理论价值＝认购股票市场价格-认股价格＝50-20＝30(元)。
2.某公司发行可转换债券，确定的转换价格为40元，其股票的市场价格为30元，则转换比率( )。
SSS_SINGLE_SELA 升水25%B 升水33%C 贴水33%D 贴水25%分值: 0.5答案:B[解析] 转换升水比率＝(转换平价-标的股票的市场价格)÷标的股票的市场价格×100%＝(40-30)÷30×100%≈33%。
3.以下关于期权价格的说法错误的是( )。
SSS_SINGLE_SELA 在其他条件不变的情况下，期权期间越长，期权价格越高B 通常权利期间与时间价值存在同方向的线性关系C 标的物价格的波动性越大，期权价格越高D 利率对期权价格的影响是复杂的，应根据具体情况作具体分析分值: 0.5答案:B[解析] 通常权利期间与时间价值存在同方向但非线性的影响。
4.现金结算权证行权时，发行人( )。
SSS_SINGLE_SELA 对标的证券按照市场价进行现金结算B 对标的证券按照行权价进行现金结算C 仅对标的证券的市场价与行权价格的差额部分进行现金结算D 对标的证券进行实际转移分值: 0.5答案:C[解析] 现金结算权证行权时，发行人仅对标的证券的市场价与行权价格的差额部分进行现金结算；实物交割权证行权时则涉及到标的证券的实际转移。
5.假设某认股权证目前股价为4.6元，权证的行权价为4.5元，存续期为1年，股价年波动率为0.3，无风险利率为8%，则认股权证的价值为( )元。
金融衍生工具（含答案）
对外经济贸易大学远程教育学院2005——2006学年第一学期2005《金融衍生工具》期末模拟题（请和本学期公布的大纲核对，答案供参考）题型设置：单选题：25*2分多选题：10*3分判断：20*1分一 、单选题1、如果X=执行价格，S=到期时资产价格，P=期权价格。
则：MAX（S-X，0）- P 为：为：、单位看涨期权的空头损益、单位看涨期权的多头损益B、单位看涨期权的空头损益A、单位看涨期权的多头损益C、单位看跌期权的多头损益、单位看跌期权的多头损益、单位看跌期权的多头损益 D、单位看跌期权的多头损益2、某投资者购买100份10月份小麦欧式看跌期权，执行价格为3400美元/千蒲式耳，假定小麦现货价为3450美元/千蒲式耳，期权价格为10美元。
如果到期时小麦现货价为3300美元/千蒲式耳，则其损益为蒲式耳）——，出售期权者的损益又是——。
（一份小麦期货合约量为5000蒲式耳）A、5.5万美元；- 5.5万美元万美元万美元 B、4.5万美元；- 4.5万美元C、3.0万美元；- 3.0万美元万美元 D、2.5万美元；- 2.5万美元3、存托凭证的发行主体是——。
、存托凭证的发行主体是——。
A、外国公司中央存券信托公司、存券银行 D、 中央存券信托公司、外国公司 B、托管银行、托管银行 C、存券银行4、只有在到期日才能执行买卖权利的金融期权称为——。
A、看涨期权、美式期权、看涨期权 B、看跌期权、欧式期权 D、美式期权、看跌期权 C、欧式期权5、在美国长期国债是指——年以上。
、在美国长期国债是指——年以上。
A、5B、10C、15D、206、主要是期货期权的交易所包括——。
、主要是期货期权的交易所包括——。
芝加哥商品交易所A、费城交易所 B、芝加哥商品交易所B、芝加哥期权交易所D、C、芝加哥期货易所 D、芝加哥期权交易所7、假设某投资者2002年8月30日开仓建一空头部位：日开仓建一空头部位：在在8622点卖出12月份道指期货一万张。
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。
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。
金融衍生工具第一套答案
金融衍生工具第一套答案在线考试金融衍生工具第一套试卷总分：100 考试时间：100分钟一、单项选择题1、下列属于衍生金融工具的是（）(答题答案：C)A、股票B、债券C、期货D、外汇2、一家美国的进口商A90天后要支付给英国出口商B500万英镑，那么，为了避免这一风险，A方可以（）(答题答案：A)A、在远期外汇市场买入90天远期500万英镑B、在远期外汇市场卖出90天远期500万英镑C、立即买入500万英镑D、立即卖出500万英镑3、假设目前黄金现货价格为每盎司400美元，90天远期价格为450美元，90天银行贷款利率为年利8%，套利者应如何套利(答题答案：A)A、借入400万美元，买入1万盎司现货黄金，同时，在90天远期市场卖出1万盎司B、借入400万美元，卖出1万盎司现货黄金，同时，在90天远期市场卖出1万盎司C、借入400万美元，买入1万盎司现货黄金，同时，在90天远期市场买入1万盎司D、借入400万美元，卖出1万盎司现货黄金，同时，在90天远期市场买入1万盎司4、假设90天远期英镑价格为1.58美元，如果投机者预计90天后英镑的价格会高于这一水平，则他应该（）(答题答案：B)A、卖出远期英镑B、买入远期英镑C、卖出远期美元D、买入远期美元5、衍生金融工具产生的客观背景是（）(答题答案：A)A、金融市场上的价格风险B、金融理论的发展C、金融机构的推动D、科技的发展6、如果一年期的即期利率为10%，两年期的即期利率为10.5%，那么一年到两年的远期利率为（）(答题答案：C)A、0.1B、0.105C、0.11D、0.1157、假设美国某银行外汇标价为USD/GBP=1.5550/60，远期汇差为40/30，则远期汇率为（）(答题答案：B)A、USD/GBP=1.5510/30B、USD/GBP=1.5510/90C、USD/GBP=1.5590/90D、USD/GBP=1.5590/308、一公司认为6个月后的3个月中市场利率上升的可能性很大，准备利用远期合约进行投机。
金融衍生工具题库(英文版)
二、多选英语1．The current stock price is ＄29 and a 3-month call with a strike price of ＄30 costs ＄2.90. Under what circumstances will the option be exercised?（）A．stock price is 29$ B．stock price is 30.90$C．stock price is 26$ D．stock price is 35$2．Trading strategies of hedge funds include （）A．Market neutral B．Treasury bondsC．Convertible arbitrage D．Emerging markets3．When the spot price is above the futures price during the delivery period，a clear arbitrage opportunity by traders is （）A．Make delivery B．Buy a futures contractC．Buy the asset C．Sell a futures contract E．Sell the asset4．Individuals taking positions can be categorized as （）A．scalpers B．hedgers C．arbitrageurs D．speculators 5．The main features that futures are different from forward are （）A．Settled daily B．Some credit riskC．Standardized contract D．Traded on an exchange6．If the price of gold goes up，the conclusions that the following are correct are （）A．The company that does not use futures contracts to hedge its purchase is unaffected on its gross profit margin.B．The company’s profit margin will increase after the effects of hedge have been taken into account.C．The company’s profit margin will decrease after the effects of hedge have been taken into account.D．The wholesale price of the jewelry will tend to lead a corresponding decrease. 7．When β=3.0，it illustrates that（）A．the excess return on the portfolio tends to be three times as great as the excess return on the marketB．the sensitive to market movement is twice as a portfolio with a beta 1.5C．it is therefore necessary to use twice as many contracts to hedge the portfolio D．if the beta of portfolio falls to 2.0，the number of contracts shorted should increase8．The bank’s statement that the interest rate is 10% means that $100 grow to （）A．$110.38 when the interest rate is measured with semiannual compounding B．$110.52 when the interest rate is measured with daily compoundingC．$110.52 when the interest rate is measured with continuous compounding D．$110.47 when the interest rate is measured with monthly compounding 9．Suppose the underlying asset is gold and assume no storage costs or income. If F0<S0e rT，an investor can adopt the following strategy to make a profit.（）A．Borrow S0 dollars at an interest rate r for T yearsB．Sell the gold for S0C．Take a long position in a forward contract on 1 ounce of time TD．Invest the proceeds at interest rate r for time T10．When S is strongly positively correlated with interest rates，so （）A．Forward prices will tend to be slightly higher than futures pricesB．Futures prices will tend to be slightly higher than forward pricesC．when S increases，an investor who holds a long futures position makes an immediate gainD．when S decreases，an investor who holds a long forward contract is not affected.11．If the futures price is an increasing function of the time to maturity，so （）A．the benefits from holding the asset are less than the risk-free rateB．it is usually optimal for the party with the short position to deliver as late as possibleC．the interest earned on the cash received outweighs the benefits of holding the assetD．futures prices should be calculated on the basis that delivery will take place at the end of the delivery period.12．The day count conventions that are commonly used in the United States are （）A．actual/365 B．actual/actual C．30/360 D．actual/360 13．The examples of the instruments that can be used for hedging by swap market maker are （）A．bonds B．forward rate agreements C．stock option D．interest rate futures14．Suppose that the term structure of interest rates is upward-sloping at the time the swap is negotiated，this means （）A．The value of the FRAS corresponding to early payment dates is negativeB．The forward interest rates increase as the maturity of the FRA increasesC．The value of the FRAS corresponding to later payment dates is negativeD．The forward interest rates decrease as the maturity of the FRA increases 15．The values of puts increase as （）A．The stock price decreases and the strike price decreaseB．The time to expiration increasesC．V olatility increasesD．The net effect of an interest rate increase and the accompanying stock price decrease16．The spread trading strategies that require an initial investment include （）A．A bull spread when created from putsB．A bear spread when created from putsC．A butterfly spread when created from callsD．A butterfly spread when created from puts17．When an investor is expecting a large move in a stock price，the combinations that the investor can choose include （）A．Straddles B．Strips C．Strangles D．Straps四、判断英语1．Derivatives can be dependent on almost any variable.（）2．One of the parties to a forward contract assumes a short position and agrees to buy the underlying asset on a certain specified future date for a certain specified price. （）3．Forwards and futures are similar instruments for speculators in that they both provide a way in which a type of leverage can be obtained.（）4．Future contracts offer a way for investors to protect themselves against adverse price movements in the future，but not allowing them to benefit from favorable price movements. （）5．Forwards are traded in over-the-counter market，options are traded on exchanges，but futures are traded both on exchanges and in over-the-counter market. （）6．The purpose of daily price limits is to prevent large price movements from occurring because of too many contracts. （）7．As the delivery period for a futures contract is approached，the futures price converges to the spot price of the underlying asset. （）8．A bona fide hedger is often subject to lower margin requirements thana speculator. （）9．Under the forward contract，the whole gain or loss is realized at the end of the life of the contract；under the futures contract，the gain or loss is realized day by day. （）10．A company that does hedge can expect its profit margins to be roughly constant.（）11．In general，basis risk increases as time different between the hedge expiration and the delivery month increases. （）12．A hedge using index futures removes risk arising from the performance of the portfolio ralative to the market. （）13．By choosing a portfolio so that the duration of assets equals the duration of liabilities，a financial institution eliminates its credit risk. （）14．Market segmentation theory conjectures that long-term interest rates should reflect expected future short-term interest rates. （）15．The forward price is higher than the spot price because of the cost of financing the spot purchase of the asset during the life of the forward contract. （）16．On January 8，2007，interest rates on the Swiss franc were lower than the interest rate on the Us dollar，so futures price for this currency increases with maturity. （）17．If the futures price is an increasing function of the time to maturity，it is usually optimal for the party with the short position to deliver as late as possible. （）18．When bond yields are in excess of 6%，the conversion factor system tends to favor the delivery of low-coupon short-maturity bonds. （）19．Duration matching can ensure that a small parallel shift in interest rates will have little effect on the value of the portfolio of assets and liabilities. （）20．For short maturities Eurodollar futures interest rate is not the same as the corresponding forward interest reate. （）21．The 3-basis-point spread earned by the financial institution is partly to compensate it for the risk that one of the two companies will default on the swap payments. （）22．The probability of a dafault by a company with a relatively low credit rating is liable to decrease faster than the probability of a default by a company with a relatively high credit rating. （）23．If the term structure of interest rates is downward-sloping at the time the swap is negotiated，the forward interest rates increase as the the maturity of the FRA increases. （）23．Potential losses from defaults on a swap are much less than the potential losses from defaults on a loan with the same principal. （）24．As the time to expiration increases，call American options become valuable but put American options become unvaluable. （）25．The net effect of an interest rate decrease and the accompanying stock price decrease can be to decrease the value of a put option. （）26．The value of a call option is negatively related to the size of an anticipated dividend. （）27．One of the reason that an American call on a non-dividend-paying stock should not be exercised early is the time value of money. （）28．A bull spread strategy limits the investor’s upside potential by buying a call option. （）29．A butterfly spread is an appropriate strategy for an investor who feels that stock price can move largely. （）30．For a calendar spread a loss is incurred when the stock price is significantly above or significantly below the strike price of the short-maturity option at the expiration of this option. （）31．In a strip the investor considers a decrease in the stock price to be more likely than an increase. （）32．As the probability of an upward movement in the stock price increases，the value of a call option on the stock increases. （）33．When we move from a world with one set of risk preferences to a world with another set of risk preferences，the expected growth rates in variables change and their volatilities change. （）34．If European options expiring at time T were available with every single possible strike price，any payoff function at time T could in theory be obtained. （）35．When pricing options the resulting prices are not just correct in a risk-neutral world，but in other worlds as well. （）六、填空英语1．Suppose that you enter into a short futures contract to sell July silver for ＄10.20 per ounce on the New York Commodity Exchange. The size of the contract is 5,000 ounces. The initial margin is ＄4,000, and the maintenance margin is ＄3,000. What change in the futures price will lead to a margin call?（）2．Suppose that the standard deviation of quarterly changes in the prices of a commodity is ＄0.65, the standard deviation of quarterly changes in a futures price on the commodity is ＄0.81, and the coefficient of correlation between the two changes is 0.8. What is the optimal hedge ratio for a 3-month contract?（）3．An airline expects to purchase 4 million gallons of jet fuel in 2 month and decides to use heating oil futures for hedging.Each heating oil contract traded on NYMEX is on 42 000 gallons of heating oil.We suppose F σ=0.0313，s σ=0.0263，ρ=0.928，and the spot price and the futures price are 2.74 and 2.79 dollars per gallon.So that the optimal number of contracts is （）.4．What rate of interest with continuous compounding is equivlent to 15% per annum with monthly compounding?（）5．Suppose that LIBOR zero and forward rates are as in Table 4.5.Consider an FRA where we will receive a rate of 7%，measured with annual compounding ，on a principal of $5 million between the end of year 3 and the end of year 4.So the value of the FRA is $（）.6．Suppose that 6-month, 12-month, 18-month, 24-month, and 30-month zerorates are, respectively, 4%, 4.2%, 4.6%, and 4.8% per annum, with continuous compounding.The cash price of a bond with a face value of 100 that will mature in 30 months and pays a coupon of 4% per annum semiannually is （）.7．Suppose a bond price B is 96.273，and the duration D is 3.562.Whenthe yield on the bond increases by 15 basis points ，the bond price goes down to （）.8．Suppose that you enter into a 6-month forward contract on anon-dividend-paying stock when the stock price is ＄30 and the risk-free interest rate (with continuous compounding) is 12% per annum. The forward price is $（）.9．A 1-year long forward contract on a non-dividend-paying stock is entered into when the stock price is ＄40 and the risk-free rate of interest is 10% per annum with continuous compounding. Six months later, the price of the stock is ＄45 and the risk-free interest rate is still 10%. The value of the forward contract is $（）.10．The spot price of silver is ＄9 per ounce. The storage costs are ＄0.24 per ounce per year payable quarterly in advance. Assuming that interest rates are 10% per annum for all maturities, the futures price of silver for delivery in 9 months is $（）per ounce.11．It is January 9, 2009. The price of a Treasury bond with a 12% coupon that matures on October 12, 2020, is quoted as 102-07. The cash price is （）.12．It is January 30. You are managing a bond portfolio worth ＄6 million.The duration of the portfolio in 6 months will be 8.2 years. The September Treasury bond futures price is currently 108-15, and the cheapest-to-deliver bond will have a duration of 7.6 years in September. You should hedge against changes in interest rates over the next 6 months.So you need （）contracts to short!13．On August 1, a portfolio manager has a bond portfolio worth ＄10 million. The duration of the portfolio in October will be 7.1 years.The December Treasury bond futures price is currently 91-12 and the cheapest-to-deliver bond will have a duration of 8.8 years at maturity.The portfolio manager want to immunize the portfolio against changes in interest rates over the next 2 months.So he should short （）contracts.14．Consider an exchange-traded call option contract to buy 500 shares with a strike price of ＄40 and maturity in 4 months. When there isa 4-for-1 stock split，the number of shares covered by one contractis （）.15．The rice of a European call that expires in 6 months and has a strike price of ＄30 is ＄2. The underlying stock price is ＄29, and a dividend of ＄0.50 is expected in 2 months and again in 5 months. The term structure is flat, with all risk-free interest rates being 10%.The price of a European put option that expires in 6 months and hasa strike price of ＄30 is $（）.。
中国精算师金融数学第9章 金融衍生工具定价理论综合练习与答案
中国精算师金融数学第9章金融衍生工具定价理论综合练习与答案一、单选题1、某一股票当前的交易价格为10美元，3个月末，股票的价格将是11美元或者9美元。
连续计复利的无风险利率是每年3.5％，执行价格为10美元的3个月期欧式看涨期权的价值最接近于（）美元。
A.1.07B.0.54C.0.81D.0.95E.0.79【参考答案】：B【试题解析】：在这种情形下，ｕ＝1.1，d=0.9，r=0.035，如果股票价格上升，则期权价值为1美元，如果股票价格下降，则期权价值为0。
价格上升的概率p 可以计算为（e0.035×3/12-0.9）／（1.1-0.9）=0.5439。
因此，该看涨期权的价值是e0.035×3/12×（0.5439×1）=0.54（美元）。
2、一只不分红的股票现价为37美元。
在接下来的6个月里，每3个月股价要么上升5％，要么下降5％。
连续复合收益率为7％。
计算期限为6个月，执行价格为38美元的欧式看涨期权的价值为（）美元。
A.1.2342B.1.1236C.1.0965D.1.0864E.1.0145【参考答案】：A【试题解析】：3、某股票的当前价格为50美元，在今后两个3个月时间内，股票价格或上涨6％，或下跌5％，无风险利率为每年5％（连续复利）。
执行价格为51美元，6个月期限的看涨期权的价格为（）美元。
A.1.653B.1.635C.1.615D.1.605E.1.561【参考答案】：B【试题解析】：①图的二叉树图描述了股票价格的变化行为。
向上趋势的风险中性概率p由下式给出：对于最高的末端节点（两个向上的复合），期权收益为56.18－51=5.18（美元），而在其他情况中的收益为零。
因此，期权的价值为：5.18×0.56892×e-0.05×0.5=1.635（美元）②结果同样可以通过价格树计算出来。
看涨期权的价值为图9-2中每个节点的下面的数值。