英文版國際金融練習(xí)題Chapter-6

1、INTERNATIONAL FINANCEAssignment Problems (6) Name: Student#: I. Choose the correct answer for the following questions (only ONE correct answer) (3 credits for each question, total credits 3 x 20 = 60)1. Which of the following is NOT true regarding forward contracts? A. The maturity of forward contra

2、cts is flexible. B. Forward contracts are traded both on organized exchanges and OTC market. C. Forward contracts are used to speculate the discrepancies of the exchange rates. D. The size of a forward contract is usually much larger than that of the futures or options.2. Which of the following is N

3、OT a contract specification for currency futures trading on an organized exchange? A. maturity date B. maintenance margin requirement C. size of the contract D. All of the above are specified3. A futures contract is very similar to a forward contract, because _. A. both are agreements between two pa

4、rties to deliver relative currencies at a certain time for a certain price B. both are standardized contracts C. both can be used to eliminate the default risk D. both are required to physically deliver the underlying currency4. If the amount in the margin account drops below the maintenance margin,

5、 the futures contract holder will _. A. close out the contract B. be issued a margin call C. write a new contract D. notify the exchange5. Which of the following is NOT a difference between a currency futures contract and a forward contract? A. The counterparty to the futures participant is unknown

6、with the clearinghouse stepping into each transaction whereas the forward contract participants are in direct contact setting the forward specifications. B. A single sales commission covers both the purchase and sale of a futures contract whereas there is no specific sales commission with a forward

7、contract because banks earn a profit through the bid-ask spread. C. The futures contract is marked to market daily whereas a forward contract is only due to be settled at maturity. D. All of the above are differences between a currency futures contract and a forward contract.6. Assume that Citibank

8、in New York quotes a 30-day forward rate on euro of $0.7533 while the Singapore International Monetary Exchange (SIMEX) euro futures for delivery in 30 days is being quoted at $0.7522. You can make a riskless profit by _. A. taking a short position on euro in SIMEX euro futures contract and a long p

9、osition on euro in the forward contract B. taking a long position on euro in SIMEX euro futures contract and a short position on euro in the forward contract C. taking a short position on dollar in SIMEX euro futures contract and a short position on dollar in the forward contract D. taking a long po

10、sition on dollar in SIMEX euro futures contract and a long position on dollar in the forward contract7. The main function of the “Marking to market” procedure comes down to _. A. avoid default risk inherent in forward contracts B. cover risk exposure arisen from the international transactions C. pro

11、tect the contract holders from suffering the loss D. all of the above8. The buyer of a futures contract is required to put a sum of money in the exchange. This sum of money is called _. A. down payment B. initial margin C. premium D. commission9. When reading the futures quotation in the newspaper,

12、the column heading indicating the number of contracts outstanding on the previous day is called _. A. percentage change B. settle C. open interest D. estimated volume10. A put option on Japanese yen is written with a strike price of ¥ 88/$. Which of the following spot rate maximizes your profit

13、 if you choose to execute the contract before maturity? A. ¥70/$ B. ¥80/$ C. ¥90/$ D. ¥100/$11. The agreed price in a currency option contract is called the _. A. forward price B. futures price C. exercise price D. spot price12. For a currency put option if the future spot rate i

14、s above the strike price, the option is said to be _. A. in-the-money B. at-the-money C. out-of-the-money D. break-even13. The writer of an option contract has _ whereas the holder has _. A. obligation; choice B. right; responsibility C. choice; obligation D. priority; privilege14. Assume you bought

15、 a call option with the exercise price of $1.55/ in Chicago Mercantile Exchange on September 6. The contract would be expired in December. If the spot exchange rate was $1.50/ on October 10, the intrinsic value of this call option on that day would be _. A. $0.05 B. -$0.05 C. $0 D. None of the above

16、, because the contract doesnt expire on October 10.15. The foreign-currency accounts payable can be hedged by buying a _ option on the foreign currency, whereas accounts receivable can be hedged by buying a _ option on the foreign currency. A. call; put B. put; call C. American; European D. European

17、; American16. Mr. Bull tries to speculate on the direction of the entire stock market, the most efficient method he should use is to acquire _. A. a stock index futures B. a portfolio containing stocks of all traded companies C. a currency forward contract D. a currency futures contract17. The amoun

18、t that the option purchaser must pay to obtain an option contract may be described as option _. A. cost B. premium C. price D. All of the above18. A Canadian dollar option quoted as “C$ Sep 9800 put” is selling on the CME at a price of $0.0026/C$. The size of the contract is C$100,000. Assume the sp

19、ot exchange rate on the maturity day turns out to be $0.95/C$. You will have _ if you hold 10 contracts. A. $30,000 net profit B. $30,000 net loss C. $27,400 net profit D. $27,400 net loss19. A fixed-to-fixed currency swap is used to _. A. hedge currency risk B. speculate discrepancies of the exchan

20、ge rate C. make a riskless profit D. All of the above20. Exxon and Chase Manhattan Bank reached an agreement. In the next two years, Exxon would pay fixed price of oil to Chase Manhattan Bank on June 30, and Chase Manhattan Bank would pay floating price of oil according to the spot price on the same

21、 day. This is an example of _. A. fixed-for-floating currency swap B. commodity swap C. swaption D. equity swapII. Problems (40 Credits)1. Samuel Samosir trades currencies for Peregrine Funds in Jakarta, Indonesia. He focuses nearly all of his time and attention on the U.S. dollar/Singapore dollar (

22、$/S$) exchange rate. The current spot rate is $0.6000/S$. After considerable study this week, he has concluded that the Singapore dollar will appreciate versus the U.S. dollar in the coming 90 days, probably to about $0.7000/S$. He has the following options on the Singapore dollar to choose from: (3

23、 credits for each question, total credits 3 x 5 = 15 credits)Option Strike Price PremiumPut on S$ $0.6500/S$ $0.00003/S$Call on S$ $0.6500/S$ $0.00046/S$ a. Should Samuel buy a put on Singapore dollars or a call on Singapore dollar? b. Using your answer to part a, what is Samuels break-even price? c

24、. Using your answer to part a, what is Samuels gross profit and net profit (including the premium) if the spot rate at the end of the 90 days is indeed $0.7000/S$? d. Using your answer to part a, what is Samuels gross profit and net profit (including the premium) if the spot rate at the end of the 9

25、0 days is indeed $0.8000/S$? e. Using your answer to part a, what is the contracts time value at the end of the 90 days?2. Jennifer Magnussen, a currency trader for Chicago-based Black River Investments, uses the futures quotes below on the British pound to speculate on its value: (5 credits for eac

26、h question, total credits 4 x 3 = 12 credits)British Pound Futures, US$/pound (CME) Contract = 62,500 poundsInitial margin: $2,500/contract Maintenance margin: $1,250Maturity Open High Low Settle Change High Low Open InterestMarch 1.4246 1.4268 1.4214 1.4228 .0032 1.4700 1.3810 25,605June 1.4164 1.4

27、188 1.4146 1.4162 .0030 1.4550 1.3910 809 a. If Jennifer buys 5 June pound futures right after CME opens, and the spot rate at maturity is $1.3980/pound, what is the value of her position? b. If Jennifer sells 12 March pound futures with the opening quote, and the spot rate at maturity is $1.4560/po

28、und, what is the value of her position? c. If Jennifer buys 10 June pound futures at $1.3500/ in the early afternoon, and the closing rate at the end of the day is $1.3246/pound instead of $1.4162/pound, what will happen? Explain.3. You head the currency trading desk at Bearings Bank in London. As t

29、he middleman in a deal between the U.K. and Danish government, you have just paid 1,000,000 to the U.K. government and have been promised DKr8,438,000 from the Danish government in three months. All else constant, you wouldnt mind leaving this long krone position open. However, next months referendu

30、m in Denmark may close the possibility of Denmark joining the European Union. If this happens, you expect the krone to drop on world markets. As a hedge, you are considering purchasing a call option on pounds sterling with an exercise price of DKr8.4500/ that sells for DKr0.1464/. (13 credits total)

31、a. Fill in the call option values at expiration the following table. (3 credits) Spot rate at expiration (DKr/): 8.00 8.40 8.42 8.44 8.46 8.48Call value at expiration (DKr/):b, Based on the previous information, draw the payoff profile for a long krone put option at expiration. Note that these excha

32、nge rates are reciprocals of those in problem a. (3 credits)Spot rate at expiration (/DKr) .12500 .11905 .11876 .11848 .11820 .11792 Put value at expiration (/DKr) c. Label your axes and plot each of the points. Draw a profit/loss graph for this long krone put at expiration. (7 credits)Answers to As

33、signment (6)I. (60 credits)1. B 2. D 3. A 4.B 5. D 6. B 7. A 8. B 9. C 10. A 11. C 12. C13. A 14. C 15. A 16. A 17. D 18. C 19. A 20.BII. (40 credits)1. Option problema. Samuel should buy a call on Singapore dollar.b. Break-even exchange rate for a call option = strike price + premium = 0.6500 + 0.0

34、0046 = $0.65046/S$c. Gross profit = 0.7000 0.6500 = $0.05 Net profit = 0.7000 0.65046 = $0.04954d. Gross profit = 0.8000 0.6500 = $0.15 Net profit = 0.8000 0.65046 = $0.14954e. time value = 0, no time value when the contract expires.2. Futures problema. Jennifers loss = (1.3980 1.4164) x (62,500) x 5 = -$5,750 Value of her position: (2,500 x 5) 5,750 = $12,500 5,750 = $6,750b. Jennifers loss = (1.4246 1.4560) x (62,500 x 12 = -$23,550 Value of her position: (2,500 x 12) 23,550 = $30,000 23,550 = $6,450c. Jennifers margin acc