注册金融分析师-衍生产品投资(一)

注册金融分析师-衍生产品投资(一)

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时间:2018-07-20

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1、衍生产品投资(一)单项选择1、 ConsideraU.S.commercialbankthattakesinone-yearcertificatesofdeposit(CDs)initsJapanbranch,denominatedinJapaneseyen,tofundthree-year,fixed-rateloansthebankismakingintheU.S.denominatedinU.S.dollars.Whywouldthisbankwishtoenterintoacurrencyswap?Thebankfacestheriskt

2、hattheJapaneseyen:  A. increasesinvalueagainsttheU.S.dollarandtheriskthatinterestratesdecreaseinJapan.  B. decreasesinvalueagainsttheU.S.dollarandtheriskthatinterestratesincreaseinJapan.  C. increasesinvalueagainsttheU.S.dollarandtheriskthatinterestratesincreaseinJapan.2、Whic

3、hofthefollowingdescribe(s)ahedger?  A. Anoilrefinerwhohasalargeinventoryofunleadedgasolinethatwillnotbesoldfor3monthstakesaSHORTpositioninunleadedgasolinefuturescontracts.  B. Anorangegrowerwillharvestorangesandprocessthemintoorangejuiceattheendofnextmonth.Hesells(takesaSHORT

4、positionin)orangejuicefuturestoday.  C. Alloftheabovedescribehedgers.3、 MacklinMetalshasreceived80millionpoundssterling.Thecompanyplanstospend$120milliononaprojectintheUnitedStatesin90days.MacklinintersintoacashsettlementcurrencyforwardtoexchangethepoundsforU. S.dollarsatarat

5、eof$1.50perpoundin90days.Iftheexchangerateis$1.61perpoundatthesettlementdate,thecashsettlementMacklinwillpayorreceiveisclosestto:  A. $5.5millionpayment.  B. $8.8millionpayment.  C. $5.5millionreceipt.4、 Aprivateagreementbetweentwopartiestoexchangeaseriesoffuturecashflows,wit

6、hatleastoneofthetwoseriesofcashflowsdeterminedbyalateroutcome,isbestcharacterizedasa(n):  A. swap.  B. futurescontract.  C. over-the-countercontingentclaim.5、 Thepriceofa90-dayforwardcontractona90-dayTreasurybillwillbe:  A. abovethecurrentpriceofa90-dayT-bill.  B. abovethecur

7、rentpriceofa180-dayT-bill.  C. eitheraboveorbelowthecurrentpriceofa180-dayT-bill.6、 Consideracalloptionexpiringin110daysonanon-dividend-payingstocktradingat27whentherisk-freerateis6%.Thelowerboundforacalloptionwithanexercisepriceof25is:  A.$2.00.  B.$2.44.  C.$1.97.7、 Whichof

8、thefollowingcharacteristicsaboutswapsisleastaccurate?Swaps:  A. arec

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