投资学第7版Test-Bank答案23

Chapter23FuturesandSwaps:MarketsandApplications584MultipleChoiceQuestions1.Whichoneofthefollowingstockindexfutureshasamultiplierof$250timestheindexvalue?A)Russell2000B)S&P500IndexC)NikkeiD)DAX-30E)NASDAQ100Answer:BDifficulty:EasyRationale:Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.2.Whichoneofthefollowingstockindexfutureshasamultiplierof$10timestheindexvalue?A)Russell2000B)DowJonesIndustrialAverageC)NikkeiD)DAX-30E)NASDAQ100Answer:BDifficulty:EasyRationale:Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.3.Whichoneofthefollowingstockindexfutureshasamultiplierof$500timestheindexvalue?A)Russell2000B)FTSE100C)NikkeiD)DAX-30E)NASDAQ100Answer:ADifficulty:EasyRationale:Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.Chapter23FuturesandSwaps:MarketsandApplications5854.Whichoneofthefollowingstockindexfutureshasamultiplierof$100timestheindexvalue?A)Russell2000B)S&P500IndexC)NikkeiD)DAX-30E)NASDAQ100Answer:EDifficulty:EasyRationale:Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.5.Whichoneofthefollowingstockindexfutureshasamultiplierof10eurostimestheindex?A)CAC40B)DJEuroStoxx-50C)NikkeiD)DAX-30E)AandBAnswer:EDifficulty:EasyRationale:Themultiplierisusedtocalculatecontractsettlements.SeeTable23.1.6.YoupurchasedoneS&P500Indexfuturescontractatapriceof950andclosedyourpositionwhentheindexfutureswas947,youincurred:A)alossof$1,500.B)againof$1,500.C)alossof$750.D)againof$750.E)Noneoftheabove.Answer:CDifficulty:ModerateRationale:(-$950+$947)X250=-$750.7.YoutookashortpositionintwoS&P500futurescontractsatapriceof910andclosedthepositionwhentheindexfutureswas892,youincurred:A)againof$9,000.B)alossof$9,000.C)alossof$18,000.D)againof$18,000.E)Noneoftheabove.Answer:ADifficulty:EasyRationale:($910-$892)X250X2=$9,000Chapter23FuturesandSwaps:MarketsandApplications5868.Ifastockindexfuturescontractisoverpriced,youwouldexploitthissituationby:A)sellingboththestockindexfuturesandthestocksintheindex.B)sellingthestockindexfuturesandsimultaneouslybuyingthestocksintheindex.C)buyingboththestockindexfuturesandthestocksintheindex.D)buyingthestockindexfuturesandsellingthestocksintheindex.E)Noneoftheabove.Answer:BDifficulty:ModerateRationale:Ifoneperceivesoneassettobeoverpricedrelativetoanotherasset,onesellstheoverpricedassetandbuystheotherone.9.ForeignExchangeFuturesmarketsare__________andtheForeignExchangeForwardmarketsare__________.A)informal;formalB)formal;formalC)formal;informalD)informal;informalE)organized;unorganizedAnswer:CDifficulty:EasyRationale:Theforwardmarketinforeignexchangeisanetworkofbanksandbrokersallowingcustomerstoenterforwardcontractstopurchaseorsellcurrencyinthefutureatacurrentlyagreeduponrateofexchange.ThecurrencyfuturesmarketsareformalmarketsestablishedbytheChicagoMercantileExchangewherecontractsarestandardizedastosizeanddailymarkingtomarketisobserved.Aclearinghouseisalsoinvolved.10.Supposethattherisk-freeratesintheUnitedStatesandintheUnitedKingdomare4%and6%,respectively.Thespotexchangeratebetweenthedollarandthepoundis$1.60/BP.Whatshouldthefuturespriceofthepoundforaone-yearcontractbetopreventarbitrageopportunities,ignoringtransactionscosts.A)$1.60/BPB)$1.70/BPC)$1.66/BPD)$1.63/BPE)$1.57/BPAnswer:EDifficulty:ModerateRationale:$1.60(1.04/1.06)=$1.57/BP.Chapter23FuturesandSwaps:MarketsandApplications58711.Supposethattherisk-freeratesintheUnitedStatesandintheUnitedKingdomare5%and4%,respectively.Thespotexchangeratebetweenthedollarandthepoundis$1.80/BP.Whatshouldthefuturespriceofthepoundforaone-yearcontractbetopreventarbitrageopportunities,ignoringtransactionscosts?A)$1.62/BPB)$1.72/BPC)$1.82/BPD)$1.92/BPE)noneoftheaboveAnswer:CDifficulty:ModerateRationale:$1.80(1.05/1.04)=$1.82/BP.12.Supposethattherisk-freeratesintheUnitedStatesandintheJapanare5.25%and4.5%,respectively.Thespotexchangeratebetweenthedollarandtheyenis$0.008828/yen.Whatshouldthefuturespriceoftheyenforaone-yearcontractbetopreventarbitrageopportunities,ignoringtransactionscosts?A)$0.009999/yenB)$0.009981/yenC)$0.008981/yenD)$0.008891/yenE)noneoftheaboveAnswer:DDifficulty:ModerateRationale:$0.008828(1.0525/1.045)=$0.008891/yen.13.LetRUSbetheannualriskfreerateintheUnitedStates,RUKbetheriskfreerateintheUnitedKingdom,Fbethefuturespriceof$/BPfora1-yearcontract,andEthespotexchangerateof$/BP.Whichoneofthefollowingistrue?A)ifRUSRUK,thenEFB)ifRUSRUK,thenEFC)ifRUSRUK,thenEFD)ifRUSRUK,thenF=EE)Thereisnoconsistentrelationshipthatcanbepredicted.Answer:CDifficulty:DifficultRationale:IfRUSRUK,then(1+RUS)/(1+RUK)1andEF.Chapter23FuturesandSwaps:MarketsandApplications58814.LetRUSbetheannualriskfreerateintheUnitedStates,RJbetheriskfreerateinJapan,Fbethefuturespriceof$/yenfora1-yearcontract,andEthespotexchangerateof$/yen.Whichoneofthefollowingistrue?A)ifRUSRJ,thenEFB)ifRUSRJ,thenEFC)ifRUSRJ,thenEFD)ifRUSRJ,thenF=EE)Thereisnoconsistentrelationshipthatcanbepredicted.Answer:ADifficulty:DifficultRationale:IfRUSRJ,then(1+RUS)/(1+RJ)1andEF.Usethefollowingtoanswerquestions15-18:Considerthefollowing:15.Whatshouldbet