金融衍生工具英文版第六章题库.docVIP

Fundamentals of Futures and Options Markets, 8e Chapter 6 Interest Rate Futures  (Hull) 1) Which of the following  is  applicable  to corporate  bonds in  the United States? A) Actual/360 B) Actual/Actual C) 30/360 D) Actual/365 Answer: C 2) It is May 1. The quoted price of a bond with an Actual/Actual (in period) day count and 12%per annumcoupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price? A) B) C) D) Answer: C It is May 1. The quoted price of a bond with a 30/360 day count and 12% per annum coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price? A) B) C) D) Answer: A The most recent settlement bond futures price is . Which of the following four bonds is cheapest to deliver? A) Quoted bond price = 110; conversion factor = B) Quoted bond price = 160; conversion factor = C) Quoted bond price = 131; conversion factor = D) Quoted bond price = 143; conversion factor = Answer: C Which of the following is NOT an option open to the party with a short position in the Treasury bond futures contract? A) The ability to deliver any of a number of different bonds B) The wild card play C) The fact that delivery can be madeany time during the delivery month The interest rate used in the calculation of the conversion factor Answer: D A trader enters into a long position in one Eurodollar futures contract. How much does the trader gain when the futures price quote increases by 6 basis points? A) $6 B) $150 C) $60 D) $600 Answer: B 7) A company invests $1,000 in a five-year zero-coupon bond and $4,000 in a ten-year zero-coupon bond. What is the duration of the portfolio? 6 years 7 years 8 years 9 years Answer: D 8) The modified duration of a bond portfolio worth $1 million is 5 years. By approximately how much does the value of the portfolio change if all yields increase by 5 basis points? Increase of $2,500 Decrease of $2,