2023年金融衍生工具题库英文版.docx

二、多选英语1The current stock price is 29 and a 3-month call with a strike price of 30 costs 2.90. Under what circumstances will the option be exercised?（） A stock price is 29$ B stock price is 30.90$ C stock price is 26$ D stock price is 35$ 2Trading strategies of hedge funds include （） AMarket neutral BTreasury bonds CConvertible arbitrage DEmerging markets3When the spot price is above the futures price during the delivery period，a clear arbitrage opportunity by traders is （） AMake delivery BBuy a futures contract CBuy the asset CSell a futures contract ESell the asset4Individuals taking positions can be categorized as （） Ascalpers Bhedgers Carbitrageurs Dspeculators5The main features that futures are different from forward are （） ASettled daily BSome credit risk CStandardized contract DTraded on an exchange6If the price of gold goes up，the conclusions that the following are correct are （） AThe company that does not use futures contracts to hedge its purchase is unaffected on its gross profit margin. BThe companys profit margin will increase after the effects of hedge have been taken into account. CThe companys profit margin will decrease after the effects of hedge have been taken into account. DThe wholesale price of the jewelry will tend to lead a corresponding decrease.7When =3.0，it illustrates that（） Athe excess return on the portfolio tends to be three times as great as the excess return on the market Bthe sensitive to market movement is twice as a portfolio with a beta 1.5 Cit is therefore necessary to use twice as many contracts to hedge the portfolio Dif the beta of portfolio falls to 2.0，the number of contracts shorted should increase8The banks statement that the interest rate is 10% means that $100 grow to （） A$110.38 when the interest rate is measured with semiannual compounding B$110.52 when the interest rate is measured with daily compounding C$110.52 when the interest rate is measured with continuous compounding D$110.47 when the interest rate is measured with monthly compounding9Suppose the underlying asset is gold and assume no storage costs or income. If F0S0erT，an investor can adopt the following strategy to make a profit.（） ABorrow S0 dollars at an interest rate r for T years BSell the gold for S0 CTake a long position in a forward contract on 1 ounce of time T DInvest the proceeds at interest rate r for time T10When S is strongly positively correlated with interest rates，so （） AForward prices will tend to be slightly higher than futures prices BFutures prices will tend to be slightly higher than forward prices Cwhen S increases，an investor who holds a long futures position makes an immediate gain Dwhen S decreases，an investor who holds a long forward contract is not affected.11If the futures price is an increasing function of the time to maturity，so （） Athe benefits from holding the asset are less than the risk-free rate Bit is usually optimal for the party with the short position to deliver as late as possible Cthe interest earned on the cash received outweighs the benefits of holding the asset Dfutures prices should be calculated on the basis that delivery will take place at the end of the delivery period.12The day count conventions that are commonly used in the United States are （） Aactual/365 Bactual/actual C30/360 Dactual/36013The examples of the instruments that can be used for hedging by swap market maker are （） Abonds Bforward rate agreements Cstock option Dinterest rate futures14Suppose that the term structure of interest rates is upward-sloping at the time the swap is negotiated，this means （） AThe value of the FRAS corresponding to early payment dates is negative BThe forward interest rates increase as the maturity of the FRA increases CThe value of the FRAS corresponding to later payment dates is negative DThe forward interest rates decrease as the maturity of the FRA increases15The values of puts increase as （） AThe stock price decreases and the strike price decrease BThe time to expiration increases CVolatility increases DThe net effect of an interest rate increase and the accompanying stock price decrease16The spread trading strategies that require an initial investment include （） AA bull spread when created from puts BA bear spread when created from puts CA butterfly spread when created from calls DA butterfly spread when created from puts17When an investor is expecting a large move in a stock price，the combinations that the investor can choose include （） AStraddles BStrips CStrangles DStraps四、判断英语1Derivatives can be dependent on almost any variable.（）2One of the parties to a forward contract assumes a short position and agrees to buy the underlying asset on a certain specified future date for a certain specified price. （）3Forwards and futures are similar instruments for speculators in that they both provide a way in which a type of leverage can be obtained. （）4Future contracts offer a way for investors to protect themselves against adverse price movements in the future，but not allowing them to benefit from favorable price movements. （）5Forwards are traded in over-the-counter market，options are traded on exchanges，but futures are traded both on exchanges and in over-the-counter market. （）6The purpose of daily price limits is to prevent large price movements from occurring because of too many contracts. （）7As the delivery period for a futures contract is approached，the futures price converges to the spot price of the underlying asset. （）8A bona fide hedger is often subject to lower margin requirements than a speculator. （）9Under the forward contract，the whole gain or loss is realized at the end of the life of the contract；under the futures contract，the gain or loss is realized day by day. （）10A company that does hedge can expect its profit margins to be roughly constant.（）11In general，basis risk increases as time different between the hedge expiration and the delivery month increases. （）12A hedge using index futures removes risk arising from the performance of the portfolio ralative to the market. （）13By choosing a portfolio so that the duration of assets equals the duration of liabilities，a financial institution eliminates its credit risk. （）14Market segmentation theory conjectures that long-term interest rates should reflect expected future short-term interest rates. （）15The forward price is higher than the spot price because of the cost of financing the spot purchase of the asset during the life of the forward contract. （）16On January 8，2023，interest rates on the Swiss franc were lower than the interest rate on the Us dollar，so futures price for this currency increases with maturity. （）17If the futures price is an increasing function of the time to maturity，it is usually optimal for the party with the short position to deliver as late as possible. （）18When bond yields are in excess of 6%，the conversion factor system tends to favor the delivery of low-coupon short-maturity bonds. （）19Duration matching can ensure that a small parallel shift in interest rates will have little effect on the value of the portfolio of assets and liabilities. （）20For short maturities Eurodollar futures interest rate is not the same as the corresponding forward interest reate. （）21The 3-basis-point spread earned by the financial institution is partly to compensate it for the risk that one of the two companies will default on the swap payments. （）22The probability of a dafault by a company with a relatively low credit rating is liable to decrease faster than the probability of a default by a company with a relatively high credit rating. （）23If the term structure of interest rates is downward-sloping at the time the swap is negotiated，the forward interest rates increase as the the maturity of the FRA increases. （）23Potential losses from defaults on a swap are much less than the potential losses from defaults on a loan with the same principal. （）24As the time to expiration increases，call American options become valuable but put American options become unvaluable. （）25The net effect of an interest rate decrease and the accompanying stock price decrease can be to decrease the value of a put option. （）26The value of a call option is negatively related to the size of an anticipated dividend. （）27One of the reason that an American call on a non-dividend-paying stock should not be exercised early is the time value of money. （）28A bull spread strategy limits the investors upside potential by buying a call option. （）29A butterfly spread is an appropriate strategy for an investor who feels that stock price can move largely. （）30For a calendar spread a loss is incurred when the stock price is significantly above or significantly below the strike price of the short-maturity option at the expiration of this option. （）31In a strip the investor considers a decrease in the stock price to be more likely than an increase. （）32As the probability of an upward movement in the stock price increases，the value of a call option on the stock increases. （）33When we move from a world with one set of risk preferences to a world with another set of risk preferences，the expected growth rates in variables change and their volatilities change. （）34If European options expiring at time T were available with every single possible strike price，any payoff function at time T could in theory be obtained. （）35When pricing options the resulting prices are not just correct in a risk-neutral world，but in other worlds as well. （）六、填空英语1Suppose that you enter into a short futures contract to sell July silver for 10.20 per ounce on the New York Commodity Exchange. The size of the contract is 5,000 ounces. The initial margin is 4,000, and the maintenance margin is 3,000. What change in the futures price will lead to a margin call?（）2Suppose that the standard deviation of quarterly changes in the prices of a commodity is 0.65, the standard deviation of quarterly changes in a futures price on the commodity is 0.81, and the coefficient of correlation between the two changes is 0.8. What is the optimal hedge ratio for a 3-month contract?（）3An airline expects to purchase 4 million gallons of jet fuel in 2 month and decides to use heating oil futures for hedging.Each heating oil contract traded on NYMEX is on 42 000 gallons of heating oil.We suppose =0.0313，=0.0263，=0.928，and the spot price and the futures price are 2.74 and 2.79 dollars per gallon.So that the optimal number of contracts is （）.4What rate of interest with continuous compounding is equivlent to 15%per annum with monthly compounding?（）5Suppose that LIBOR zero and forward rates are as in Table 4.5.Consider an FRA where we will receive a rate of 7%，measured with annual compounding，on a principal of $5 million between the end of year 3 and the end of year 4.So the value of the FRA is $（）. 6Suppose that 6-month, 12-month, 18-month, 24-month, and 30-month zero rates are, respectively, 4%, 4.2%, 4.6%, and 4.8% per annum, with continuous compounding.The cash price of a bond with a face value of 100 that will mature in 30 months and pays a coupon of 4% per annum semiannually is （）. 7Suppose a bond price B is 96.273，and the duration D is 3.562.When the yield on the bond increases by 15 basis points，the bond price goes down to （）. 8Suppose that you enter into a 6-month forward contract on a non-dividend-paying stock when the stock price is 30 and the risk-free interest rate (with continuous compounding) is 12% per annum. The forward price is $（）. 9A 1-year long forward contract on a non-dividend-paying stock is entered into when the stock price is 40 and the risk-free rate of interest is 10% per annum with continuous compounding. Six months later, the price of the stock is 45 and the risk-free interest rate is still 10%. The value of the forward contract is $（）.10The spot price of silver is 9 per ounce. The storage costs are 0.24 per ounce per year payable quarterly in advance. Assuming that interest rates are 10% per annum for all maturities, the futures price of silver for delivery in 9 months is $（）per ounce.11It is January 9, 2023. The price of a Treasury bond with a 12% coupon that matures on October 12, 2023, is quoted as 102-07. The cash price is （）.12It is January 30. You are managing a bond portfolio worth 6 million. The duration of the portfolio in 6 months will be 8.2 years. The September Treasury bond futures price is currently 108-15, and the cheapest-to-deliver bond will have a duration of 7.6 years in September. You should hedge against changes in interest rates over the next 6 months.So you need （）contracts to short!13On August 1, a portfolio manager has a bond portfolio worth 10 million. The duration of the portfolio in October will be 7.1 years. The December Treasury bond futures price is currently 91-12 and the cheapest-to-deliver bond will have a duration of 8.8 years at maturity. The portfolio manager want to immunize the portfolio against changes in interest rates over the next 2 months.So he should short （）contracts.14Consider an exchange-traded call option contract to buy 500 shares with a strike price of 40 and maturity in 4 months. When there is a 4-for-1 stock split，the number of shares covered by one contract is （）.15The rice of a European call that expires in 6 months and has a strike price of 30 is 2. The underlying stock price is 29, and a dividend of 0.50 is expected in 2 months and again in 5 months. The term structure is flat, with all risk-free interest rates being 10%. The price of a European put option that expires in 6 months and has a strike price of 30 is $（）.