茲維博迪金融學第二版試題庫14TB

1、chapter fourteenforward and futures marketsthis chapter contains 46 multiple choice questions, 19 short problems and 8 longer problems.multiple choice1. the _ is usually an average of the prices of the last few trades of the day.(a) margin requirement(b) daily realization(c) forward price(d) settlem

2、ent priceanswer: (d)2. the process of daily realization minimizes the possibility of contract default. to ensure parties do not default the exchange requires a _ posted in each account, and if the collateral in the account falls below a pre-specified level, the broker will make a _.(a) settlement pr

3、ice; margin call(b) margin requirement; margin call(c) margin call; margin requirement(d) margin call; settlement priceanswer: (b)3. the total number of futures contracts still outstanding at the end of each trading day is indicated by the _.(a) open interest(b) margin call(c) margin requirement(d)

4、settlement priceanswer: (a)4. the physical costs of storing commodities, such as wheat or corn, are referred to as the _, and include _.(a) cost of storage; wastage costs(b) cost of distribution; interest, warehousing, and wastage costs(c) cost of carry; interest, warehousing, and spoilage costs(d)

5、cost of carry; tax deductible paymentsanswer: (c)5. if one were to consider the commodity of wheat, distributor j will choose to carry wheat in storage for another month only if _.(a) cj > f s (b) cj < f s(c) cj = f s(d) cj > f + sanswer: (b)6. suppose you are a distributor of flaxseed and

6、you observe that the spot price is $9.90 per metric ton, and the futures price for delivery a month from now is $10.18. what should you do if your cost of carry is $0.20 per metric ton per month?(a) choose to carry the flaxseed in storage for another month and hedge by taking a futures position.(b)

7、deliver the flaxseed immediately.(c) immediately sell the flaxseed in the market for $9.90 per ton.(d) buy more flaxseed for $9.90 per metric ton and not consider hedging.answer: (a)7. suppose you are a distributor of barley and you observe that the spot price is $3.95 per metric ton, and the future

8、s price for delivery a month from now is $4.10. if your cost of carry is $0.20 per metric ton per month, what should you do?(a) choose to carry the barley in storage for another month and hedge by taking a futures position.(b) sell the barley in the spot market for $3.95 per ton and deliver it immed

9、iately.(c) choose to carry the barley in storage for another month and buy more barley.(d) buy more barley and ignore hedging.answer: (b)8. suppose you are a distributor of canola and you observe that the spot price is $14.60 per metric ton, and the futures price for delivery a month from now is $14

10、.71. if your cost of carry is $0.10 per metric ton per month, what should you do?(a) deliver the canola immediately.(b) sell the canola immediately for $14.60 per metric ton.(c) sell short a futures contract at a price of $14.71 per metric ton and deliver the canola a month from now.(d) buy more can

11、ola and forget about hedging.answer: (c)9. the futures price cannot exceed the _ by more than the _.(a) cost of carry; forward price(b) cost of carry; cost of distribution(c) spot price; cost of distribution(d) spot price; cost of carryanswer: (d)10. _ in the futures markets improve the informationa

12、l content of futures and they make futures more liquid than they would otherwise be.(a) hedgers(b) speculators(c) risk averse participants(d) diversifying hedgersanswer: (b)11. the economic purposes served by speculators include:(a) increasing trading, which helps support organized exchanges(b) maki

13、ng futures prices better predictors of the direction of change of spot prices(c) making futures markets more liquid than they otherwise might be(d) all of the aboveanswer: (d)12. in relation to gold, arbitrage forces a relation between futures and spot prices, known as:(a) gold-cost-of-carry relatio

14、n(b) futures-forwards parity relation(c) forward-spot price-parity relation(d) spot parity relationanswer: (c)13. the correct form for the forward-spot price-parity relation for gold is:(a) f r = (1 + s)s(b) f = (1 r s)s(c) f = (1 x r x s)s(d) f = (1 + r + s)sanswer: (d)14. what is the forward price

15、 of gold if r = 0.07, s = $450, and s = 0.03?(a) $463.50(b) $481.50(c) $468.00(d) $495.00answer: (d)15. you are a dealer in palladium and are contemplating a trade in a forward contract. the current spot price per ounce of palladium is $96.00, the forward price for delivery of one ounce of palladium

16、 in one year is $109.45 and annual carrying costs of the metal are five percent of the current spot price. using the law of one price, what is the annual return on a riskless zero-coupon security?(a) 5% per year(b) 9% per year(c) 10% per year(d) 14% per yearanswer: (b)16. determine the cost of stori

17、ng gold for a year, if the current spot price is $390 per ounce, the forward price for delivery on one ounce of gold in one year is $492.50 and the risk-free interest rate is 7% per year.(a) 0.19282 (b) 0.26150 (c) 0.33150 (d) 0.51111 answer: (a)17. if the price of one ounce of gold for forward deli

18、very in one year is $475.00, the interest rate is 8% per year and cost of storing gold for one year is 0.03, what is the current spot price of gold?(a) $427.93(b) $439.81(c) $461.17(d) $527.25answer: (a)18. the _ represents the indifference point for an investor who is indifferent between investing

19、in gold itself or in synthetic gold.(a) expected future spot price(b) implied spot price(c) implied interest rate(d) implied cost of carryanswer: (d)19. suppose you observe that the current spot price of gold is $460 per ounce, the one year forward price is $490 and the risk-free interest rate is 7%

20、 per year. what is the implied cost of carry?(a) $2.10 per ounce(b) $28.04 per ounce(c) $30.00 per ounce(d) $32.10 per ounceanswer: (c)20. suppose you observe that the current spot price of gold is $460 per ounce, the one year forward price is $490 and the risk-free interest rate is 6% per year. wha

21、t is the implied storage cost?(a) 0.0052(b) 0.0522(c) 0.0650(d) 0.1352answer: (a)21. when a financial futures contract is settled at the contract maturity date, what is actually paid?(a) the future stock price, s1(b) the forward price, f(c) the difference between the stock price at delivery and curr

22、ent stock price(d) the difference between the forward price and stock price on delivery dateanswer: (d)22. which is the correct representation of the forward-spot price-parity relation if we are considering the maturity of a forward contract and a pure discount bond with maturity equal to t years?(a

23、) f = s(1 r)t(b) f = s(1 + r)t(c) f =s(r)t(d) f = st(1 + r)answer: (b)23. what is the cost of carry for stocks?(a) the square root of the dividend(b) the negative of the dividend(c) the inverse of the dividend(d) the square of the dividendanswer: (b)24. suppose the spot price of s&p is $150 and

24、the one year forward price is $161. what is the implied risk-free rate?(a) 6.83%(b) 7.33%(c) 9.50%(d) 11%answer: (b)25. the one year forward price for s&p is $172 and the spot price is $159. what is the implied risk-free rate?(a) 7.6%(b) 7.9%(c) 8.2%(d) 13.0%answer: (c)26. the correct representa

25、tion of the forward-spot price-parity with cash payouts is:(a) f = s + rs d(b) f = s + rd rs(c) f = s rd(d) f = rs + d sanswer: (a)27. grainne stock has a spot price of $115. the risk-free rate is 8% per year compounded annually and the expected dividend to be received one year from now is $2.80. wh

26、at is the one year futures price?(a) $121.40(b) $124.20(c) $127.00(d) $127.22answer: (a)28. william jofish stock has a current spot price of $92. one year from now, the expected dividend to be received is $1.70. the risk-free interest rate is 7% per year compounded annually. calculate the one year f

27、utures price.(a) $96.74(b) $98.44(c) $100.14(d) $101.84answer: (a)29. the share price of ozdesign press is currently $112, while the forward price for delivery of a share in four months is $118.50. if the yield of the risk-free zero-coupon security with term to maturity of four months is 7.5%, calcu

28、late the implied dividend for ozdesign press.(a) $1.34(b) $1.90(c) $6.99(d) $15.39answer: (b)30. the _ holds that the forward price of a currency equals its expected future spot price.(a) foreign currency hypothesis(b) foreign currency futures(c) expectations hypothesis(d) currency hypothesisanswer:

29、 (c)31. which of the following price-parity relations carry causal implications?(a) forward-spot price-parity for stocks(b) forward-spot price-parity for bonds(c) forward-spot price-parity for foreign exchange(d) none of the aboveanswer: (d)32. determine the forward price of the euro (eur) if the cu

30、rrent spot price is $1.5715 per euro, the usd interest rate is 6% per year and the eur interest rate is 7% per year.(a) $1.5568 per eur(b) $1.5863 per eur(c) $1.6658 per eur(d) $1.6815 per euranswer: (a)33. determine the spot price of the swiss franc (chf) if the one-year forward price is $0.9701 pe

31、r swiss franc, the chf interest rate is 7% and the usd interest rate is 8%.(a) $1.0477 per chf(b) $1.0380 per chf(c) $0.9792 per chf(d) $0.9611 per chfanswer: (d)34. determine the forward price of the shekel if the current spot price is $0.3033 per shekel; the ils interest rate is 7.5% and the usd i

32、nterest rate is 6.25% per year.(a) $0.3223 per ils(b) $0.3260 per ils(c) $0.3069 per ils(d) $0.2998 per ilsanswer: (d)35. which of the following parties tends to utilize the futures market?(a) speculators(b) parties hedging the sale price of assets(c) parties hedging the purchase price of assets(d)

33、all of the aboveanswer: (d)36. which of the following items have no intrinsic value?(a) wheat(b) gold(c) bonds(d) all of the aboveanswer: (c)37. the forward-spot price-parity relation for gold is that _.(a) the forward price equals the spot price times 1 plus the cost of carry(b) the forward price e

34、quals the spot price times the risk-free rate(c) the forward price equals the spot price times 1 plus the risk-free rate minus dividend paid(d) the forward price times the dividend minus the spot priceanswer: (a)38. the daily settlement of obligations on futures positions is called _.(a) open intere

35、st(b) checking the margin(c) marking to market(d) a margin callanswer: (c)39. futures markets are used by _.(a) individuals whose credit ratings may be costly to check(b) firms whose credit ratings may be costly to check(c) contracting parties whose credit rating is cheap and easy to check(d) both a

36、 and banswer: (d)40. eisenstein stock has a current spot price of $95. one year from now, the expected dividend to be received is $2.10. the risk-free interest rate is 6% per year compounded annually. calculate the one-year futures price.(a) $97.10(b) $98.60(c) $100.70(d) $102.80answer: (b)41. trauf

37、faut stock has a one year futures price of $99.50, a current spot price of $95, and the risk-free rate is 6% per year compounded annually. calculate the implied dividend for this stock.(a) $1.13(b) $1.20(c) $1.70(d) $4.50answer: (b)42. a trader who has a long position in flax futures wants the price

38、 of flax to _, whereas a trader who has a short position in flax futures wants to price to _.(a) increase; increase(b) decrease; increase(c) increase; decrease(d) decrease; decreaseanswer: (c)43. in a commodity futures contract, an investor who takes a long position agrees to _ delivery of the commo

39、dity, whereas an investor who takes a short position agrees to _ delivery of the commodity.(a) take; take(b) make; take(c) take; make(d) make; do nothing regardinganswer: (c)44. if an investor wanted to exploit an expected fall in interest rates, the investor would want to _.(a) take a short positio

40、n in t-bill futures(b) take a long position in treasury bond futures(c) buy an index futures contract(d) all of the aboveanswer: (b)45. if the spot-futures parity relationship is violated, this results in _.(a) arbitrage opportunities(b) sec fines and penalties(c) losses for trader(d) losses for inv

41、estorsanswer: (a)46. if the full force of arbitrage cannot be relied on to maintain the forward-spot price-parity relation, then this is known as _.(a) a zero-arbitrage situation(b) a quasi-arbitrage situation(c) a marking to market situation(d) a full disclosure situationanswer: (b)short problems1.

42、 consider the following data:nov 10, 2009wheat (cbt)5,000 bu; cents per buopenhighlowsettlechangelifetimelifetimeopenhighlow interestdec318 ½319 ¼308 ½312 ½-5 ¾417308 ½25,629mr 01mayjuly345345338 ½338 ½-7 ½389334379consider the above hypothetical data for

43、 nov 10, 2009 pertaining to wheat futures contracts. you place an order to take a long position in a december contract on nov 9, 2009. to serve as collateral, your broker requires that you place $3,000 in your account.a. what would happen in your futures account if you take a long position?b. what w

44、ould happen in your futures account if you take a long position and the future prices had moved in the opposite direction to (a)?answer:a. on nov 10, the futures price closes 5 ¾ cents per bushel lower. thus, you have lost 5 ¾ x 5000 bushels = $287.50 that day. even though you may not have

45、 made any trades, the broker takes that amount out of your account. the money is transferred to the futures exchange, which transfers it to one of the parties who was on the short side of a contract.b. you gain 5 ¾ cent x 5000 bushels = $287.50 that day. even though you may not have made any tr

46、ades that day, the amount of $287.50 is added to your account. this amount is transferred from a party who was on the short side of the contract.2. if the price on one ounce of gold for forward delivery in one year is $486.50, the interest rate is 9% per year, and the cost of storing gold for one ye

47、ar is 0.05, what is the current spot price per ounce of gold? in addition, if the forward price exceeds $486.50, describe a trading strategy that would generate arbitrage profits.answer:use the forward-spot price-parity relation, where f is the forward price, s is the spot price, r is the risk-free

48、interest rate, and s is storage costs:f = (1 + r + s)s$486.50 = (1 + 0.09 + 0.05)s$486.50 = (1.14)s s = $426.75the current spot price is $426.75 per ounce.now let us consider the case if the forward price exceeds $486.50. it would benefit an arbitrageur to buy gold at $426.75 and simultaneously sell

49、 it for future delivery at the forward price. consider the following numerical illustration:let us say the forward price is $495 a year from now. suggested trading strategy:arbitrage positionimmediate cfcf one year from nowsell a forward contract0$495 s1borrow $426.75$426.75-$465.16buy an ounce of g

50、old-$426.75s1pay storage costs-$21.34net cash flows0$495 - $486.50 = $8.50after paying off the loan and the storage costs a year from now, there would be $8.50 left over regardless of what the spot price turns out to be at that time.3. calculate the implicit cost of carrying an ounce of gold and the

51、 implied storage cost per ounce of gold if the current spot price of gold per ounce is $465.00, the forward price for delivery in one year is $492.00 per ounce, and the risk-free interest rate is 5% per year.answer:implied cost of carry = f s = $492.00 $465.00 = $27.00 per ounceimplied storage cost

52、= (f s)/s r = (27)/465 0.05 = 0.00806 or 0.81% per year4. the share price of weir industries, inc. is currently $114, while the forward price for delivery of a share in six months is $121.70. if the yield of the risk-free zero-coupon security with term to maturity of six months is 8.5%, calculate th

53、e implied dividend for weir industries, inc.answer:f = s(1 + r) dd = s(1 + r) f = $114(1.085) $121.70 = $1.99the implied dividend is $1.99.5. the spot exchange rate of u.s. dollars for chinese yuan (cny) is $0.1438 per yuan, but the one-year forward rate is $0.1361. determine the yield on a one-year

54、 zero-coupon chinese government security if the corresponding yield on a u.s. government security is 2.52% per year.answer:use the forward-spot price-parity relation for the usd/cny exchange rate, where f is forward price, s is the current spot price, rcny is the cny interest rate, and r$ is the usd

55、 interest rate:f/(1 + r$) = s/(1 + rcny)$0.1361/(1.0252) = $0.1438/(1 + rcny)rcny = 8.32% per year6. the spot exchange of u.s. dollars for swedish kronor (sek) is $0.1686 per krona, but the one-year forward rate is $0.1718. determine the yield on a one year zero-coupon swedish government security if the corresponding yield on a u.s. government security is 2.62% per year.answer:use the forward-spot price-parity relation for the usd/sek exchange rate, where f is forward price, s is the curren