衍生工具题库

一、多项选择汉语1．下列属于衍生工具产品依赖的变量是（）A．猪肉价格B．股价C．用电量D．气温2．在场外市场交易的衍生工具有（）A．期货B．远期C．期权D．互换3．关于期权说法正确的有（）A．美式期权只有在到期日才能被执行B．期权赋予持有者去做某事的权利，而不承担相应的义务C．欧式期权比起美式期权更容易分析D．对于投资者取得的杠杆效应而言，期货和期权的效果是有差别的4．关于保证金账户说法正确的不对有（）A．资产价格的波动率越大，则保证金要求越低B．对冲者的保证金要求低于投机者的保证金要求C．保证金的要求对期货多头寸方与空头寸方不一致D．为了满足保证金的催付，投资者有时可以将有价证券代替现金5．监管当局处理市场上的企图“操纵市场”这类违规事件的方法通常有（）A．增加保证金B．设定更严格的头寸限额C．强迫交易者平仓D．禁止增加头寸的交易6．基差意想不到的增强，则（）A．短头寸对冲者的头寸会恶化B．短头寸对冲者的头寸会改善C．长头寸对冲者的头寸会恶化D．长头寸对冲者的头寸会改善7．如果ρ=0.8，并且σF=2σS，则表明（）A．最佳对冲比率为0.8 B．期货价格的变化幅度是即期价格的2.5倍C．对冲效率为0.16 D．期货价格的变化幅度是即期价格的2倍8．下列说法正确的有（）A．久期不适用于利率非平行移动的情形B．相同久期的两个交易组合，当利率变化较大时，组合价值的变化不同 C．市场分割理论使得远期利率会出现高于将来零息利率期望值的情形D．预期理论认为对应于将来某一时间的远期利率等于该时段未来的即期利率的期望值9．下列属于消费性资产的有（）A．金 B．银 C．铜 D．原油10．在实践中，理论中会造成远期及期货价格不同而没有纳入的因素是（）A．税收 B．交易成本 C．利率 D．保证金的处理11．则下面说法正确的有（）A．如果对冲者倾向于持有短头寸而投机者倾向于持有长头寸，资产期货价格低于预期未来即期价格B．如果对冲者倾向于持有长头寸而投机者倾向于持有短头寸，对冲者因为期货可以减少风险而平均来讲会有损失C．如果一项资产价格与股票市场有正相关性，则当标的资产具有系统风险时，应该期望期货价格会低估未来预期即期价格D．如果标的资产的收益与市场无关时，期货价格是对将来预期即期价格的有偏估计12．决定最便宜交割债券的因素有（）A．收益率 B．债券期限C．收益率曲线形状D．债券报价13．假定通用电气及快达航空公司分别借入美元和澳元的5年期固定利率，两家公司在美元上的借款利率分别为4.0%和6.5%，在澳元上的借款利率分别为7.1%和8.3%，则下列说法正确的是（）A．通用电气在美元中有比较优势，快达航空在澳元中有比较优势B．所有交易的整体收益为1.3%C．和标准利率互换相比较，该互换符合比较优势理论D．如果互换中有金融机构介入，则互换收益在三方间平分14．可以将收入固定利率并付出浮动利率的互换看做是如下组合（）A．固定利率债券的长头寸B．固定利率债券的短头寸C．浮动利率债券的长头寸D．浮动利率债券的短头寸15．假定IBM股票期权处在2月份循环中，则在5月末，此股票期权的到期月份为（）A．5月B．6月C．8月D．10月16．无股息股票上美式看涨期权不应被提前行使的原因有（）A．期权提供了保险B．货币的时间价值B．不发放股息D．持有更有价值17．下列说法能获得收益的是（）A．在日历差价中，短期限期权到期时，股票价格接近于期限较短的期权的执行价格B．在盒式差价中，盒式价差的市场价格只要偏离两个执行价格的差C．在蝶式差价中，股票价格不会有较大波动时D．在牛市差价中，股票价格在期权到期日时，表现良好二、多选英语1．The current stock price is ＄29 and a 3-month call with a strike price of ＄30 costs ＄2.90. Under what circumstances will the option be exercised?（）A．stock price is 29$ B．stock price is 30.90$C．stock price is 26$ D．stock price is 35$2．Trading strategies of hedge funds include （）A．Market neutral B．Treasury bondsC．Convertible arbitrage D．Emerging markets3．When the spot price is above the futures price during the delivery period，a clear arbitrage opportunity by traders is （）A．Make delivery B．Buy a futures contractC．Buy the asset C．Sell a futures contract E．Sell the asset4．Individuals taking positions can be categorized as （）A．scalpers B．hedgers C．arbitrageurs D．speculators5．The main features that futures are different from forward are （）A．Settled daily B．Some credit riskC．Standardized contract D．Traded on an exchange6．If the price of gold goes up，the conclusions that the following are correct are （）A．The company that does not use futures contracts to hedge its purchase is unaffected on its gross profit margin.B．The company’s profit margin will increase after the effects of hedge have been taken into account.C．The company’s profit margin will decrease after the effects of hedge have been taken into account.D．The wholesale price of the jewelry will tend to lead a corresponding decrease. 7．When β=3.0，it illustrates that（）A．the excess return on the portfolio tends to be three times as great as the excess return on the marketB．the sensitive to market movement is twice as a portfolio with a beta 1.5C．it is therefore necessary to use twice as many contracts to hedge the portfolio D．if the beta of portfolio falls to 2.0，the number of contracts shorted should increase8．The bank’s statement that the interest rate is 10% means that $100 grow to （）A．$110.38 when the interest rate is measured with semiannual compounding B．$110.52 when the interest rate is measured with daily compoundingC．$110.52 when the interest rate is measured with continuous compounding D．$110.47 when the interest rate is measured with monthly compounding 9．Suppose the underlying asset is gold and assume no storage costs or income. If F0<S0e rT，an investor can adopt the following strategy to make a profit.（）A．Borrow S0 dollars at an interest rate r for T yearsB．Sell the gold for S0C．Take a long position in a forward contract on 1 ounce of time TD．Invest the proceeds at interest rate r for time T10．When S is strongly positively correlated with interest rates，so （）A．Forward prices will tend to be slightly higher than futures pricesB．Futures prices will tend to be slightly higher than forward pricesC．when S increases，an investor who holds a long futures position makes an immediate gainD．when S decreases，an investor who holds a long forward contract is not affected.11．If the futures price is an increasing function of the time to maturity，so （）A．the benefits from holding the asset are less than the risk-free rateB．it is usually optimal for the party with the short position to deliver as late as possibleC．the interest earned on the cash received outweighs the benefits of holding the assetD．futures prices should be calculated on the basis that delivery will take place at the end of the delivery period.12．The day count conventions that are commonly used in the United States are （）A．actual/365 B．actual/actual C．30/360 D．actual/360 13．The examples of the instruments that can be used for hedging by swap market maker are （）A．bonds B．forward rate agreements C．stock option D．interest rate futures14．Suppose that the term structure of interest rates is upward-sloping at the time the swap is negotiated，this means （）A．The value of the FRAS corresponding to early payment dates is negativeB．The forward interest rates increase as the maturity of the FRA increasesC．The value of the FRAS corresponding to later payment dates is negativeD．The forward interest rates decrease as the maturity of the FRA increases 15．The values of puts increase as （）A．The stock price decreases and the strike price decreaseB．The time to expiration increasesC．V olatility increasesD．The net effect of an interest rate increase and the accompanying stock price decrease16．The spread trading strategies that require an initial investment include （）A．A bull spread when created from putsB．A bear spread when created from putsC．A butterfly spread when created from callsD．A butterfly spread when created from puts17．When an investor is expecting a large move in a stock price，the combinations that the investor can choose include （）A．Straddles B．Strips C．Strangles D．Straps三、判断汉语1．场外市场交易产品的面值与其价值是一致的。