衍生产品投资(五)试题

答案：C

衍生产品投资(五)

单项选择

1.Whichofthefollowingisanexampleofanarbitrageopportunity?

A.Aportfoliooftwosecuritiesthatwillproduceacertainreturnthatisgreaterthantheriskfreerateofinterest.

B.Astockwiththesamepriceasanotherhasahigherrateofreturn.

C.Astockwiththesamepriceasanotherhasahigherexpectedrateofreturn.

答案：A

Anarbitrageopportunityexistswhenacombinationoftwosecuritieswillproduceacertainpayoffinthefuturethatproducesareturnthatisgreaterthantherisk-freerateofinterest.Borrowingattherisklessratetopurchasethepositionwillproduceacertainfutureamountgreaterthantheamountrequiredtorepaytheloan.

2.Whichofthefollowingstatementsaboutthefuturesmarketismostaccurate?A.Speculatorstradetoreducesomepreexistingriskexposure.

B.Ifatrader'saccountfallsbelowthemaintenancemarginleveltheyhavethreedaystobringitbackuptothemaintenancemarginlevel.

C.Openinterestisthenumberoffuturescontractsforwhichdeliveryiscurrentlyobligated.

Openinterestisthenumberofcontractscurrentlyinexistence.Speculatorstakeriskforreturn.Youmustbringthemarginaccountuptotheinitiallevelbythenextday'sopening.

3.Toaccountforpositivecashflowsfromtheunderlyingasset,weneedtoadjusttheput-callparityformulaby:

A.addingthefuturevalueofthecashflowstoS.

B.addingthefuturevalueofthecashflowstoX.

C.subtractingthepresentvalueofthecashflowsfromS.

答案：C

Iftheunderlyingassetusedtoestablishtheput-callparityrelationshipgeneratesacashflowpriortoexpiration,theassetsvaluemustbereducedbythepresentvalueofthecashflowdiscountedattherisk-freerate.

4.Whichofthefollowingstatementsismostaccurate?

A.Forwardcontractsrequirethatbothpartiestothetransactionhaveahighdegreeofcreditworthiness.

B.Forwardcontractsaremarkedtomarketdaily.

C.Futurescontractshavemoredefaultriskthanforwardcontracts.

答案：A

Forwardcontractsareusuallyprivatetransactionsthatdonothaveanintermediarysuchasaclearinghousetoguaranteeperformancebybothparties.Thistypeof

transactionrequiresahighdegreeofcreditworthinessforbothparties.

5.Anoptionsoldfor$10iscurrentlyin-the-money$5.Iftheunderlyingispricedat$80,whichofthefollowingbestdescribesthatoption?

A.Putoptionwithanexercisepriceof$85.

B.Putoptionwithanexercisepriceof$70.

C.Calloptionwithanexercisepriceof$75.

答案：A

Acalloptionwithanexercisepriceof$75oraputoptionwithanexercisepriceof$85willbecurrentlyin-the-money$5.

6.AU.S.bankentersintoaplainvanillacurrencyswapwithanotionalprincipalofUS$100m(￡67m).Ateachsettlementdate,theU.S.bankpaysafixedrateof8percentonthepoundsreceived,andanEnglishbankpaysavariablerateequaltoLondoninterbankofferedrate(LIBOR)ontheU.S.dollarsreceived.Giventhefollowinginformation,whatpaymentismadetowhomattheendofyear2?

TheU.S.bankpays:

A.US$5.5mandtheEnglishbankpays￡5.36m.

B.US$6mandtheEnglishbankpays￡5.36m.

C.￡5.36mandtheEnglishbankpaysUS$5.5m.

答案：C

TheU.S.bankpays8%fixedon￡67m,whichmakesforanannualpaymentof￡5.36m.

Thevariableratetobeusedattimeperiod2issetattimeperiod1(thearrearsmethod).

Therefore,theEnglishbankpays5.5%timesUS$100mforapaymentofUS$5.5m.

7.ThemainriskfacedbyanindividualwhoentersintoaforwardcontracttobuytheS&P500Indexisthat

A.themarketmayrise.

B.themarketmayfall.

C.marketvolatilitymayrise.

答案：B

Ifthemarketfalls,thebuyerofaforwardcontractcouldpaymorefortheindex,asdeterminedbythepricethatwascontractedforattheinceptionofthecontract,thantheindexisworthwhenthecontractmatures.Althoughitispossiblethatariseininterestratescouldcausethemarkettofall,thismightnotalwayshappensandthusisasecondaryconsideration.

8.Whichofthefollowingstatementsmostaccuratelydescribesthedifference

betweenLIBORandEuribor?

A.LIBORisalendingrate,whileEuriborisaborrowingrate.

B.LIBORisarepresentativeborrowingrateonU.S.dollars,whileEuriborisarepresentativeborrowingrateoneuros.

C.LIBORisaglobalrisk-freerate,whileEuriborisaEuropeanrisk-freerate.

答案：B

LIBORistherateatwhichLondonbankslenddollarstootherLondonbanks;EuriboristherateatwhichmajorEuropeanbanksborroweurosfromeachother.

9.Financialderivativesalsoprovideapowerfultoolforlimitingrisksthatindividualsandfirmsfaceintheordinaryconductoftheirbusiness.Thisisanexampleof:

A.tradingefficiency.

B.speculation.

C.riskmanagement.

答案：C

Financialderivativesprovideapowerfultoolforlimitingrisksthatindividualsandfirmsfaceintheordinaryconductoftheirbusiness.Thisisknownasriskmanagement.

10.WhichofthefollowingstatementsregardingafuturestradeofadeliverablecontractisFALSE?

A.Thelongisobligatedtopurchasetheasset.

B.Theshortisobligatedtodelivertheasset.

C.Equilibriumfuturespriceisknownonlyattheendofthetradingday.

答案：C

Eachtradeismadeatthethencurrentequilibriumprice,determinedbyopenoutcryontheflooroftheexchange,andisreportedasitisexecuted.Thelongisobligatedtobuy,andtheshortisobligatedtosell,thespecifiedquantityoftheunderlyingasset.

11.Whichstatementaboutequityforwardcontractsisleastlikelyaccurate?

A.Investorscanuseequityforwardcontractstospeculateonstock-priceincreases.B.Dividendpaymentsareusuallyincludedinequityforwardcontracts.

C.Equityforwardcontractsmayrequireassetdeliveryorcashsettlement.

答案：B

Dividendpaymentsareusuallynotincludedinequityforwardcontracts.Investorscanuseequityforwardstospeculateonstockpricemovements.Mostequityindexforwardcontractsaresettledincash,butsincetheyarecustominstruments,forwardsmayspecifyeithercashsettlementordeliveryoftheequitysharesspecifiedinthecontract.

12.WhichofthefollowingstatementsaboutputandcalloptionsisFALSE?A.Thepriceoftheoptionislessvolatilethanthepriceoftheunderlyingstock.B.Optionpricesaregenerallyhigherthelongerthetimetilltheoptionexpires.

C.Forputoptions,thehigherthestrikepricerelativetothestock'sunderlyingprice,themoretheputisworth.

答案：A

Optionpricesaremorevolatilethanthepriceoftheunderlyingstock.Theotherstatementsaretrue.Optionshavetimevaluewhichmeanspricearehigherthelongerthetimeuntiltheoptionexpires;andahigherstrikepriceincreasesthevalueofaputoption.

13.WhichofthefollowingstatementsisNOTanadvantageofswaps?Swaps:A.givethetradersprivacy.

B.havelittleornoregulation.

C.minimizedefaultrisk.

答案：C

Swapsdonotminimizedefaultrisk.Swapsareagreementsbetweentwoofmoreparties,andtherearenoguaranteesthatoneofthepartieswillnotdefault.Notethatswapsdogivetradersprivacyand,beingprivatetransactions,havelittletonoregulationandoffertheabilitytocustomizecontractstospecificneeds.

14.Whichofthefollowingstatementsaboutswapsisleastaccurate?A.Swapstypicallyhavezerovalueatinitiation.

B.Swapscanhavesignificantdefaultrisk.

C.Partiestoswapcontractsareoftenindividualspeculators.

答案：C

Partiestoswapscontractsareusuallylargeinstitutions,rarelyindividualspeculatorsorhedgers.

15.Whichofthefollowingcombinationsofoptionsandunderlyinginvestmentshavesimilarlyshapedprofit/lossdiagrams?

A.Longcalloption/shortputoptionandlongstockposition.

B.Coveredcallandshortstock/longcall.

C.Shortputoption/longcalloptionandprotectiveput.

答案：A

AlongcallandashortputwillprovideanearlyidenticalPayoffasalongstock.Professor'sNote:theeasiestwaytoseethisistodrawthepayoffdiagramforthecombinedoptionpositions.

16.Giventhecoveredcalloptiondiagrambelowandthefollowinginformation,whatarethedollarvaluesforpointsXandY?Themarketpriceofthestockis$70,thestrikepriceofthecallis$80,andthecallpremiumis$5.

A.$75,andpointYrepresentsadollarvalueof$15.

B.$70,andpointYrepresentsadollarvalueof$15.

C.$80,andpointYrepresentsadollarvalueof$15.

答案：C

Thekinkinthediagramofacoveredcallisalwaysattheexercisepriceoftheoption.Therefore,pointXis$80.Asthestockpricerisesabove$80,thestockiscalledawayandthemaximumgainisthecallpremiumplusthestockpricegain($80-$70).Themaximumgain,then,atpointYis($5+$10=$15).

17.Aninvestorwhoboughtafloating-ratesecurityandwishestoestablishaminimumperiodiccashflowonhisinvestmentcould:

A.buyaninterest-ratefloor.

B.sellaninterest-ratecap.

C.buyaninterest-ratecap.

答案：A

Thebuyerofafloorwillreceiveapaymentwhenthefloatingrateisbelowthefloorrate,effectivelyestablishingaminimumrateonthefloatingratesecurity.

18.Anoption'sintrinsicvalueisequaltotheamounttheoptionis:

A.outofthemoney,andthetimevalueisthemarketvalueminustheintrinsicvalue.B.inthemoney,andthetimevalueistheintrinsicvalueminusthemarketvalue.

C.inthemoney,andthetimevalueisthemarketvalueminustheintrinsicvalue.

B.②

答案：C

Intrinsicvalueistheamounttheoptionisinthemoney.Ineffectitisthevaluethatwouldberealizediftheoptionwereatexpiration.Priortoexpiration,theoption'smarketvaluewillnormallyexceeditsintrinsicvalue.Thedifferencebetweenmarketvalueandintrinsicvalueiscalledtimevalue.

19.If60-dayLondonInterbankOfferedRate(LIBOR)is6percent,theinterestona60-dayLIBOR-basedEurodollardepositof$990000is:

A.$10000.

B.$9900.

C.$60000.

答案：B

06×(60/360)×990000=$9900.

20.Priortoexpiration,themaximumvalueofanAmericanacalloptionandan

Americanputoption,respectively,isclosesttothe:

Americanputoption

①A.Exerciseprice

②B.Exerciseprice

③C.Underlyingprice

Americancalloption

Exerciseprice

Underlyingprice

Exerciseprice

A.①

C.③

答案：B

Themaximumvalueofacalloptionistheunderlyingprice;itmakesnosensetopaymorefortherighttobuytheunderlyingthanthevalueoftheunderlyingitself,andthemaximumvalueofanAmericanputistheexercisepricebecausethebestoutcomewouldbeifthestockfelltozero,theholdercouldcapturethevalueoftheexerciseprice.

21.WhichofthefollowingstatementsregardingthemarktomarketofafuturesaccountisFALSE?Markingtomarketofafuturesaccount:

A.mayresultinamarginbalanceabovetheinitialmarginamountandmaybedonemoreoftenthandaily.

B.isonlydonewhenthesettlementpriceisbelowthemaintenanceprice.

C.effectivelyadjuststhepriceofthefuturetothenewequilibriumlevel.

答案：B

Futuresaccountsaremarkedtomarketdailybasedonthenewsettlementprice,whichcanresultineitheranadditiontoorsubtractionfromthepreviousmarginbalance.Underextraordinarycircumstances(volatility)themarktomarketcanberequiredmorefrequently.Oncethemarginismarkedtomarket,thecontractiseffectivelyafuturescontractatthenewsettlementprice.

22.Someforwardcontractsaretermedcashsettlementcontracts.Thismeans:

A.eitherthelongortheshortintheforwardcontractwillmakeacashpaymentatcontractexpirationandtheassetisnotdelivered.

B.atsettlement,thelongpurchasestheassetfromtheshortforcash.

C.atcontractexpiration,thelongcanbuytheassetfromtheshortorpaythedifferencebetweenthemarketpriceoftheassetandthecontractprice.

答案：A

Inacashsettlementforwardcontractthereisacashpaymentatsettlementbyeitherthelongortheshortdependingonwhetherthemarketpriceoftheassetisbeloworabovethecontractpriceatexpiration.Theunderlyingassetisnotpurchasedorsoldatsettlement.

23.OptioninvestorDsells(writes,takesaSHORTpositionin)oneofthefollowing

calloptions:

Typeofoption:Underlyingasset:Exerciseprice:Premium:

Expirationdate:

calloption

100sharesofDisneystock

$40pershare

$2.25pershare

January

ThecurrentmarketpriceofDisneystockis$39.02pershare.InvestorDalreadyowns500sharesofDisneystock.Whichofthefollowingdescribestheamountofinitialmarginrequiredforthistransaction?

A.Sincethecalloptionis"inthemoney"investorDisnotrequiredtodepositinitialmargin.

B.SinceinvestorDownsatleast100sharesofDisneystock,hemustdepositinitialmarginintheamountof100%oftheoptionpremium.

C.SinceinvestorDownsatleast100sharesofDisneystock,noadditionalmarginis

required.

答案：C

Iftheowner(Long)ofthecalloptionsexercises,investorDwillberequiredtosell100shares,investorDalreadyownssufficientsharestodeliver.Asaresult,hispositionis"covered,"andnoadditionalmarginisrequired.

24.Afinancialinstrumentthathaspayoffsbasedonthepriceofanunderlyingphysicalorfinancialassetisa(n):

A.option.

B.future.

C.derivativesecurity.

答案：C

Options,futures,andforwardsareexamplesoftypesofderivativesecurities.

25.AtraderislongfourJulygoldfuturescontracts,eachwithacontractsizeof300oz.IfthepriceofJulygoldincreasesfrom$380.20to$381.00perouncethechangeinthemarginbalancewillbe:

A.$960.

B.-$960.

C.$240.

答案：A

4×300×(381-380.20)=$960.

26.Aninvestorpurchasesastockfor$40ashareandsimultaneouslysellsacalloptiononthestockwithanexercisepriceof$42forapremiumof$3/share.Ignoringdividendsandtransactionscost,whatisthemaximumprofitthatthewriterofthiscoveredcallcanearnifthepositionisheldtoexpiration?

A.$81.

B.$6.

C.$5.

答案：C

Thisisanoutofthemoneycoveredcall.Thestockcangoup$2tothestrikepriceandthenthewriterwillget$3forthepremium,total$5.

27.Atraderbuys(takesalongpositionin)aT-billfuturescontract($1millionfacevalue)at98.14andclosesitoutatapriceof98.27.Onthiscontractthetraderhas:A.lost$325.

B.gained$325.

C.lost$1300.

答案：B

Thepriceisquotedas(oneminustheannualizeddiscount)inpercent.Remember

thatthegainsandlossesonT-billandEurodollarfuturesare$25perbasispointofthepricequote.Thepriceisup13ticksand13×$25isagainof$325foralongposition.

28.Priortoexpiration,anAmericanputoptiononastock:

A.isboundedbyS-X/(1+RFR)T

B.willsellforitsintrinsicvalue.

C.willneversellforlessthanitsintrinsicvalue.

答案：C

Atanytimet,anAmericanputwillneversellbelowintrinsicvalue,butmaysellformorethanthat.ThelowerboundisMax[0,X-St].

29.Typically,forwardcommitmentsaremadewithrespecttoallthefollowingEXCEPT:

A.inflation.

B.bonds.

C.equities.

答案：A

Forwardcommitmentscanbecustomizedandcouldbewrittenonsomemeasureofinflation,buttypicallytheyarenot.Thevolumeofforwardcommitments,includingforwardcontractsandfuturescontracts,onbonds,equities,andinterestratesisinthemanybillionsofdollars.

30.ABEXCorporationcommonstockissellingfor$50.00pershare.BothanAmericancalloptionandaEuropeancalloptionareavailableonABEXcommon,andeachhaveidenticalstrikepricesandexpirationdates.WhichofthefollowingstatementsconcerningthesetwooptionsisTRUE?

A.BecausetheAmericanandEuropeanoptionshaveidenticaltermsandarewrittenagainstthesamecommonstock,theywillhaveidenticaloptionpremiums.

B.ThegreaterflexibilityallowedinexercisingtheAmericanoptionwillnormallyresultinahighermarketvaluerelativetoanotherwiseidenticalEuropeanoption.

C.TheAmericanoptionwillhaveahigheroptionpremium,becausetheAmericansecuritymarketsarelargerthantheEuropeanmarkets.

答案：B

TradinginEuropeanoptionsisconsiderablylessthantradinginAmericanoptions,becausedemandforthemismuchlower.Thisisduetotheirrelativeinflexibilityregardingwhentheycanbeexercised.ThegreaterexercisingflexibilityofAmericanoptionsgivesthemincreasedvaluetotraders,whichnormallyresultsinagreatermarketvaluerelativetoanotherwiseidenticalEuropeanoption.

31.Ashortpositioninaforwardrateagreementisequivalentto:

A.writinganinterestrateputandbuyinganinterestratecall.

B.buyinganinterestrateputandaninterestratecall.

C.writinganinterestratecallandbuyinganinterestrateput.

答案：C

Ashortpositioninaforwardrateagreementisanobligationtomakeahypotheticalloanatthecontractrateandwillbeprofitablewhentheforwardratefalls.Anequivalentpositionusinginterestrateoptionsistobuyaputandwriteacall.

32.Aninvestorboughta15callfor$14onastocktradingat$20.Ifthestockistradingat$24atoptionexpiration,whatistheprofitandthevalueofthecallat

optionexpiration?

Profit

①A.-$5

②B.$4

③C.-$5A.①B.②

C.③

ValueoftheCall

$5

-$5

$9

答案：C

Thepotentialgainsonacallpurchaseareunlimited.Withastockpriceof$24,thecallat15is$9inthemoney.Bysubtractingoutthe14callpricealossof$5results.

33.Thedailyprocessofadjustingthemargininafuturesaccountiscalled:A.initialmargin.

B.variationmargin.

C.markingtomarket.

答案：C

Theprocessiscalledmarkingtomarket.Variationmarginisthefundsthatmustbedepositedwhenmarkingtomarketdrawsthemarginbalancebelowthemaintenancemargin.

34.Concerningefficientfinancial(includingderivative)markets,themost

appropriatedescriptionisthat

A.itisoftenpossibletoearnabnormalreturns.

B.thelawofonepriceholdsonlyintheacademicliterature.

C.arbitrageopportunitiesrarelyexistandarequicklyeliminated.

答案：C

Efficientmarketsarecharacterizedbytheabsence,ortherapidelimination,ofarbitrageopportunities.

35.Consideracommercialbankthatisabouttomakealargevariable-rateloan.Whichofthefollowingwouldbeanappropriatepositionforthebanktohedgeitsriskwiththisloan?Pay:

A.variabletoacurrencyswapcounterpartyandreceivefixed.

B.variabletoaninterestrateswapcounterpartyandreceivefixed.

C.fixedtoaninterestrateswapcounterpartyandreceivevariable.

答案：B

Thereisnoproblemforthebankwithrespecttocurrencies,and,therefore,thisshouldnotbeacurrencyswap.Thebank'sproblemisthatasinterestratesdecrease,thebank'sinterestincomedeclines.Tooffsetthisloss(tohedge),thebankneedstowinintheswapasinterestratesdecrease.Therefore,thebankshouldpayvariableandreceivefixedinaninterestrateswap.Floatingratereceiptswouldthenoffsetfloatingratepaymentsandthebankwouldbeleftwithafixedspreadbetweenassetsandliabilities.

36.WhichofthefollowingstatementsregardingaforwardcommitmentisFALSE?Aforwardcommitment:

A.isacontractualpromise.

B.involvesanactioninthefuture.

C.isnotlegallybindingandcaninvolveastockindex.

答案：C

Aforwardcommitmentisalegallybindingpromisetoperformsomeactioninthefutureandcaninvolveastockindexorportfolio.

Thegraphisadepictionofacalloptionwithanexercisepriceof$100.37.Thegraphshowsthatthe:

A.thevalueofthecallis$100.

B.thevalueofthecallisunknown.

C.thevalueofthecallisunlimited,inprinciple.

答案：C

Thegraphshowsthatthevalueofthecallisunlimited,inprinciple.

38.Ifthestockpricewere$500,atexpiration,thecallwouldbeworth:

A.$0.

B.$100.

C.$400.

答案：C

Ifthestockpricewere$500,atexpiration,thecallwouldbeworth$400asfollows:Stockprice-exerciseprice=intrinsicvalue$500-$100=$400.

39.AninvestorcanexitaforwardpositionpriortocontractexpirationbyallofthefollowingmethodsEXCEPT:

A.enteringintoanoffsettingcontractwiththeoriginalcounterpartyorasecond(different)counterparty.

B.exercisingtheearlydeliveryoption.

C.makingacashpaymentoracceptingacashpaymentbyagreementwiththeoriginalcounterparty.

答案：B

Thereistypicallynoearlydeliveryoptioninaforwardcontract.Theotherthreemethodsareallusualwaysofterminatingaforwardcontractpriortothesettlementdatespecifiedinthecontract.

40.Whichofthefollowingrelationshipsbetweenarbitrageandefficientmarketsisleastaccurate?

A.Theconceptofrationallypricedfinancialinstrumentspreventingarbitrageopportunitiesisthebasisbehindtheno-arbitrageprinciple.

B.Momentarydeviationsfrommarketefficiencycancreateanarbitrageopportunity.C.Marketefficiencyreferstothelowcostoftradingderivativesbecauseofthelowerexpensetotraders.

答案：C

Marketefficiencyreferstotheconceptofallrelevantinformationbeingreflectedinanassetsprice,notthelowcostoftradingderivatives.Onenecessarycriterionfor

efficientmarketsisinstantaneousadjustmentofmarketvalues.Arbitrage,bytrading

onapricedifferencebetweenidenticalassets,causesanimbalancebetweendemandandsupplythatinstantaneouslycorrectsthepricingdifference.

41.A60-day$10millionforwardrateagreement(FRA)on90-dayLondonInterbankOfferedRate(LIBOR)(a2×5FRA)ispricedat4percent.If90-dayLIBORattheexpirationdateis4.1percent,thelong:

A.receives$2500.00.

B.receives$2474.63.

C.pays$2500.00.

答案：B

[解答]/[1+0.041×(90/360)]=$2474.63.

42.DelbertGossertownsstockworth$32pershare.Gossertbuysaputoptionwithastrikepriceof$32for$2.50.Atexpiration,thestockisvaluedat$32pershare.TheprofitorlossfromGossert'sportfolioinsurancestrategyisa:

A.lossof$2.50.

B.$0,nogainorloss.

C.gainof$2.50.

答案：A

Theputoptionisat-the-moneyatexpiration(Max(0,X-S))andis,therefore,worthless.Thestockpricedidn'tchange,soGossertisonlyoutthepremiumpaidfor

theoption,$2.50.

43.Buyinganinterest-ratecapandsellinganinterest-ratefloorisequivalentto:A.buyingaseriesofinterest-ratecallsandsellingaseriesofinterest-rateputs.B.buyingaseriesofinterest-rateputsandsellingaseriesofinterestratecalls.C.buyingaseriesofinterest-rateputsandcalls.

答案：A

Acapisequivalenttoaseriesof(longinterest-ratecallsandsellingafloorisequivalenttosellingaseriesofinterest-rateputs.

44.AnoptionsinvestorpurchasesonestockputoptiononGeneralMotor'sstock.Theputhasthefollowingcharacteristics:

Typeofoption:

putoption

Underlyingasset:

100sharesofGeneralMotor'sstock

Exerciseprice:

$75pershare

Premium:

$1.81pershare

Expirationdate:

November

BytakingaLONGpositioninthisputoption,theinvestorhas:

A.purchasedtherighttodecidewhethertosell100sharesofGeneralMotor'sstockandreceive$181duringthespecifiedtimeperiod(theexpirationdateinNovember)B.purchasedtherighttodecidewhethertopurchase100sharesOfGeneralMotor'sstockandreceive$181