金融衍生工具英文版第六章题库

《金融衍生工具英文版第六章题库》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。

1、FundamentalsofFuturesandOptionsMarkets^8e(Hull)Chapter6InterestRateFutures1)WhichofthefollowingisapplicabletocorporatebondsintheUnitedStates?A)Actual/360B)Actual/ActualC)30/360D)Actual/365Answer:C2)ItisMay1.ThequotedpriceofabondwithanActual/Actual(inperiod)

2、daycountand12%perannumcouponintheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A)106.00B)106.02C)105.98D)106.04Answer:C3)ItisMay1.Thequotedpriceofabondwitha30/360daycountand12%perannumcouponintheUnitedStatesis105

3、.Ithasafacevalueof100andpayscouponsonApril1andOctober1・Whatisthecashprice?A)106.00B)106.02C)105.98D)106.04Answer:A4)Themostrecentsettlementbondfuturespriceis103.5・Whichofthefollowingfourbondsischeapesttodeliver?A)Quotedbondprice二110;conversionfactor二1.0400B

4、)Quotedbondprice=160;conversionfactor二1.5200C)Quotedbondprice=131;conversionfactor=1.2500D)Quotedbondprice=143;conversionfactor=1.3500Answer:C5)WhichofthefollowingisNOTanoptionopentothepartywithashortpositionintheTreasurybondfuturescontract?A)Theabilitytode

5、liveranyofanumberofdifferentbondsA)ThewildcardplayB)ThefactthatdeliverycanbemadeanytimeduringthedeliverymonthC)TheinterestrateusedinthecalculationoftheconversionfactorAnswer:D1)AtraderentersintoalongpositioninoneEurodollarfuturescontract.Howmuchdoesthetrade

6、rgainwhenthefuturespricequoteincreasesby6basispoints?A)$6B)$150C)$60D)$600Answer:B2)Acompanyinvests$1,000inafive-yearzero-couponbondand$4,000inaten-yearzero-couponbond・Whatisthedurationoftheportfolio?A)6yearsB)7yearsC)8yearsD)9yearsAnswer:D3)Themodifieddura

7、tionofabondportfolioworth$1millionis5years・Byapproximatelyhowmuchdoesthevalueoftheportfoliochangeifallyieldsincreaseby5basispoints?A)Increaseof$2,500B)Decreaseof$2,500C)Increaseof$25,000D)Decreaseof$25,000Answer:B4)Aportfolioisworth$24,000,000.Thefuturespri

8、ceforaTreasurynotefuturescontractis110andeachcontractisforthedeliveryofbondswithafacevalueof$100,000.Onthedeliverydatethedurationofthebondthatisexpectedtobecheapesttodeliveris6yearsandthedurationofthep