上海工程技术大学期货与期权07~08第二学期期末试卷及答案.doc

（勤奋、求是、创新、奉献）20072008学年第二学期考试试卷主考教师_葛开明_学院 管理学院 班级 _ 姓名 _ 学号 _Futures and options课程试卷（本卷考试时间 90 分钟）题号一二三四五总得分题分2010152035100得分一 选择题 （在每小题的备选答案中选出一个正确答案，填在下列表内。每小题 2 分，共20 分）123456789101 A client goes long 2 futures contracts of corn, 5000 bushels per contract. The inial margin is $0.30 per bushel. How much should he deposit in his margin account?A. $1,000 B. $1,500 C. $2,000 D. $3,0002. The maximum potential loss of the buyer of an option is ( )A.the strike price B the strike price less the premiumC the premiumD unlimited 3 If the futures price of soybean is RMB 5505 yuan per ton. And the spot price is RMB5550 yuan per ton, In this case ,the basis is ( )A RMB 45 yuan BRMB 45 yuanC RMB 11055 yuanDRMB 11055 yuan 4 the intrinsic value of a call option is ( )A the strick price minus time valueB the market price minus time value C the strick price plus time valueD the market price plus time value5 When a new futures trading is completed the open interests of the contract will ( )A increaseB decreaseC unchangedD uncertain6.At the end of each trading day, the clearing-house will mark to the market all outstanding futures positions. This is called ( )A. offsettingB. settlementC. marginingD. speculating7. A bull spreads is composed of a long position in a call option and a short position in another call option on the same stock with ( )strike price. Both options have the same expiration date.Aa higher B. a lowerC the same D different 8 When a speculator shorts a certain share in the futures market, he expects the price of the share will ( ).A go up B. fall downC remain stableD.fluctuate9 If the basis increases positively, ( ) will make profits.A an investor who takes a long position in spot marketB an investor who takes a short position in spot marketC long hedgerD short hadger10 A grain dealer who is currently holding no inventory of soybeans has sold forward an amount of soybeans for delivery next January. He would hedge this forward sale byA going long futures and buying the actualsB selling futures and delivering against the contractC selling futuresD buying futures二判断题（判断下述命题的正误，并说明理由。每小题 2 分，共 10 分）1. The forward contracts are not marked to the market daily. 2. When a futures contract is offset, delivery is made immediately.3. When the price goes up, the writer of call option can give up his liablility.4. The buyer of a put option is required to deposit money into margin account.5. In the case of the futures contract on stock index, the seller can deliver the underlying assets, instead of cash settlement.三名词解释（每小题 3 分，共 15 分）1.intrinsic value of an option2.marking to market3.American option4 hedge5 position limit四问答题（每小题5 分，共 20分）1. What are the differences betweem futures and f ars? 2.What is the basis risk for a long hedge strategy?.3.Explain carefully the difference between writing a put option and buying a call option.4 Explain the convergence of futures price to spot price 五计算题（共35分）1. An investor enters into a long futures contracts to buy 5 tons of copper (5 tons per contract) for RMB 62,150 yuan per ton. The initial margin is RMB30,000 yuan per contract and the maintenance margin is RMB20,000 yuan. What change in the futures price would lead to a margin call? Under what circumstance the investor makes a profit of RMB 15,000 yuan ?(5 points)需要保证金30000，保证金账户里还剩余20000，未来期货价格怎么变动投资者可以有15000的收益2. Consider a future contract on gold that calls for the delivery of 50 oz. in three months from now. The spot price of gold is $950 per oz, it casts $5 to store gold per oz for three months payable in arrears. The risk-free interest rate is 5% annum with continuous compounding. What should be the price of this contract?(5ponts)3. Suppose the quoted price（报价） of Treasury bond futures is 100-10 in CBOT, Which of the following four bonds is cheapest to deliver? (5ponts)BondPrice Conversion factor1125-081.22312142-161.39603115-241.12504144-001.42254 The three-month interest rates in UK and the USA are 4.2% and 3.5% per annum, respectively, with continuous compounding. The spot exchange（即期外汇） rate of British pound is $1.9860. The futures exchage rate for a contract deliverable in three-month is $1.9290, What arbitrage opportunities does this create? How much is the profits of the arbitrage,if you can borrow 10000 pound or equal value of dollar from the bank? (10points)5 A stock is currently trading at $62. A three-month call with a strick price of $65 costs $2, whereas a three-month put with the same strick price costs $4. An investor buys both the put and the call. （1）Please draw a diagram of the stratagy,and show the range of the stock price on which the investor will make profit.（2）When the stock price is $58, What is the result of the stratagy?(10points) （勤奋、求是、创新、奉献）20072008学年第二学期考试试卷主考教师_葛开明_学院 管理学院 班级 _ 姓名 _ 学号 _Answer Sheet ofFutures and options（本卷考试时间 90 分钟）题号一二三四五总得分题分2010152035100得分二 选择题 （在每小题的备选答案中选出一个正确答案，填在下列表内。每小题 2 分，共20 分）12345678910DCABDB ABDC1 A client goes long 2 futures contracts of corn, 5000 bushels per contract. The inial margin is $0.30 per bushel. How much should he deposit in his margin account?E. $1,000 F. $1,500 G. $2,000 H. $3,0002. The maximum potential loss of the buyer of an option is ( )A.the strike price B the strike price less the premiumC the premiumD unlimited 3 If the futures price of soybean is RMB 5505 yuan per ton. And the spot price is RMB5550 yuan per ton, In this case ,the basis is ( )A RMB 45 yuan BRMB 45 yuanC RMB 11055 yuanDRMB 11055 yuan 4 the intrinsic value of a call option is ( )A the strick price minus time valueB the market price minus time value C the strick price plus time valueD the market price plus time value5 When a new futures trading is completed the open interests of the contract will ( )A increaseB decreaseC unchangedD uncertain6.At the end of each trading day, the clearing-house will mark to the market all outstanding positions. This is called ( )E. offsettingF. settlementG. marginingH. speculating7. A bull spreads is composed of a long position in a call option and a short position in another call option on the same stock with ( ) strike price. Both options have the same expiration date.Aa higher B. a lowerC the same D different 8 When a speculator shorts a certain share in the futures market, he expects the price of the share will ( )A go up B. fall downC remain stableD.fluctuate9 If the basis increases positively, ( ) will make profits.A an investor who takes a long position in spot marketB an investor who takes a short position in spot marketC long hedgerD short hadger10 A grain dealer who is currently holding no inventory of soybeans has sold forward an amount of soybeans for delivery next January. He would hedge this forward sale byA going long futures and buying the actualsB selling futures and delivering against the contractC selling futuresD buying futures二判断题（判断下述命题的正误，并说明理由。每小题 2 分，共 10 分）1. The forward contracts are not marked to the market daily. Ture. The future contracts are marked to the market daily,forward contracts not.2. When a futures contract is offset, delivery is made immediately.Faulse. After the last trading day, the contracts havent been offsetted will take delivery.3. When the price goes up, the writer of call option can give up his liablility.False. The writer of an option has no right to choose but has to take the liability when the buyer decides to exercise his right.4. The buyer of a put option is required to deposit money into margin account.False. The buyer of a option pays primiun for the option and is not required to deposit money,5. In the case of the futures contract on stock index, the seller can deliver the underlying assets, instead of cash settlement.False. In the case of stock index futures, cash settlement is made instead of delivering the underlying assets. 三名词解释（每小题 3 分，共 15 分）1.intrinsic value of an optionthe maximum of zero and the value of the option would have if it were exercise immediately.2.marking to marketthe process of calculating, usually on a daily basis, the actual margin in an investors account, to reflect the daily changes in the market value of the contracts.3.American optionAmerican option: It can be exercise at any time up to the expiration date.4 hedgeA kind of trade which primary objective is to offset an otherwise risky position. 5 position limitthe maximum position a trader (or group of traders acting together) is allowed to hold.The purpose of the regulation is to prevent some investors from manipulating the price.四问答题（每小题5 分，共 20分）1. What are the differences betweem futures and forwars? forward: traded in OTC, unstandardized, delivery in the maturity, not settled daily but at the end of contract future: traded in Exchange, standardized, most offset before maturity. mark to the market daily, involve margin account2.What is the basis risk for a long hedgers position?.As the futures price of underlying assets is not moving in pace with spot price exactly, the hedger will bear the basis risk. Basis=spot price of asset to be hedged futures price of contract used. The investor who takes long hedge strategy is expected to buy the assets in the future,therefore, he enters into futures market with long position. If the spot price goes up fast than the futures price, the strategy cant neutralize the price risk. In this case, the cash outflow of a long hedgers position that is the cost of the asset the hedger will pays, is The hedging risk is the uncertainty associated with b2. It means that the hedger will pay more if the b2 is bigger. 3.Explain carefully the difference between writing a put option and buying a call option.Both of the investors have the same expectation of the price changes. They consider the price will go up in the future. A call option gives the holders the right to buy an asset by a certain date for a certain price. A put option gives the holders the right to sell an asset by a certain date for a certain price. The writer of a put option receives cash up front, but has potential liabilities to buy the underlying asset by a certain date for a certain price later. Also, the writer of a put option is required to maintain funds in a margin account that avoids contract defaults. In the case of the price moves unfavorably, the risk of the wirter is graeter. The purchaser of a call option has the right to buy an asset by a certain date for a certain price. The option price must be paid in full. In the case of the price moves unfavorably, the buyer of the call can give up the right. Therefore, the risk of the buyer is limited to the option price.4 Explain the convergence of futures price to spot price Convergence of futures price to spot price means that when the delivery period is reached, the futures price equals, or is very close to ,the spot price. It is because that if future price is different from spot price , the arbitrage opportunity exists. For example, if the futures price is above the spot price during the delivery period,the traders can short a futures contract,meanwhile, buy the asset and make delivery.The arbitrage will lead to a profit equal to the spead of futures price and spot price. As the result of arbitrage,the futures price will fall and the spot price will increase.五计算题（共35分）1. An investor enters into a long futures contracts （多头合约）to buy 5 tons of copper (5 tons per contract) for RMB 62,150 yuan per ton. The initial margin is RMB30,000 yuan per contract and the maintenance margin（持仓保证金） is RMB20,000 yuan. What change in the futures price would lead to a margin call? Under what circumstance the investor makes a profit of RMB 15,000 yuan ?(5 points)怎样赚15000621502000=60,150Answer:When the futures price falls down toRMB 60,150 yuan per ton, the investor will receiver a margin call.(P62150)*5=15000 P=65,150Answer:When the futures price is RMB 65,150 yuan per ton, the investor will make a profit of RMB 15,000 yuan.A shot feature contract 空头空头的话第一题加，第二题变减30002. Consider a future contract on gold that calls for the delivery of 50 oz盎司. in three months from now. The spot price of gold is $950 per oz. It costs $5 to store gold per oz for three months, payable in arrears. The risk-free interest rate is 5% annum with continuous compounding. What should be the price of this contract?(5ponts)远期Answer:The price of the contract is $48347.503. Suppose the quoted price of Treasury bond futures is 100-10 in CBOT, Which of the following four bonds is cheapest to deliver? (5ponts)BondPrice Conversion factor1125-081.22312142-161.39603115-241.12504144-001.4225Answer: The bond4 is the cheapest one to deliver.4 The three-month interest rates in UK and the USA are 4.2% and 3.5% per annum, respectively, with continuous compounding. The spot exchange rate of British pound is $1.9860. The futures exchange rate for a contract deliverable in three-month is $1.9290, what arbitrage opportunities does this create? How much is the profits of the arbitrage, if you can borrow 10000 p