信息法教程（第二版）-tb11.docVIP

CHAPTER 11: INTEREST RATE FORWARDS AND OPTIONS MULTIPLE CHOICE TEST QUESTIONS 1. Which of the following is a 1 x 4 FRA? a. The FRA expires in one month, and the underlying Eurodollar expires in three months. b. The FRA expires in four months, and the underlying Eurodollar expires in one month. c. The FRA expires in one month, and the underlying Eurodollar expires in four months. d. The FRA expires in three months, and the underlying Eurodollar expires in four months. e. The FRA expires in one month, and the underlying Eurodollar expires in five months. 2. Determine the value of an interest rate call option at the maturity of a loan if the call has a strike of 12 percent, a face value of $50 million, the loan matures 90 days after the call is exercised, the call expires in 60 days, the call premium is $200,000, and LIBOR ends up at 13 percent. a. $125,000 b. $83,333 c. $208,000 d. -$75,000 e. none of the above 3. A bank makes a $5 million 180-day pure discount loan at LIBOR of 9 percent. At the same time, however, it exercises an interest rate put that has a strike of 11 percent. Find the annualized rate of return on the loan. Ignore the cost of the put. a. 9.34 percent b. 11.47 percent c. 9 percent d. 11 percent e. none of the above 4. Which of the following best describes an interest rate cap? a. a cash-and-carry hedge b. a series of forward contracts c. a series of interest rate calls d. a call option spread e. none of the above 5. A bank buys an interest rate floor in conjunction with a loan it holds that will make four semiannual payments starting six months from now. The floor has a strike of 9 percent. LIBOR at the beginning of the four payment periods is 10, 11, 8 and 8.6 percent. On which dates will the floor writer make a payment to the bank? a. now and in 24 months b. in 18 and 24 months c. in 12 and 18 months d. in 6, 12, 18 and 24 months e. none of the above 6. The advantage of a collar over a cap is a. it lowers the out