衍生产品投资(五)
(总分49,考试时间90分钟)
单项选择
1. Which of the following is an example of an arbitrage opportunity?
A. A portfolio of two securities that will produce a certain return that is greater than the riskfree rate of interest.
B. A stock with the same price as another has a higher rate of return.
C. A stock with the same price as another has a higher expected rate of return.
2. Which of the following statements about the futures market is most accurate?
A. Speculators trade to reduce some preexisting risk exposure.
B. If a trader"s account falls below the maintenance margin level they have three days to
bring it back up to the maintenance margin level.
C. Open interest is the number of futures contracts for which delivery is currently obligated.
3. To account for positive cash flows from the underlying asset, we need to adjust the put-call parity formula by:
A. adding the future value of the cash flows to S.
B. adding the future value of the cash flows to X.
C. subtracting the present value of the cash flows from S.
4. Which of the following statements is most accurate?
A. Forward contracts require that both parties to the transaction have a high degree of creditworthiness.
B. Forward contracts are marked to market daily.
C. Futures contracts have more default risk than forward contracts.
5. An option sold for $10 is currently in-the-money $5. If the underlying is priced at $80, which of the following best describes that option?
A. Put option with an exercise price of $85.
B. Put option with an exercise price of $70.
C. Call option with an exercise price of $75.
6. A U. S. bank enters into a plain vanilla currency swap with a notional principal of US $100m (￡ 67m). At each settlement date, the U.S. bank pays a fixed rate of 8 percent on the pounds received, and an English bank pays a variable rate equal to London interbank offered rate (LIBOR) on the U. S. dollars received. Given the following information, what payment is made to whom at the end of year 2?
The U. S. bank pays:
A. US $5.5m and the English bank pays ￡ 5.36m.
B. US $6m and the English bank pays ￡ 5.36m.
C. ￡ 5.36m and the English bank pays US $5.5m.
7. The main risk faced by an individual who enters into a forward contract to buy the S&P 500 Index is that
A. the market may rise.
B. the market may fall.
C. market volatility may rise.
8. Which of the following statements most accurately describes the difference between LIBOR and Euribor?
A. LIBOR is a lending rate, while Euribor is a borrowing rate.
B. LIBOR is a representative borrowing rate on U. S. dollars, while Euribor is a representative borrowing rate on euros.
C. LIBOR is a global risk-free rate, while Euribor is a European risk-free rate.
9. Financial derivatives also provide a powerful tool for limiting risks that individuals and firms face in the ordinary conduct of their business. This is an example of:
A. trading efficiency.
B. speculation.
C. risk management.
10. Which of the following statements regarding a futures trade of a deliverable contract is FALSE?
A. The long is obligated to purchase the asset.
B. The short is obligated to deliver the asset.
C. Equilibrium futures price is known only at the end of the trading day.
11. Which statement about equity forward contracts is least likely accurate?
A. Investors can use equity forward contracts to speculate on stock-price increases.
B. Dividend payments are usually included in equity forward contracts.
C. Equity forward contracts may require asset delivery or cash settlement.
12. Which of the following statements about put and call options is FALSE?
A. The price of the option is less volatile than the price of the underlying stock.
B. Option prices are generally higher the longer the time till the option expires.
C. For put options, the higher the strike price relative to the stock"s underlying price, the more the put is worth.
13. Which of the following statements is NOT an advantage of swaps? Swaps:
A. give the traders privacy.
margin rateB. have little or no regulation.
C. minimize default risk.
14. Which of the following statements about swaps is least accurate?
A. Swaps typically have zero value at initiation.
B. Swaps can have significant default risk.
C. Parties to swap contracts are often individual speculators.
15. Which of the **binations of options and underlying investments have similarly shaped profit/loss diagrams?
A. Long call option/short put option and long stock position.
B. Covered call and short stock/long call.
C. Short put option/long call option and protective put.
16. Given the covered call option diagram below and the following information, what are the dollar values for points X and Y? The market price of the stock is $70, the strike price of the call is $80, and the call premium is $5.

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