注册金融分析师-衍生产品投资(二).docx

衍生产品投资（二）
单项选择
1、 Consider a swap with a notional principal of $120 million.
CountETpLirt\
11 % Fixed
Counierpa swap brokerA negotiates with another firm, PPS, to take the pay-fixed side of the swap. The floating rate payment is based on LIBOR ( currently at percent) . At the time of the next payment (due in exactly one month)r 123, Inc will:
receive net payments of $42500.
receive net payments of $14167.
pay the dealer net payments of $14167.
8、 The payoff on an interest-rate option:
comes some period after option expiration.
is periodic^ typically every 90 days.
is greater than the "strike" rate.
9、 Consider a call option expiring in 60 days on a non-dividend-paying stock trading at 53 when the risk-free rate is 5%. The lower bound for a call option with an exercise price of 50 is:
$.
$.
$.
10、 Which of the following is NOT one of the conditions that must be met for a trade to be considered an arbitrage?
There is no risk.
There are no commissions.
There is no initial investment and there is a guaranteed profit.
11> Funds deposited to meet a margin call are termed:
daily margin.
loan payments
C . variation margin.
12、 Shigeo Kishiro recently purchased an American put option and Lendon Grey recently wrote an American call option on the same underlying stock, Tackel Sports (currently trading at $40 per share) . Kishiro paid $ for an exercise price of $ and Grey received $ for a strike price of $42. Assume that there are no transaction costs to exercise.
At a stock price of $43:
if Grey exercises, he will have gained a total of $.
the intrinsic put value is $0 and the put is at-the-money.
the intrinsic call value is $1.
13、 XYZ company has entered into a "plain-vanilla" interest rate swap on $1000000 notional principal. XYZ company pays a fixed rate of 8 percent on payments that occur at 90-day intervals. Six payments remain with the next one due in exactly 90 days. On the other side of the swap, XYZ c