2023年金融衍生工具题库英文版.docx

二、多选英语
1．The 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$
2．Trading strategies of hedge funds include （）
A．Market neutral B．Treasury bonds
C．Convertible arbitrage D．Emerging markets
3．When the spot price is above the futures price during the delivery period，a clear arbitrage opportunity by traders is （）
A．Make delivery B．Buy a futures contract
C．Buy the asset C．Sell a futures contract E．Sell the asset
4．Individuals taking positions can be categorized as （）
A．scalpers B．hedgers C．arbitrageurs D．speculators
5．The main features that futures are different from forward are （）
A．Settled daily B．Some credit risk
C．Standardized contract D．Traded on an exchange
6．If the price of gold goes up，the conclusions that the following are correct are （）
A．The company that does not use futures contracts to hedge its purchase is unaffected on its gross profit margin.
B．The company’s profit margin will increase after the effects of hedge have been taken into account.
C．The company’s profit margin will decrease after the effects of hedge have been taken into account.
D．The wholesale price of the jewelry will tend to lead a corresponding decrease.
7．When β=3.0，it illustrates that（）
A．the excess return on the portfolio tends to be three times as great as the excess return on the market
B．the sensitive to market movement is twice as a portfolio with a beta 1.5
C．it is therefore necessary to use twice as many contracts to hedge the portfolio
D．if the beta of portfolio falls to 2.0，the number of contracts shorted should increase
8．The bank’s 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 compounding
9．Suppose the underlying asset is gold and assume no storage costs or income. If F0vestor can adopt the following strategy to make a profit.（）
A．Borrow S0 dollars at an interest rate r for T years
B．Sell the gold for S0
C．Take a long position in a forward contract on 1 ounce of time T
D．Invest the proceeds at interest rate r for time T
10．When S is strongly positively correlated with interest rates，so （）
A．Forward prices will tend to be slightly higher than futures prices
B．Futures prices will tend to be slightly higher than forward prices
C．when S increases，an investor who holds a long futures position makes an immediate gain
D．when S decreases，an investor who holds a long forward contract is not affected.
11．If the futures price is an increasing function of the time to maturity，so （）
A．the benefits from holding the asset are less than the risk-free rate
B．it is usually optimal for the party with the short position to deliver as late as possible
C．the interest earned on the cash received outweighs the benefits of holding the asset
D．futures prices should be calculated on the basis that delivery will take place at the end of the delivery period.
12．The day count conventions that are commonly used in the United States are （）
A．actual/365 B．actual/actual C．30/360 D．actual/360
13．The examples of the instruments that can be used for hedging by swap market maker are （）
A．bonds B．forward rate agreements C．stock option D．interest rate futures
14．Suppose that the term structure of interest rates is upward-sloping at the time the swap is negotiated，this means （）
A．The value of the FRAS corresponding to early payment dates is negative
B．The forward interest rates increase as the maturity of the FRA increases
C．The value of the FRAS corresponding to later payment dates is negative
D．The forward interest rates decrease as the maturity of the FRA increases
15．The values of puts increase as （）
A．The stock price decreases and the strike price decrease
B．The time to expiration increases
C．Volatility increases
D．The net effect of an interest rate increase and the accompanying stock price decrease
16．The spread trading strategies that require an initial investment include （）
A．A bull spread when created from puts
B．A bear spread when created from puts
C．A butterfly spread when created from calls
D．A butterfly spread when created from puts
17．When an investor is expecting a large move in a stock price，the combinations that the investor can choose include （）
A．Straddles B．Strips C．Strangles D．Straps

四、判断英语
1．Derivatives can be dependent on almost any variable.（）
2．One 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. （）
3．Forwards and futures are similar instruments for speculators in that they both provide a way in which a type of leverage can be obtained. （）
4．Future 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. （）
5．Forwards are traded in over-the-counter market，options are traded on exchanges，but futures are traded both on exchanges and in over-thecounter market. （）
6．The purpose of daily price limits is to prevent large price movements from occurring because of too many contracts. （）
7．As the delivery period for a futures contract is approached，the futures price converges to the spot price of the underlying asset. （）
8．A bona fide hedger is often subject to lower margin requirements than a speculator. （）
9．Under 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. （）
10．A company that does hedge can expect its profit margins to be roughly constant.（）
11．In general，basis risk increases as time different between the hedge expiration and the delivery month increases. （）
12．A hedge using index futures removes risk arising from the performance of the portfolio ralative to the market. （）
13．By choosing a portfolio so that the duration of assets equals the duration of liabilities，a financial institution eliminates its credit risk. （）
14．Market segmentation theory conjectures that long-term interest rates should reflect expected future short-term interest rates. （）
15．The 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. （）
16．On 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. （）
17．If 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. （）
18．When bond yields are in excess of 6%，the conversion factor system tends to favor the delivery of low-coupon short-maturity bonds. （）
19．Duration 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. （）
20．For short maturities Eurodollar futures interest rate is not the same as the corresponding forward interest reate. （）
21．The 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. （）
22．The 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. （）
23．If 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. （）
23．Potential losses from defaults on a swap are much less than the potential losses from defaults on a loan with the same principal. （）
24．As the time to expiration increases，call American options become valuable but put American options become unvaluable. （）
25．The net effect of an interest rate decrease and the accompanying stock price decrease can be to decrease the value of a put option. （）
26．The value of a call option is negatively related to the size of an anticipated dividend. （）
27．One of the reason that an American call on a non-dividend-paying stock should not be exercised early is the time value of money. （）
28．A bull spread strategy limits the investor’s upside potential by buying a call option. （）
29．A butterfly spread is an appropriate strategy for an investor who feels that stock price can move largely. （）
30．For 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. （）
31．In a strip the investor considers a decrease in the stock price to be more likely than an increase. （）
32．As the probability of an upward movement in the stock price increases，the value of a call option on the stock increases. （）
33．When 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. （）
34．If 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. （）
35．When 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
1．Suppose 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?（）
2．Suppose 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?（）
3．An 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 （）.
4．What rate of interest with continuous compounding is equivlent to 15%
per annum with monthly compounding?（）
5．Suppose 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 $（）.

6．Suppose 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 （）.
7．Suppose 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 （）.
8．Suppose 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 $（）.
9．A 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 $（）.
10．The 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.
11．It 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 （）.
12．It 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!
13．On 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.
14．Consider 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-for1 stock split，the number of shares covered by one contract is （）.
15．The 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 $（）.