金融衍生工具测试题-(4)

TestBank:Chapter4InterestRates1.Aninterestrateis15%perannumwhenexpressedwithannualcompounding.Whatistheequivalentratewithcontinuouscompounding?Answerasapercentwithtwodecimalplaceaccuracy______2.Aninterestrateis8%perannumwhenexpressedwithcontinuouscompounding.Whatistheequivalentratewithsemiannualcompounding?Answerasapercentwithtwodecimalplaceaccuracy______3.Aninterestrateis12%whenexpressedwithquarterlycompounding.Whatistheequivalentratewithsemiannualcompounding?Answerasapercentwithtwodecimalplaceaccuracy______4.Thethree-yearzerorateis7%andthefour-yearzerorateis7.5%(bothcontinuouslycompounded.Whatistheforwardrateforthefourthyearwithcontinuouscompounding?Answerasapercentwithtwodecimalplaceaccuracy______5.Thesix-monthzerorateis8%withsemiannualcompounding.Thepriceofaone-yearbondthatprovidesacouponof6%perannumsemiannuallyis97.Whatistheone-yearcontinuouslycompoundedzerorate?Answerasapercentwithtwodecimalplaceaccuracy______6.Theyieldcurveisflatat6%perannumwithsemiannualcompounding.What(tothenearestcent)isthevalueofanFRAwheretheholderreceivesinterestattherateof8%perannumforasix-monthperiodonaprincipalof$1,000startingintwoyears?______7.Underliquiditypreferencetheory,whichofthefollowingisalwaystrue(circleone)(a)Theforwardrateishigherthanthespotratewhenbothhavethesamematurity.(b)Forwardratesareunbiasedpredictorsofexpectedfuturespotrates.(c)Thespotrateforacertainmaturityishigherthantheparyieldforthatmaturity.(d)Forwardratesarehigherthanexpectedfuturespotrates.8.Whenthezerocurveisupwardsloping,whichtwoofthefollowingistrue?(circletwo)(a)Theone-yearzerorateisalwaysgreaterthantheforwardratefortheperiodbetween1yearand1.5years.(b)Theone-yearzerorateisalwayslessthantheforwardratefortheperiodbetween1yearand1.5years.(c)Theone-yearparyieldisalwaysgreaterthantheone-yearzerorate.(d)Theone-yearparyieldisalwayslessthantheone-yearzerorate.9.Theshorttermrisk-freerateusuallyusedbyderivativestradersintheover-the-countermarketis(circleone)(a)TheTreasuryrate(b)TheLIBORrate(c)Thereporate(d)Thecommercialpaperrate