FundameｎｔalsofFuｔuresanｄOpｔiｏnsMarketｓ,8e(Hｕll)Ｃhａｐteｒ６ＩnｔerestＲａｔeFuｔurｅs1)WｈichoｆthefollｏｗiｎgiｓａppｌiｃaｂleｔocoｒpｏrａteboｎdｓｉntｈｅUnｉtedＳｔates？A）Acｔual/360Ｂ)Ａctual/AcｔuaｌＣ)3０/３６0D)Actual/３65Ansｗer:C2）ItisMay1.ThｅｑuoｔedpｒｉcｅoｆabｏndwｉthａnＡcｔuａｌ/Ａctual(inperioｄ)ｄaycounｔaｎd1２%pｅrannｕｍｃouponｉnｔheUniｔedStaｔesis１05.Ithasafacｅvalueｏf100ａndｐayscoｕponsonApril１andOcｔｏbｅr1.Ｗhaｔｉｓthｅｃashpｒｉce？A）106.０0Ｂ)10６．02C）10５.9８D)１0６.04Answer：Ｃ3)ItｉsMａy１.Thequoｔedpｒiｃeｏfaｂｏndwitha3０/３6０dａycouｎtand12%peraｎnumcｏuｐoｎiｎｔheＵｎｉtedStaｔｅsis１05．Ithａsafaｃevaluｅoｆ１００andpaｙscouponｓｏnApril1aｎdOcｔober1.Ｗhatｉsthecａsｈpriｃｅ?A)10６.00B）106.02C）10５.98Ｄ)106.0４Anｓweｒ:Ａ4）Tｈemostrｅcentｓｅttlementｂondfuturｅｓpricｅis１03．５.Whiｃｈoｆthefolｌowingｆourbondｓischｅapestｔoｄelｉver?A)Ｑuotedｂondprｉce=110；convｅrsiｏnfacｔｏr=１.０400Ｂ)Quoteｄbondprice＝160;conversｉｏｎｆacｔoｒ＝１．5200Ｃ)Ｑuotedbonｄprｉce＝13１；ｃonvｅrsｉｏnfactoｒ=1.25０0Ｄ)Quｏteｄboｎdpｒicｅ=143;cｏnverｓionfaｃtor＝1.35０0Ａnsｗer:C5)WhｉchofthｅfoｌlowｉngｉsNＯＴaｎopｔionopentｏthepartywｉthashortｐoｓitioniｎtｈeTreasｕryｂondfutuｒescontract?A)TheabｉlｉｔyｔoｄｅliveｒanyofanｕmberｏfｄiｆferentｂoｎdsB）ThewildｃardpｌayＣ)ThefaｃtthatdelｉvｅｒｙｃanbemａｄeanytimｅduｒinｇtheｄｅliｖerymｏnthＤ）TheinterestrａteｕsedｉnｔhecａｌculａtionoftｈecｏnｖersionfａcｔorＡnsｗer:D6)ＡｔradｅrentersinｔｏalongpｏｓitioｎｉnoneＥurodoｌlarfuturescontｒact．Howｍuｃhdoeｓthetradeｒｇainwｈｅnｔｈefuturｅspricequｏｔeiｎcｒｅasesbｙ6ｂasispoints？Ａ）＄６Ｂ)$15０C）＄６0D)$600Ａｎswｅr:B7)Acompanyｉnvｅsts$１,00０ｉｎaｆiｖe-ｙearzeｒo-cｏuponbｏnｄand＄4，000inａｔeｎ-yeａrzeｒo－couponbond.Wｈaｔｉstheduratioｎoｆthｅporｔfolｉｏ?A)6yｅarｓB)７ｙearsＣ)8yearsD)9yｅａrsAnｓwer:D8)Themodｉfiｅddurａtiｏｎoｆabondportfｏliowortｈ$1mｉlliｏｎis5yｅaｒｓ.Ｂyaｐｐroximaｔelyhowｍuｃｈｄoｅsｔｈevalueofthｅpｏrtfoliocｈangｅifaｌｌｙieｌdsincreaseby５basispointｓ?Ａ)Increaseof$2,500B)Dｅcｒeaseｏｆ$２,５00Ｃ）Incrｅaｓeoｆ$25,0００D)Ｄecrｅaｓeｏf$25，０00Aｎsweｒ：B9)Apoｒｔfolioisｗorth$24,000,0０0.ThefutuｒeｓpｒicｅｆｏraＴreasｕryｎｏtefuturｅsconｔｒactｉｓ110andeacｈconｔｒａctisfｏrthedelｉｖerｙｏfbondｓwｉthafａcｅvalueｏｆ$100,00０．Ｏｎthｅdelivｅryｄａtetｈeduraｔｉｏnｏfthｅｂondｔhatisexpectedｔobｅchｅaｐｅsttodeliveris6ｙearｓａndｔhｅdurationｏftｈepｏｒｔfolｉowｉｌlｂe５.５yeａｒｓ．Howmanｙcoｎtｒactsarenecessarｙforhedgingthｅpoｒtfoliｏ?A)100B)２00C)３00Ｄ)400Ansｗeｒ：Ｂ10)Whｉｃhｏfthｅfolｌｏwinｇｉstrue？A)TheｆutuｒesratｅscalculaｔedfｒｏmaEuｒodollarｆutuｒeｓqｕoteaｒealwayｓleｓstｈａnthecｏrrespoｎdinｇｆｏrｗaｒdrateB)ThefutuｒesratescalｃuｌatｅdfromaEurｏdollａrfutuｒeｓquotearealwayｓgｒeaｔeｒthanｔｈecorｒespondingforwardｒaｔeC)ThefuturesraｔｅｓｃalculaｔedfｒｏmaEurodoｌｌａrfuturesquoｔeshｏuｌdequalthecｏｒrespｏndingforwardrateD)TheｆuｔｕresｒａｔｅscａlｃuｌａｔedfｒｏmaＥurｏdolｌarｆutｕrｅsｑuotearｅsometimesgreａtertｈａnanｄsometimeslｅsｓｔhａｎthｅcorrｅspｏndingfoｒwａrdrateAnsｗer:Ｂ11）Ｈowｍuchisａbasispoｉnｔ?A）1.0%Ｂ)0.1%C)０.0１%D)0．001%Ansｗer：C１２)ＷhｉchofｔhefollowingdayｃoｕｎtｃoｎventiｏｎsapplｉeｓｔoaUSＴｒeasurybｏｎｄ？Ａ）Acｔual/360B)Actual／Actｕal(iｎperｉｏｄ)Ｃ)30/360D）Ａctual/365Ａnｓｗer:B13)Whatistheｑuoteddｉsｃountrateoｎamoｎeymarkｅtinsｔｒument?A）TheinｔereｓtrateearneｄasapercenｔａgeofｔｈefinａlｆacｅvaluｅｏfaｂonｄB)ThｅinteｒｅｓtrateｅａrnedasａpｅrcentageofｔheｉnitiａlｐrｉcｅｏfaboｎｄC)TheinｔeｒestｒatｅeaｒｎedasａpeｒｃeｎtaｇeoftheaveｒａgeｐｒｉｃeｏfａbondＤ）Tｈerisk-freerateusedtocalｃulateｔｈepresentvａlueoｆfutｕrecaｓｈflｏwｓfromａboｎdAｎsｗer:A14)Whichoｆｔhefollowinｇisclosesttotheduｒａtionｏfa２-yeaｒbｏndthatpaｙsａｃoｕpｏnof8％ｐeｒannumsｅmｉannuaｌly?Ｔheyieｌｄontheboｎdis10%ｐerannuｍｗｉthconｔinｕoｕscompｏunding．Ａ)１.８2B)１.85C)1.88Ｄ)1．92Aｎｓｗer:Ｃ15)WhｉcｈoftｈefoｌｌowｉnｇisNＯTｔrueａｂoｕtduraｔiｏn？A)Iｔeqｕalstheyｅars-tｏ-maturityfｏrazerocouponbondB）Ｉtｅquａlstｈewｅigｈtｅｄａveragｅｏfpayｍｅnttimesfoｒａbｏｎd,whereweiｇhtsarｅpｒoportｉonａltoｔhｅpreｓentｖalueｏｆpaymeｎtsC）Ｅｑualｓtheweighｔｅdａverageofｉndiｖidualbｏｎddurationｓforaporｔfoｌio,wheｒｅweｉｇhtｓａrepropｏｒtｉonaltotｈepreseｎｔvalueoｆbondpｒiceｓD)Thepricesoｆtwobｏｎdｓwitｈthｅｓamｅduratiｏnchangeｂｙtheｓamepｅrceｎtageamountwhｅｎintｅrestratemoveｕｐby１０0basispointsAnswer:Ｄ１6)ＴheｃonｖersiｏnfactorforaboｎdisapproximaｔelyA)Tｈepｒiｃeitwoｕldｈaｖeｉfallcaｓhfloｗsweｒedisｃｏuntedat６%ｐerａnnuｍＢ)Thepｒｉcｅitｗouldｈaveiｆｉtpaidcoupoｎｓat６%pｅrannuｍC)Thepｒiceitwouldhａｖeifａｌｌcasｈflowsｗerediscｏuntedat8%peｒaｎnumD)Thepriceｉtｗouldhaveｉｆitｐaidcoupoｎｓat８％ｐerannumAnswer:Ａ1７)Ｔｈetime-to－ｍatuｒiｔｙofaEurｏdollａｒsfutｕrescontractｉs4yeａrｓ,ａnｄthetime-ｔｏ-ｍatuｒiｔｙofｔherａteｕnｄerｌｙiｎｇthｅfｕｔurescｏｎtｒactiｓ4.25yeａrs．Ｔhestanｄａｒddｅviatｉｏnｏftｈecｈanｇｅintheshortteｒminｔerestrａte，σ＝0.０１1．Whatisthedifｆerｅncebetｗeeｎthefuturesandthｅｆorwaｒｄiｎteｒeｓｔrａte?A)0.１０5%B)0.103%C)0.098%D)０.0９3%Aｎswer:B18)Ａtraｄeruses３－monthEuroｄollaｒfｕturｅsｔoｌockｉnaｒateon$5milliｏnｆorｓixmonｔhs．Hoｗmanｙｃontrａcｔsaｒereｑuiｒed？Ａ)5B)10C)15D)２０Aｎｓwer：B１9)IｎｔｈｅU．S．wｈatｉsｔｈｅｌongesｔｍａｔuriｔｙｆｏr3－mｏnｔhEｕrodoｌｌａrｆuturesco