金融衍生工具英文版 第六章题库.doc

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1、FundamentalsofFuturesandOptionsMarkets,8e(Hull)Chapter6InterestRateFutures1)WhichofthefollowingisapplicabletocorporatebondsintheUnitedStates?A)Actual/360B)Actual/ActualC)30/360D)Actual/365Answer:C2)ItisMay1.ThequotedpriceofabondwithanActual/Actual(inperiod)daycountand12%perannumcouponintheUnitedSta

2、tesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A)106.00B)106.02C)105.98D)106.04Answer:C3)ItisMay1.Thequotedpriceofabondwitha30/360daycountand12%perannumcouponintheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A)106.00B)

3、106.02C)105.98D)106.04Answer:A4)Themostrecentsettlementbondfuturespriceis103.5.Whichofthefollowingfourbondsischeapesttodeliver?A)Quotedbondprice=110;conversionfactor=1.0400B)Quotedbondprice=160;conversionfactor=1.5200C)Quotedbondprice=131;conversionfactor=1.2500D)Quotedbondprice=143;conversionfacto

4、r=1.3500Answer:C5)WhichofthefollowingisNOTanoptionopentothepartywithashortpositionintheTreasurybondfuturescontract?A)TheabilitytodeliveranyofanumberofdifferentbondsB)Thewildcardplay5Copyright©2014PearsonEducation,Inc.C)ThefactthatdeliverycanbemadeanytimeduringthedeliverymonthD)Theinterestrateusedin

5、thecalculationoftheconversionfactorAnswer:D6)AtraderentersintoalongpositioninoneEurodollarfuturescontract.Howmuchdoesthetradergainwhenthefuturespricequoteincreasesby6basispoints?A)$6B)$150C)$60D)$600Answer:B7)Acompanyinvests$1,000inafive-yearzero-couponbondand$4,000inaten-yearzero-couponbond.Whatis

6、thedurationoftheportfolio?A)6yearsB)7yearsC)8yearsD)9yearsAnswer:D8)Themodifieddurationofabondportfolioworth$1millionis5years.Byapproximatelyhowmuchdoesthevalueoftheportfoliochangeifallyieldsincreaseby5basispoints?A)Increaseof$2,500B)Decreaseof$2,500C)Increaseof$25,000D)Decreaseof$25,000Answer:B9)A

7、portfolioisworth$24,000,000.ThefuturespriceforaTreasurynotefuturescontractis110andeachcontractisforthedeliveryofbondswithafacevalueof$100,000.Onthedeliverydatethedurationofthebondthatisexpectedtobecheapestt