FIS 8e - Ch4 Bond Price Volatility
金融衍生品公式
金融衍生品公式金融衍生品公式1. 期权定价公式•黑-斯科尔斯（Black-Scholes）期权定价模型是一种用于计算欧式期权价格的公式。
•公式为：C(S,t)=S0e−qt N(d1)−Xe−rt N(d2)这里: - C 是期权价格 - S 是标的资产价格 - t 是剩余到期时间 - S0 是标的资产初始价格 - X 是期权执行价格 - r 是无风险利率 - q 是年化红利率 - N 是标准正态分布函数 - d1 和 d2 是黑-斯科尔斯模型中的变量例子：假设某个股票当前市价为100元，期权执行价格为110元，剩余到期时间为1年，无风险利率为5%，年化红利率为2%，标准正态分布函数N(d1)为，N(d2)为。
根据黑-斯科尔斯期权定价模型，可以计算出该欧式期权的价格为：C(100,1)=100e−×−110e−×=2. 期权希腊字母公式•期权希腊字母是用来衡量期权价格对不同因素的敏感度的参数。
delta（Δ）•Delta表示期权价格对标的资产价格变动的敏感度。
•公式为：Δ=∂C ∂S这里，Δ代表期权的delta值，C代表期权价格，S代表标的资产价格。
例子：如果某个欧式认购期权的delta值为，标的资产价格上涨1单位，则期权价格预计上涨单位。
gamma（Γ）•Gamma表示期权价格对标的资产价格变动的delta的变动率。
•公式为：Γ=∂2C ∂S2这里，Γ代表期权的gamma值，C代表期权价格，S代表标的资产价格。
例子：如果某个欧式认购期权的gamma值为，标的资产价格上涨1单位，则期权的delta值将增加单位。
theta（Θ）•Theta表示期权价格对时间变动的敏感度。
•公式为：Θ=∂C ∂t这里，Θ代表期权的theta值，C代表期权价格，t代表剩余到期时间。
例子：如果某个欧式认购期权的theta值为-，时间过去1天，则该期权价格预计下降单位。
vega（ν）•Vega表示期权价格对标的资产价格波动率变动的敏感度。
2024年期货从业资格之期货基础知识通关提分题库及完整答案
2024年期货从业资格之期货基础知识通关提分题库及完整答案单选题（共45题）1、看涨期权的执行价格为300美元，权利金为5美元，标的物的市场价格为280美元，则该期权的内涵价值为（）美元。
A.-25B.-20C.0D.5【答案】 C2、1882年交易所允许以（）方式免除履约责任，而不必交割实物。
A.交割实物B.对冲C.现金交割D.期转现【答案】 B3、某股票当前价格为88.75港元，该股票期权中内涵价值最高的是（）。
A.执行价格为92.50港元，权利金为4.89港元的看跌期权B.执行价格为87.50港元，权利金为2.37港元的看跌期权C.执行价格为92.50港元，权利金为1.97港元的看涨期权D.执行价格为87.50港元，权利金为4.25港元的看涨期权【答案】 A4、若股指期货的理论价格为2960点，无套利区间为40点，当股指期货的市场价格处于（）时，存在套利机会。
A.2940和2960点之间B.2980和3000点之间C.2950和2970点之间D.2960和2980点之间【答案】 B5、世界上最主要的畜产品期货交易中心是（）。
A.芝加哥期货交易所B.伦敦金属交易所C.芝加哥商业交易所D.纽约商业交易所【答案】 C6、2008年9月，某公司卖出12月到期的S&P500指数期货合约，期指为1400点，到了12月份股市大涨，公司买入100张12月份到期的S&P500指数期货合约进行平仓，期指点为1570点。
S&P500指数的乘数为250美元，则此公司的净收益为()美元。
A.42500B.-42500C.4250000D.-4250000【答案】 D7、某投机者预测10月份大豆期货合约价格将上升，故买入10手大豆期货合约，成交价格为2030元／吨。
可此后价格不升反降，为了补救，该投机者在2000元／吨的价格再次买入5手合约，当市价反弹到( )时才可以避免损失。
（不计手续费等费用）A.2010元／吨B.2020元／吨C.2015元／吨D.2025元／吨【答案】 B8、某执行价格为1280美分/蒲式耳的大豆期货看涨期权，当标的大豆期货合约市场价格为1300美分/蒲式耳时，该期权为（）期权。
金融衍生品定价模型总结归纳：
金融衍生品定价模型总结归纳：金融衍生产品是金融市场中的重要组成部分。
为了正确定价和评估这些衍生品，金融衍生品定价模型被广泛应用。
以下是对几种常见的金融衍生品定价模型的总结和归纳：1. Black-Scholes模型Black-Scholes模型是一种用于期权定价的重要模型。
它基于市场中的假设，包括无风险利率恒定、认购和认沽期权市场合理定价、标的资产价格遵循几何布朗运动等。
该模型可以解决欧式期权的定价问题，为投资者提供了参考。
2. Vasicek模型Vasicek模型是用于利率期限结构建模的一种模型。
该模型假设利率是随机变动的，但随着时间的推移趋于均值回归。
它可以用来估计债券的价格、利率期限结构和利率敏感性等。
3. Cox-Ingersoll-Ross模型Cox-Ingersoll-Ross模型是另一种利率期限结构建模的模型。
与Vasicek模型类似，它也假设利率是随机变动的，并且时间趋于均值回归。
然而，Cox-Ingersoll-Ross模型相对于Vasicek模型更适用于描述利率变动的波动。
4. Black-Derman-Toy模型Black-Derman-Toy模型主要用于定价利率衍生品，如利率互换和利率期权。
该模型结合了随机利率和随机波动率，可以更准确地测量和定价利率的变动和风险。
这些金融衍生品定价模型在金融市场中起着重要作用，帮助投资者和决策者进行合理定价和误差控制。
然而，使用这些模型时需要谨慎，因为它们是基于某些假设和限制条件构建的，实际市场情况可能与模型假设有所不同。
总结：选择合适的金融衍生品定价模型是金融从业者的重要任务之一。
不同类型的衍生品需要使用不同的模型来定价。
了解和掌握这些模型的原理和应用，有助于更准确地评估和定价金融衍生品。
第四章利率期货课后习题及答案
第四章利率期货复习思考题4.1.利率期货的定义是什么，包含哪些品种？4.2.欧洲美元期货是如何报价的？4.3.3,欧洲美元期货的理论价格如何计算？4.4.欧洲美元期货的隐含远期利率与远期利率有什么差异？为什么？4.5.写出我国国债期货转换因子的计算公式，并说明符号的含义。
4.6.写出基于最便宜交割债券价格的国债期货理论报价公式。
4.7.国债期货名义国债设计带来哪些特殊概念。
4.8.最便宜交割债的作用有哪些？4.9.转换因子的特征有哪些？4.10.债券报价为何采取净价报价？4.I1.2007年1月8日，某投资者想锁定在2007年6月20日开始的3个月的利率，投资面值为500万美元。
因此，投资者买入了5个价格为94.79的欧洲美元合约。
问：该投资者锁定的利率水平是多少？4.12.交易者认为美国经济正在走强，同时中期国债收益率将会提高（5年期与10年期）。
该交易者以12025/32的价格卖出10份2014年3月的5年期美国中期国债期货合约。
交易者的观点正确无误。
经济数据继续表明美国经济正在逐步走强。
5年期国债收益率增加，2014年3月的5年期中期国债期货价格下跌。
交易者以12003/32的价格买回10份2014年3月的5年期中期国债期货合约，试计算交易者的损益情况。
4.13.美国当月首个周五公布的每月非农业就业人数大大逊于预期。
这表示经济走弱程度出乎人们意料。
结果使得国债收益率下降，美国国债期货价格上涨。
交易者注意到2014年3月10年期中期国债期货对该报告做出这样的反应：仅出现了从12505/32涨至12515/32的小幅反弹。
他认为数据走弱是一次重大意外，而越来越多的参与者不久将需要买入中期国债。
交易者以12515.5/32的价格买入10份2014年3月10年期中期国债期货合约。
交易者的观点正确无误。
中期国债收益率继续下降，10年期中期国债期货价格进一步上涨。
1小时之后交易者以12523/32的价格重新卖出10份2014年3月10年期中期国债期货合约。
二元期权标的品种中英文名称对照
二元期权标的品种中英文名称对照一、商品Commodities1 黄金Gold2 白银Silver3 铜 Copper4 原油Oil二、货币Currencies1 新西兰元/美元NZD/USD2 欧元/日元 EUR/JPY3 欧元/美元 EUR/USD4 欧元/英镑 EUR/GBP5 澳元/美元 AUD/USD6 美元/日元 USD/JPY7 美元/瑞郎 USD/CHF8 英镑/日元 GBP/JPY9 英镑/美元 GBP/USD三、美国指数US Indices1 标准普尔500指数S&P 5002 标准普尔指数期货S&P Future3 纳斯达克100指数期货Nasdaq 100 Fut4 纳斯达克指数Nasdaq5 芝加哥VIX指数Vix6 道琼斯工业指数Dow Jones四、欧洲指数EUROPE Indices1 俄罗斯RTS指数期货RTS FUTURE2 德国DAX指数DAX3 德国DAX指数期货DAX Future4 德国MDAX指数MDAX5 德国TECDA指数TECDAX6 意大利富士MIB指数FTSE MIB7 意大利富时全股指数FTSE IT All-Share8 法国CAC指数CAC 409 法国CAC指数期货Cac Future10 英国富士100指数FTSE 10011 葡萄牙PSI20指数PSI 2012 西班牙IBEX35指数IBEX35 (Spain)五、亚太指数ASIA PACIFIC Indices1 上证180指数SSE180 (Shanghai)2 东证股价500指数TOPIX500 (Tokyo)3 台湾加权指数TAIEX (Taiwan)4 孟买30指数Bombay 30[印度]5 悉尼SP/ASX200指数SP/ASX200 Sydney6 日经225指数Nikkei 2257 海峡时报指数Straits Times (SG)8 韩国KOSPI指数KOSPI (Seoul)9 香港恒生指数Hang Seng10 马来西亚KLSE指数期货KLSE Future六、美洲指数AMERICAS Indices1 墨西哥IPC指数IPC (Mexico)七、中东指数MIDDLE EAST Indices1 特拉维夫25指数Tel Aviv 252 迪拜指数Dubai八、美国股票US Stocks1 CHECK POINT软件技术有限公司Check Point2 facebook3 Goldcorp4 NOBLE能源公司Noble Energy5 Silver Wheaton公司Silver Wheaton6 Turkcell纽约Turkcell NYSE7 亚马逊Amazon8 埃克森美孚Exxon Mobil9 墨西哥America Movil10 微软Microsoft11 思科系统公司Cisco Systems12 拉斯维加斯金沙Las Vegas Sands13 摩根士丹利Morgan Stanley14 摩根大通JPMorgan Chase15 梯瓦制药工业有限公司Teva16 沃尔特迪斯尼Walt Disney17 美国国际集团(AIG) AIG18 美国银行Bank of America19 花旗集团Citigroup20 英特尔Intel21 苹果公司Apple22 谷歌Google23 辉瑞公司Pfizer24 高盛投资公司Goldman Sachs25 麦当劳McDonalds九、欧洲股票EUROPE Stocks1 俄罗斯天然气工业股份公司GAZPROM2 俄罗斯石油公司ROSNEFT3 俄罗斯联邦储蓄银行SBERBANK4 土耳其IS银行ISBANK5 土耳其Turkcell公司Turkcell6 士耳其Akbank银行Akbank Turk7 巴克莱银行Barclays[英]8 德国E.ON公司E.ON9 德国安联Allianz10 德意志银行Deutsche Bank11 忠利保险公司Generali[意大利]12 意大利电信公司Telecom Italia13 意大利联合信贷银行Unicredit14 意大利联合圣保罗银行Intesa Sanpaolo15 戴姆勒股份公司Daimler AG[德]16 桑坦德银行Banco Santander[西班牙]17 毕尔巴鄂比斯开银行BBVA BBVA[西班牙]18 沃达丰公司Vodafone[英]19 法国兴业银行Societe Generale20 法国电信公司France Telecom21 法国电力集团EDF22 英国特易购公司Tesco23 英国石油公司BP British Petroleum24 西班牙电讯Telefonica25 雷诺汽车Renault[法]十、亚太股票ASIA PACIFIC Stocks1 三菱公司Mitsubishi[日本]2 中国太平洋保险CPIC Group3 丰田汽车公司Toyota Motor4 兴业银行Industrial Bank5 塔塔汽车有限公司Tata Motors[印度]6 平安保险Ping An Insurance7 必和必拓有限公司BHP Billiton[澳大利亚]8 新浪SINA Corporation9 澳新银行ANZ Bank[澳门]10 百度Baidu。
2024年期货从业资格之期货基础知识精选试题及答案二
2024年期货从业资格之期货基础知识精选试题及答案二单选题（共40题）1、人民币NDF是指以（）汇率为计价标准的外汇远期合约。
A.美元B.欧元C.人民币D.日元【答案】 C2、棉花期货的多空双方进行期转现交易。
多头开仓价格为30210元/吨，空头开仓价格为30630元/吨，已知进行期转现交易，空头可节约交割成本140元/吨。
进行期转现交易对买卖双方都有利的情形是（）。
A.协议平仓价格为30550元/吨，交收价格为30400元/吨B.协议平仓价格为30300元/吨，交收价格为30400元/吨C.协议平仓价格为30480元/吨，交收价格为30400元/吨D.协议平仓价格为30210元/吨，交收价格为30220元/吨【答案】 C3、美国10年期国债期货合约报价为97～165时，表示该合约价值为( )美元。
A.971650B.97515.625C.970165D.102156.254、某新客户存入保证金10万元，8月1日开仓买入大豆期货合约40手（每手10吨），成交价为4100元/吨。
同天卖出平仓大豆合约20手，成交价为4140元/吨，当日结算价为4150元/吨，交易保证金比例为5%。
则该客户的持仓盈亏为（）元。
A.1000B.8000C.18000D.10000【答案】 D5、技术分析中，波浪理论是由()提出的。
A.菲波纳奇B.索罗斯C.艾略特D.道?琼斯【答案】 C6、某股票看涨期权(A)执行价格和权利金分别为61.95港元和4.53港元，该股票看跌期权(B)执行价格和权利金分别为67.5港元和6.48港元，此时该股票市场价格为63.95港元，则A、B的时间价值大小关系是（??）。
A.A大于B.A小于BC.A等于BD.条件不足，不能确定7、（）是期货业的自律性组织，发挥政府与期货业之间的桥梁和纽带作用，为会员服务，维护会员的合法权益。
A.中国期货市场监控中心B.期货交易所C.中国证监会D.中国期货业C. 中国证监会【答案】 D8、下列关于大户报告制度的说法正确的是（）。
eth的通缩规则
eth的通缩规则：
以太坊（Ethereum）采用了一些通缩规则来控制其代币供应和维持系统的稳定性。
以下是关于以太坊通缩规则的详细解释：1.区块奖励递减：以太坊的区块奖励随着时间的推移逐渐减少。
初始阶段，每个新区块的奖励是5个以太币，然后每
隔一定的区块高度（约131072个区块），奖励就会减半。
这种递减机制有助于减少以太币的供应量，从而控制通货膨胀率。
2.燃烧机制：以太坊引入了燃烧机制，即每当用户进行交易或执行智能合约时，都需要支付一定数量的以太币作为手续
费。
这些手续费并不会被矿工完全获得，而是会被销毁。
这意味着一部分以太币从流通中被永久移除，从而减少总供应量。
3.权益证明（PoS）：以太坊正在从工作量证明（PoW）转向权益证明（PoS）共识机制。
在PoS下，验证者必须抵
押一定数量的以太币以参与区块验证。
如果验证者试图进行欺诈行为，他们将面临被罚没抵押的以太币的风险。
这种机制减少了新的以太币进入流通，因为抵押的以太币被锁定在验证过程中。
2024年国际大宗商品买卖中英文协议范本一
20XX 专业合同封面COUNTRACT COVER甲方：XXX乙方：XXX2024年国际大宗商品买卖中英文协议范本一本合同目录一览第一条定义与术语1.1 合同1.2 双方1.3 商品1.4 价格1.5 数量1.6 交付1.7 支付1.8 违约1.9 争议解决第二条商品描述2.1 种类2.2 质量2.3 规格2.4 数量2.5 包装第三条价格与支付3.1 价格确定3.2 支付方式3.3 支付时间3.4 支付地点第四条数量与交付4.1 数量确定4.2 交付方式4.3 交付时间4.4 交付地点第五条违约责任5.1 双方违约5.2 违约赔偿5.3 违约解决第六条争议解决6.1 协商解决6.2 调解解决6.3 仲裁解决6.4 法律适用第七条合同的生效、变更与终止7.1 合同生效7.2 合同变更7.3 合同终止第八条保密条款8.1 保密义务8.2 保密期限8.3 例外情况第九条不可抗力9.1 不可抗力事件9.2 不可抗力后果9.3 不可抗力通知第十条法律适用与管辖10.1 法律适用10.2 管辖法院第十一条合同的附件11.1 附件列表11.2 附件内容第十二条双方的权利与义务12.1 双方权利12.2 双方义务第十三条合同的转让13.1 转让条件13.2 转让通知第十四条完整协议14.1 取代先前协议14.2 修改与补充结束第一部分：合同如下：第一条定义与术语1.1 合同：本合同是指由双方签订的，关于国际大宗商品买卖的协议，内容包括商品描述、价格与支付、数量与交付等。
1.2 双方：指本合同的买方和卖方，买方为购买商品的一方，卖方为出售商品的一方。
1.3 商品：指本合同中约定的大宗商品，包括商品的种类、质量、规格等。
1.4 价格：指本合同中约定的商品价格，包括单价和总价。
1.5 数量：指本合同中约定的商品数量。
1.6 交付：指本合同中约定的商品交付方式、时间和地点。
1.7 支付：指本合同中约定的买方支付商品价款的方式、时间和地点。
金融机构管理Chap010
Chapter TenMarket RiskChapter Outline IntroductionMarket Risk MeasurementCalculating Market Risk ExposureThe RiskMetrics Model∙The Market Risk of Fixed-Income Securities∙Foreign Exchange∙Equities∙Portfolio AggregationHistoric or Back Simulation∙The Historic (Back Simulation) Model versus RiskMetrics ∙The Monte Carlo Simulation ApproachRegulatory Models: The BIS Standardized Framework ∙Fixed Income∙Foreign Exchange∙EquitiesThe BIS Regulations and Large Bank Internal Models Summary115Solutions for End-of-Chapter Questions and Problems: Chapter Ten1. What is meant by market risk?Market risk is the uncertainty of the effects of changes in economy-wide systematic factors that affect earnings and stock prices of different firms in a similar manner. Some of these market-wide risk factors include volatility, liquidity, interest-rate and inflationary expectation changes.2. Why is the measurement of market risk important to the manager of a financial institution? Measurement of market risk can help an FI manager in the following ways:a. Provide information on the risk positions taken by individual traders.b. Establish limit positions on each trader based on the market risk of their portfolios.c. Help allocate resources to departments with lower market risks and appropriate returns.d. Evaluate performance based on risks undertaken by traders in determining optimalbonuses.e. Help develop more efficient internal models so as to avoid using standardizedregulatory models.3. What is meant by daily earnings at risk (DEAR)? What are the three measurablecomponents? What is the price volatility component?DEAR or Daily Earnings at Risk is defined as the estimated potential loss of a portfolio's value over a one-day unwind period as a result of adverse moves in market conditions, such as changes in interest rates, foreign exchange rates, and market volatility. DEAR is comprised of (a) the dollar value of the position, (b) the price sensitivity of the assets to changes in the risk factor, and (c) the adverse move in the yield. The product of the price sensitivity of the asset and the adverse move in the yield provides the price volatility component.4. Follow Bank has a $1 million position in a five-year, zero-coupon bond with a face valueof $1,402,552. The bond is trading at a yield to maturity of 7.00 percent. The historical mean change in daily yields is 0.0 percent, and the standard deviation is 12 basis points.a. What is the modified duration of the bond?MD = 5 ÷ (1.07) = 4.6729 yearsb. What is the maximum adverse daily yield move given that we desire no more than a 5percent chance that yield changes will be greater than this maximum?Potential adverse move in yield at 5 percent = 1.65 = 1.65 x 0.0012 = .001980c. What is the price volatility of this bond?Price volatility = -MD x potential adverse move in yield= -4.6729 x .00198 = -0.009252 or -0.9252 percent116d. What is the daily earnings at risk for this bond?DEAR = ($ value of position) x (price volatility)= $1,000,000 x 0.009252 = $9,2525. What is meant by value at risk (VAR)? How is VAR related to DEAR in J.P. Morgan’sRiskMetrics model? What would be the VAR for the bond in problem (4) for a 10-dayperiod? With what statistical assumption is our analysis taking liberties? Could thistreatment be critical?Value at Risk or VAR is the cumulative DEARs over a specified period of time and is given by the formula VAR = DEAR x [N]½. VAR is a more realistic measure if it requires a longer period to unwind a position, that is, if markets are less liquid. The value for VAR in problem four above is $9,252 x 3.1623 = $29,257.39.The relationship according to the above formula assumes that the yield changes are independent. This means that losses incurred on one day are not related to the losses incurred the next day. However, recent studies have indicated that this is not the case, but that shocks are autocorrelated in many markets over long periods of time.6. The DEAR for a bank is $8,500. What is the VAR for a 10-day period? A 20-day period?Why is the VAR for a 20-day period not twice as much as that for a 10-day period?For the 10-day period: VAR = 8,500 x [10]½ = 8,500 x 3.1623 = $26,879.36For the 20-day period: VAR = 8,500 x [20]½ = 8,500 x 4.4721 = $38,013.16The reason that VAR20≠ (2 x VAR10) is because [20]½≠ (2 x [10]½). The interpretation is that the daily effects of an adverse event become less as time moves farther away from the event. 7. The mean change in the daily yields of a 15-year, zero-coupon bond has been five basispoints (bp) over the past year with a standard deviation of 15 bp. Use these data andassume the yield changes are normally distributed.a. What is the highest yield change expected if a 90 percent confidence limit is required;that is, adverse moves will not occur more than one day in 20?If yield changes are normally distributed, 90 percent of the area of a normal distribution will be 1.65 standard deviations (1.65σ) from the mean for a one-tailed distribution. In this example, it means 1.65 x 15 = 24.75 bp. Thus, the maximum adverse yield changeexpected for this zero-coupon bond is an increase of 24.75 basis points in interest rates.b. What is the highest yield change expected if a 95 percent confidence limit is required?If a 95 percent confidence limit is required, then 95 percent of the area will be 1.96standard deviations (1.96σ) from the mean. Thus, the maximum adverse yield change117expected for this zero-coupon bond is an increase of 29.40 basis points (1.96 x 15) ininterest rates.8. In what sense is duration a measure of market risk?The market risk calculations typically are based on the trading portion of an FIs fixed-rate asset portfolio because these assets must reflect changes in value as market interest rates change. As such, duration or modified duration provides an easily measured and usable link between changes in the market interest rates and the market value of fixed-income assets.9. Bank Alpha has an inventory of AAA-rated, 15-year zero-coupon bonds with a face valueof $400 million. The bonds currently are yielding 9.5% in the over-the-counter market.a. What is the modified duration of these bonds?Modified duration = (MD) = D/(1 + r) = 15/(1.095) = -13.6986.b. What is the price volatility if the potential adverse move in yields is 25 basis points?Price volatility = (-MD) x (potential adverse move in yield)= (-13.6986) x (.0025) = -0.03425 or -3.425 percent.c. What is the DEAR?Daily earnings at risk (DEAR) = ($ Value of position) x (Price volatility)Dollar value of position = 400/(1 + 0.095)15 = $102.5293million. Therefore,DEAR = $102.5293499 million x -0.03425 = -$3.5116 million, or -$3,511,630.d. If the price volatility is based on a 90 percent confidence limit and a mean historicalchange in daily yields of 0.0 percent, what is the implied standard deviation of dailyyield changes?The potential adverse move in yields (PAMY) = confidence limit value x standarddeviation value. Therefore, 25 basis points = 1.65 x σ, and σ = .0025/1.65 = .001515 or15.15 basis points.10. Bank Two has a portfolio of bonds with a market value of $200 million. The bonds havean estimated price volatility of 0.95 percent. What are the DEAR and the 10-day VAR for these bonds?Daily earnings at risk (DEAR) = ($ Value of position) x (Price volatility)= $200 million x .0095= $1.9million, or $1,900,000Value at risk (VAR) = DEAR x √N = $1,900,000 x √10= $1,900,000 x 3.1623 = $6,008,327.5511811. Bank of Southern Vermont has determined that its inventory of 20 million euros (€) and 25million British pounds (£) is subject to market risk. The spot excha nge rates are $0.40/€ and $1.28/£, respectively. The σ’s of the spot exchange rates of the € and £, based on the daily changes of spot rates over the past six months, are 65 bp and 45 bp, respectively.Determine the bank’s 10-day VAR for both currencies. Use adverse rate changes in the 95th percentile.FX position of €= 20m x 0.40 = $8 millionFX position of £= 25m x 1.28 = $32 millionFX volatility €= 1.65 x 65bp = 107.25, or 1.0725%FX volatility £= 1.65 x 45bp = 74.25, or 0.7425%DEAR = ($ Value of position) x (Price volatility)DEAR of €= $8m x .010725 = $0.0860m, or $85,800DEAR of £= $32m x .007425 = $0.2376m, or $237,600VAR of € = $138,000 x √10 = $85,800 x 3.1623 = $271,323.42VAR of £= $237,600 x √10 = $237,600 x 3.1623 = $751,357.1712. Bank of Alaska’s stock portfolio has a market value of $10,000,000. The beta of theportfolio approximates the market portfolio, whose standard deviation (σm) has beenestimated at 1.5 percent. What is the 5-day VAR of this portfolio, using adverse ratechanges in the 99th percentile?DEAR = ($ Value of portfolio) x (2.33 x σm) = $10m x (2.33 x .015)= $10m x .03495 = $0.3495m or $349,500VAR = $349,500 x √5 = $349,500 x 2.2361 = $781,505.7613.Jeff Resnick, vice president of operations of Choice Bank, is estimating the aggregateDEAR of the bank’s portfolio of assets consisting of loans (L), foreign currencies (FX), and common stock (EQ). The individual DEARs are $300,700, $274,000, and $126,700 respectively. If the correlation coefficients ρij between L and FX, L and EQ, and FX and EQ are 0.3, 0.7, and 0.0, respectively, what is the DEAR of the aggregate portfolio?119120[]219,533$000,626,322,284$)700,126)($000,274)($0.0(2)700,126)($700,300)($7.0(2)000,274)($700,300)($3.0(2700,126$000,274$700,300$)2()2()2()()()(5.05.02225.0,,,222==⎥⎦⎤⎢⎣⎡+++++=⎥⎥⎥⎥⎥⎦⎤⎢⎢⎢⎢⎢⎣⎡+++++=EQ FX EQ FX EQ L EQ L FX L FX L EQ FX L DEAR x DEAR x DEAR x DEAR x DEAR x DEAR x DEAR DEAR DEAR portfolio DEAR ρρρ14. Calculate the DEAR for the following portfolio with and without the correlationcoefficients.EstimatedAssets DEAR ρS,FX ρS,B ρFX,BStocks (S) $300,000 -0.10 0.75 0.20Foreign Exchange (FX) $200,000Bonds (B) $250,000[]464,559$000,000,000,312$)000,250)($000,200)($20.0(2)000,250)($000,300)($75.0(2)000,200)($000,300)($1.0(2000,250$000,200$000,300$)2()2()2()()()(5.05.02225.0,,,222==⎥⎦⎤⎢⎣⎡++-+++=⎥⎥⎥⎥⎥⎦⎤⎢⎢⎢⎢⎢⎣⎡+++++=B FX B FX B S B S FX S FX S B FX S DEAR x DEAR x DEAR x DEAR x DEAR x DEAR x DEAR DEAR DEAR portfolio DEAR ρρρWhat is the amount of risk reduction resulting from the lack of perfect positive correlation between the various assets groups?The DEAR for a portfolio with perfect correlation would be $750,000. Therefore the riskreduction is $750,000 - $559,464 = $190,536.15. What are the advantages of using the back simulation approach to estimate market risk?Explain how this approach would be implemented.The advantages of the back simulation approach to estimating market risk are that (a) it is a simple process, (b) it does not require that asset returns be normally distributed, and (c) it doesnot require the calculation of correlations or standard deviations of returns. Implementation requires the calculation of the value of the current portfolio of assets based on the prices or yields that were in place on each of the preceding 500 days (or some large sample of days). These data are rank-ordered from worst case to best and percentile limits are determined. For example, the five percent worst case provides an estimate with 95 percent confidence that the value of the portfolio will not fall more than this amount.16. Export Bank has a trading position in Japanese Yen and Swiss Francs. At the close ofbusiness on February 4, the bank had ¥300,000,000 and Sf10,000,000. The exchange rates for the most recent six days are given below:Exchange Rates per U.S. Dollar at the Close of Business2/4 2/3 2/2 2/1 1/29 1/28Japanese Yen 112.13 112.84 112.14 115.05 116.35 116.32Swiss Francs 1.4140 1.4175 1.4133 1.4217 1.4157 1.4123a. What is the foreign exchange (FX) position in dollar equivalents using the FX rates onFebruary 4?Japanese Yen: ¥300,000,000/¥112.13 = $2,675,465.98Swiss Francs: Swf10,000,000/Swf1.414 = $7,072,135.78b. What is the definition of delta as it relates to the FX position?Delta measures the change in the dollar value of each FX position if the foreign currency depreciates by 1 percent against the dollar.c. What is the sensitivity of each FX position; that is, what is the value of delta for eachcurrency on February 4?Japanese Yen: 1.01 x current exchange rate = 1.01 x ¥112.13 = ¥113.2513/$Revalued position in $s = ¥300,000,000/113.2513 = $2,648,976.21Delta of $ position to Yen = $2,648,976.21 - $2,675,465.98= -$26,489.77Swiss Francs: 1.01 x current exchange rate = 1.01 x Swf1.414 = Swf1.42814Revalued position in $s = Swf10,000,000/1.42814 = $7,002,114.64Delta of $ position to Swf = $7,002,114.64 - $7,072,135.78= -$70,021.14d. What is the daily percentage change in exchange rates for each currency over the five-day period?Day Japanese Yen: Swiss Franc2/4 -0.62921% -0.24691% % Change = (Rate t/Rate t-1) - 1 * 100 2/3 0.62422% 0.29718%1212/2 -2.52934% -0.59084%2/1 -1.11732% 0.42382%1/29 0.02579% 0.24074%e. What is the total risk faced by the bank on each day? What is the worst-case day?What is the best-case day?Japanese Yen Swiss Francs Total Day Delta % Rate ∆Risk Delta % Rate ∆Risk Risk 2/4 -$26,489.77 -0.6292% $166.68 -$70,021.14 -0.2469% $172.88 $339.56 2/3 -$26,489.77 0.6242% -$165.35 -$70,021.14 0.2972% -$208.10 -$373.45 2/2 -$26,489.77 -2.5293% $670.01 -$70,021.14 -0.5908% $413.68 $1,083.69 2/1 -$26,489.77 -1.1173% $295.97 -$70,021.14 0.4238% -$296.75 -$0.78 1/29 -$26,489.77 0.0258% -$6.83 -$70,021.14 0.2407% -$168.54 -$175.37 The worst-case day is February 3, and the best-case day is February 2.f. Assume that you have data for the 500 trading days preceding February 4. Explain howyou would identify the worst-case scenario with a 95 percent degree of confidence?The appropriate procedure would be to repeat the process illustrated in part (e) above for all 500 days. The 500 days would be ranked on the basis of total risk from the worst-case to the best-case. The fifth percentile from the absolute worst-case situation would be day 25 in the ranking.g. Explain how the five percent value at risk (VAR) position would be interpreted forbusiness on February 5.Management would expect with a confidence level of 95 percent that the total risk onFebruary 5 would be no worse than the total risk value for the 25th worst day in theprevious 500 days. This value represents the VAR for the portfolio.h. How would the simulation change at the end of the day on February 5? What variablesand/or processes in the analysis may change? What variables and/or processes will notchange?The analysis can be upgraded at the end of the each day. The values for delta may change for each of the assets in the analysis. As such, the value for VAR may also change.17. What is the primary disadvantage to the back simulation approach in measuring market risk?What affect does the inclusion of more observation days have as a remedy for thisdisadvantage? What other remedies are possible to deal with the disadvantage?The primary disadvantage of the back simulation approach is the confidence level contained in the number of days over which the analysis is performed. Further, all observation days typically are given equal weight, a treatment that may not reflect accurately changes in markets. As a122result, the VAR number may be biased upward or downward depending on how markets are trending. Possible adjustments to the analysis would be to give more weight to more recent observations, or to use Monte Carlo simulation techniques.18. How is Monte Carlo simulation useful in addressing the disadvantages of back simulation?What is the primary statistical assumption underlying its use?Monte Carlo simulation can be used to generate additional observations that more closely capture the statistical characteristics of recent experience. The generating process is based on the historical variance-covariance matrix of FX changes. The values in this matrix are multiplied by random numbers that produce results that pattern closely the actual observations of recent historic experience.19. In the BIS Standardized Framework for regulating risk exposure for the fixed-incomeportfolios of banks, what do the terms specific risk and general market risk mean? Why does the capital charge for general market risk tend to underestimate the true interest rate or price risk exposure? What additional offsets, or disallowance factors, are included in the analysis?Specific risk is the risk unique to the issuing party for long-term bonds in the trading portfolio of a financial institution. Specific risk measures the decline in the liquidity or credit risk quality of the portfolio. General market risk measures reflect the product of duration and possible interest rate shocks to determine the sensitivity of the portfolio to market rate movements.The capital charge for market risk tends to underestimate interest rate risk because of (a) maturity timing differences in offsetting securities in the same time band, and (b) basis point risk for different risk assets that may not be affected in a similar manner by interest rate changes. Thus the capital charges may be adjusted for basis risk. These adjustments also reflect the use of excess positions in one time zone to partially offset positions in another time band.20. An FI has the following bonds in its portfolio: long 1-year U.S. Treasury bills, short 3-yearTreasury bonds, long 3-year AAA-rated corporate bonds, and long 12-year B-rated(nonqualifying) bonds worth $40, $10, $25, and $10 million, respectively (market values).Using Table 10-5, determine the following:a. Charges for specific risk = $1.20 million (See below.)AAA = Qualifying bonds; B = Nonqualifying bondsTime Specific Risk General Market Riskband Issue Position Weight% Charge Weight% Charge1 year Treasury bill $40m 0.00 0.00 1.25 0.50003-year Treasury bond ($10m) 0.00 0.00 2.25 (0.2250) 3-year AAA - rated $25m 1.60 0.40 2.25 0.5625 12-year BB - rated $10m 8.0 0.80 4.50 0.45001.20 1.2875123b. Charges for general market risk.General market risk charges = $1.2875 million (From table above.)c. Charges for basis risk: vertical offsets within same time-bands only (i.e., ignoringhorizon effects).Time-band Longs Shorts Residuals Offset Disallowance Charge 3-year $0.5625m ($0.225m) ($0.3375m) $0.2250m 10% $0.0225md. What is the total capital charge, using the information from parts (a) through (c)?Total capital charges = $1.20m + $1.2875 + $0.0225m = $2.51 million21. Explain how the capital charge for foreign exchange risk is calculated in the BISStandardized model. If an FI has an $80 million long position in Euros, a $40 million short position in British pounds, and a $20 million long position in Swiss francs, what would be the capital charge required against FX market risk?Total long position = $80 m of Euros + $20 m of Swiss franks = $100 millionTotal short position = $40 million British poundsHigher of long or short position = $100 millionCapital charge = 0.08 x $100 = $8 million22. Explain the BIS capital charge calculation for unsystematic and systematic risk for an FIthat holds various amounts of equities in its portfolio. What would be the total capitalcharge required for an FI that holds the following portfolio of stocks? What criticisms can be levied against this treatment of measuring the risk in the equity portfolio?Company Long ShortTexaco $45 million $25 millionMicrosoft $55 million $12 millionRobeco $20 millionCifra $15 millionThe capital charge against common shares consists of two parts: those for unsystematic risk (x-factor) and those for systematic risk (y-factor). Unsystematic risk is unique to the firm in the capital asset pricing model sense. The risk charge is found by multiplying a four percent risk charge times the total (not net) of the long and short positions.Charges against unsystematic risk or firm-specific risk:Gross position in all stocks = $45 + $55 + $20 + $25 + $12 + $15 = $172 millionCapital charges = 4 percent x $172m = $6.88m, or $6,880,000124Systematic risk refers to market risk. The capital charge is found by multiplying the net long or short position by eight percent.Charges against systematic risk or market risk:Net Positions Texaco $20mMicrosoft $43mRobeco $20mCifra $15mTotal $98mCapital charges = 8 percent x $98m = $7.84m, or $7,840,000Total capital charges = $6.88m + $7.84m = $14.72m, or $14,720,000This approach assumes that each stock has the same amount of systematic risk, and that no benefits of diversification exist.23. What conditions were introduced by BIS in 1998 to allow large banks to use internallygenerated models for the measurement of market risk? What types of capital can be held to meet the capital charge requirements?Large banks are allowed to utilize internally generated models to measure market risk after receiving approval from the regulators. The models must consider a 99 percent confidence level, the minimum holding period for VAR estimates is 10 days, and the average estimated VAR will be multiplied by a minimum factor of 3. Further, the minimum capital charge must be the higher of the previous day’s VAR or the average V AR over the previous 60 days. Thus calculation of the capital charge is more conservative.However, FIs are allowed to hold three types of capital to meet this more conservative requirement. First, Tier I capital includes common equity and retained earnings, Tier II capital includes long-term subordinated debt with a maturity of over five years, and Tier III capital includes short-term subordinated debt with a maturity of at least two years.24. Dark Star Bank has estimated its average VAR for the previous 60 days to be $35.5 million.DEAR for the previous day was $30.2 million.a. Under the latest BIS standards, what is the amount of capital required to be held formarket risk?Under the latest BIS standards, the proposed capital charge is the higher of:Previous day’s VAR = DEAR x √10 = 30.2 x √10 = $95.5008mAverage VAR x 3 = 35.5 x 3 = $106.5millionCapital charge = Higher of 1 and 2 = $106.5million125b. Dark Star has $15 million of Tier 1 capital, $37.5 million of Tier 2 capital, and $55million of Tier 3 capital. Is this amount of capital sufficient? In not, what minimum amount of new capital should be raised? Of what type?Total capital needed = 106.5Tier 1 + Tier 2 + Tier 3 = $15m + $37.5 + $54m = $106.5mHowever, the capital is not sufficient because Tier 3 capital cannot exceed 250% of Tier 1 capital. Thus, Tier 1 capital (X) needs to be:X + 2.5X = $106.5m - $37.5 = $69m X = 69/3.5 = $19.7143mIf Tier 1 capital is increased by 19.7143 - 15 = $4.7143m, then the capital charge will be met, for example, $19.7143 + $37.5 + $49.2857 = $106.5m.126。
FIN10109-5 OFF-BALANCE SHEET RISK (HH)
Example
• The FI pre-commits to lend a maximum of £10 million at a fixed rate over the year • The cost of funds rise over the commitment period. • The FI stands to lose on its portfolio of fixed-rate loan commitments as borrowers exercise to the full amount their very valuable options to borrow at below-market rates.
order to guard against future take-downs on loan commitments.
Large borrowers, such as Ford and IBM, take out multiple commitment or credit lines with many FIs as insurance against future
Recommended Reading • Saunders and Cornett (2014) Ch. 13
Basics of OBS Risk
What is OBS Risk?
Off-Balance-Sheet (OBS) Risk
Risk incurred by a bank in dealing with nontraditional banking activities such as financial
Commercial Letters of Credit and Standby Letters of Credit
期权、期货课后题答案
第1章引言1．3远期合约多头与远期合约空头的区别是什么？答：持有远期合约多头的交易者同意在未来某一确定的时间以某一确定的价格购买一定数量的标的资产；而持有远期合约空头的交易者则同意在未来某一确定的时间以某一确定的价格出售一定数量的标的资产。
1.6某交易员进入期货价格每磅50美分的棉花远期合约空头方。
合约的规模是50000磅棉花。
当合约结束时棉花的价格分别为（a）每磅48.20美分，（b）每磅51.30美分，对应以上价格交易员的盈亏为多少？答：（a）此时交易员将价值48.20美分/磅的棉花以50美分/磅的价格出售，收益=（0.50 00-0.482）×50000=900（美元）。
（b）此时交易员将价值51.30美分/磅的棉花以50美分/磅的价格出售，损失=（0.513 -0.500）×50000=650（美元）。
1.9你认为某股票价格将要上升，股票的当前价格为29美元，而3个月期限，执行价格为30美元的看涨期权价格为2.90美元，你总共有5800美元的资金。
说明两种投资方式：一种是利用股票，另一种是利用期权。
每种方式的潜在盈亏是什么？答：在目前的资金规模条件下，一种方式为买入200只股票，另一种方式是买入2000个期权（即20份合约）。
如果股票价格走势良好，第二种方式将带来更多收益。
例如，如果股票价格上升到40美元，将从第二种方式获得2000×（40-30）-5800=14200（美元），而从第一种方式中仅能获得200×（40-29）=2200（美元）。
然而，当股票价格下跌时，第二种方式将导致更大的损失。
例如，如果股票价格下跌至25美元，第一种方式的损失为200×（29-25）=800（美元），而第二种方式的损失为全部5800美元的投资。
这个例子说明了期权交易的杠杆作用。
1.12解释为什么期货合约既可以用于投机也可以用于对冲。
答：如果一个交易员对一资产的价格变动有风险敞口，他可以用一个期货合约来进行对冲。
布莱克-舒尔斯期权定价模型
布莱克-舒尔斯期权定价模型布莱克-舒尔斯期权定价模型是一种用于计算欧式期权的理论定价模型。
该模型于1973年由费舍尔·布莱克和麦伦·舒尔斯提出，并且在同年被罗伯特·默顿-米勒进一步完善和发展。
布莱克-舒尔斯期权定价模型的基本原理是通过建立股票和债券的投资组合，获得一个无风险的合成证券，该合成证券与欧式期权具有相同的收益率。
该模型的关键假设包括资产价格满足几何布朗运动、市场无摩擦、无交易成本和无道德风险等。
根据这些假设，布莱克-舒尔斯期权定价模型的基本公式可以表示为：C = S*N(d1) - X*e^(-rt)*N(d2)，其中C表示期权的价格，S是标的资产（如股票）的当前价格，X是期权的行权价格，r是无风险利率，t是期权的剩余期限，e是自然常数（约等于2.71828），N(d1)和N(d2)分别表示标准正态分布的累积分布函数。
在该公式中，d1=(ln(S/X) + (r+σ^2/2)t) / (σ*√t)，d2=d1-σ*√t。
其中σ是标的资产的波动率，它衡量标的资产的波动程度。
布莱克-舒尔斯期权定价模型的优点是可以较为准确地计算欧式期权的理论定价，并且可以用于不同类型的期权，如看涨期权、看跌期权等。
它在金融市场中得到了广泛的应用，并为投资者和金融机构提供了重要的参考依据。
然而，布莱克-舒尔斯期权定价模型也存在一些限制。
首先，该模型基于一系列假设，不一定适用于所有市场和资产。
其次，该模型仅适用于欧式期权，而不适用于美式期权等其他类型的期权。
最后，该模型假设市场无摩擦和无道德风险，这在实际市场中并不总是成立。
综上所述，布莱克-舒尔斯期权定价模型为计算欧式期权的理论价格提供了一个重要的工具，但在实际应用中需要对假设进行谨慎评估，并结合其他方法进行综合分析和决策。
布莱克-舒尔斯期权定价模型是金融领域中非常重要且广泛应用的一种定价模型。
它的提出对于金融市场的发展和期权的交易产生了巨大的影响。
2024版电子支付安全增强合同SET解析一
20XX 专业合同封面COUNTRACT COVER甲方：XXX乙方：XXX2024版电子支付安全增强合同SET解析一本合同目录一览1. 定义与术语解释1.1 合同各方1.2 电子支付1.3 安全增强1.4 SET解析2. 合同标的2.1 电子支付系统2.2 安全技术服务2.3 技术支持与维护3. 合同的履行3.1 甲方义务3.2 乙方义务3.3 履行期限4. 技术参数与要求4.1 安全性能指标4.2 系统兼容性4.3 用户界面与操作体验5. 费用与支付方式5.1 合同价格5.2 支付条件5.3 支付方式6. 保密条款6.1 保密信息6.2 保密期限6.3 信息共享例外7. 违约责任7.1 甲方违约7.2 乙方违约7.3 违约赔偿8. 争议解决8.1 协商解决8.2 调解解决8.3 法律途径9. 合同的生效、变更与终止9.1 合同生效条件9.2 合同变更9.3 合同终止10. 一般条款10.1 适用法律10.2 合同的解释10.3 合同的附件11. 甲方（购买方）声明11.1 合法身份11.2 授权代表11.3 符合法律法规12. 乙方（服务方）声明12.1 合法身份12.2 授权代表12.3 符合法律法规13. 附件13.1 技术规格说明书13.2 安全性能检测报告13.3 用户手册14. 签署页14.1 甲方签署页14.2 乙方签署页第一部分：合同如下：1. 定义与术语解释1.1 合同各方1.2 电子支付电子支付是指通过电子终端发出支付指令，实现货币支付与资金转移的行为。
1.3 安全增强安全增强是指通过采用各种安全技术和措施，提高电子支付系统的安全性，防止支付过程中出现安全风险。
1.4 SET解析SET解析是指对电子支付过程中的安全问题进行分析和解决，确保支付过程的安全可靠。
2. 合同标的2.1 电子支付系统本合同标的为乙方提供的电子支付系统，该系统应具备安全性能高、系统兼容性强、用户界面友好等特点。
外汇期权交易原理与应用考核试卷
A.对冲
B.期权组合
C.停损单
D.限价单
17.以下哪些因素会影响期权的Gamma值？()
A.标的资产价格
B.行权价格
C.期权到期时间
D.标的资产的波动率
18.以下哪些策略适用于市场波动性较低的环境？()
A.买入看涨期权
B.卖出看涨期权
C.买入看跌期权
10.买入跨式期权策略适用于市场波动性低的环境。（×）
五、主观题（本题共4小题，每题5分，共20分）
1.请简述外汇期权交易中“看涨期权”和“看跌期权”的基本概念，并举例说明它们在实际交易中的应用。
2.描述外汇期权交易中的“Delta中性”策略，并解释为什么交易者会使用这种策略来管理风险。
3.请阐述外汇期权交易中“时间价值”的重要性，并讨论时间价值随期权到期日的临近如何变化。
5.美式
6.二阶
7.内在
8.防守
9.内在
10.卖出
四、判断题
1. ×
2. ×
3. ×
4. √
5. √
6. √
7. √
8. ×
9. √
10. ×
五、主观题（参考）
1.看涨期权是购买者预期标的资产价格将上涨时购买的期权，看跌期权则相反。应用：投资者看好某货币对的长期走势，购买看涨期权作为保险，若市场下跌，损失有限；反之，购买看跌期权作为对冲。
B.在到期日之前任何时间都可以行使的期权
C.只有在特定时间才能行使的期权
D.无法行使的期权
7.外汇期权交易中，期权的时间价值是指什么？()
A.期权的内在价值
B.期权的时间剩余价值
C.期权价格与其内在价值之差
2024年期货从业资格之期货投资分析通关题库(附带答案)
2024年期货从业资格之期货投资分析通关题库(附带答案)单选题（共40题）1、根据法玛(Fama)的有效市场假说，正确的认识是( )。
A.弱式有效市场中的信息是指市场信息，技术分析失效B.强式有效市场中的信息是指市场信息，基本而分析失效C.强式有效市场中的信息是指公共信息，技术分析失效D.弱式有效市场中的信息是指公共信息，摹本而分析失效【答案】 A2、某保险公司打算买入面值为1亿元的国债，但当天未买到，希望明天买入。
保险公司希望通过国债期货规避隔夜风险。
已知现券久期为4.47，国债期货久期为5.30，现券价格为102.2575，国债期货市场净价为83.4999，国债期货合约面值为100万元，则应该____国债期货合约____份。
（）A.买入；104B.卖出；1C.买入；1D.卖出；104【答案】 A3、美国的GDP数据由美国商务部经济分析局（BEA）发布，一般在（）月末还要进行年度修正，以反映更完备的信息。
A.1B.4C.7D.10【答案】 C4、5月份，某投资经理判断未来股票市场将进入震荡整理行情，但对前期表现较弱势的消费类股票看好。
5月20日该投资经理建仓买入消费类和零售类股票2亿元，β值为0.98，同时在沪深300指数期货6月份合约上建立空头头寸，卖出价位为4632.8点，β值为1。
据此回答以下两题。
A.1660B.2178.32C.1764.06D.1555.94【答案】 C5、关于信用违约互换（CDS），正确的表述是（）。
A.CDS期限必须小于债券剩余期限B.信用风险发生时，持有CDS的投资人将亏损C.CDS价格与利率风险正相关D.信用利差越高，CDS价格越高【答案】 D6、在BSM期权定价中，若其他因素不变，标的资产的波动率与期权的价格关系呈（）。
A.正相关关系B.负相关关系C.无相关关系D.不一定【答案】 A7、3月16日，某企业采购的巴西大豆估算的到岸完税价为3140元/吨，这批豆子将在5月前后到港。
2024年期货从业资格之期货基础知识基础试题库和答案要点
2024年期货从业资格之期货基础知识基础试题库和答案要点单选题（共40题）1、某美国投资者发现欧元的利率高于美元利率，于是他决定购买50万欧元以获高息，计划投资3个月，但又担心在这期间欧元对美元贬值。
为避免欧元汇价贬值的风险，该投资者利用芝加哥商业交易所外汇期货市场进行套期保值，每手欧元期货合约为12.5万欧元。
则其操作为（）。
A.买入1手欧元期货合约B.卖出1手欧元期货合约C.买入4手欧元期货合约D.卖出4手欧元期货合约【答案】 D2、同时买进(卖出)或卖出(买进)两个不同标的物期货合约的指令是（）。
A.套利市价指令B.套利限价指令C.跨期套利指令D.跨品种套利指令【答案】 D3、（）是指某一期货合约当日交易的最后一笔成交价格。
A.收盘价B.最新价C.结算价D.最低价【答案】 A4、关于股指期货套利行为描述错误的是（）。
A.不承担价格变动风险B.提高了股指期货交易的活跃程度C.有利于股指期货价格的合理化D.增加股指期货交易的流动性【答案】 A5、下列不属于反转形态的是()。
A.双重底B.双重顶C.头肩形D.三角形【答案】 D6、李某账户资金为8万元，开仓买入10手7月份焦煤期货合约，成交价为1204元/吨。
若当日7月份焦煤期货合约的结算价为1200元/吨，收盘价为1201元/吨，期货公司要求的最低交易保证金比率为10％，则在逐日盯市结算方式下（焦煤每手60吨），该客户的风险度该客户的风险度情况是（）。
A.风险度大于90％，不会收到追加保证金的通知B.风险度大于90％，会收到追加保证金的通知C.风险度小于90％，不会收到追加保证金的通知D.风险度大于100％，会收到追加保证金的通知【答案】 A7、期货交易在一个交易日中报价时，超过期货交易所规定的涨跌幅度的报价（）。
A.无效，但可申请转移至下一交易日B.有效，但须自动转移至下一交易日C.无效，不能成交D.有效，但交易价格应调整至涨跌幅以内【答案】 C8、下列金融衍生品中，通常在交易所场内交易的是（）。
金融词典-中英对照词典
存款证 参见Credit Default Swap栏目 世达国际结算系统(即欧洲货币市场结算系统) 上限 上下限协议 中央结算及交收系统 行政总栽；行政总监；首席执行官 存款证 公司授权/委任书 财务总监；首席财务官 韩国财阀；韩国大企业 迁册(公司更改注册地址) 芝加哥交易所 芝加哥期权交易所 芝加哥商品交易所 中国银行业 中国资本市场；中国资金市场 (中国) 国家开发银行 中国国际金融有限公司；中金公司 中国民营化；中国私有化；中国私营化 中国重组；中国改组 中国证监会 中国股票市场；中国股市 中国墙 指投资银行部与销售部或交易人员之间的隔离，以防范敏感消息外泄，从而构成内幕交易 索偿 回拨/增加本地公开发行份额通知 洁净价 [债市] 指债券包含应计利息的现值 封闭式基金 副主承销；联席主承销 利率上下限 副承销商 安慰函；告慰信(由会计师发出) 商业贷款 商业票据 佣金回扣 商品交易所有限公司 (纽约) 公司融资公司财务 复合现金流 呈报前机密性审核 机密呈交 保密协议
Accredit value ACE ADB ADR
AGM Agreement All-or-none order Allocation Allotment Alpha (Market Alpha) Alternative investment American Commodities Exchange American Depository Receipt American Depository Share Amercian Stock Exchange American style option Amex Amortization Amsterdam Stock Exchange Annual General Meeting Annualized Antitrust APEC Arbitrage Arbitration Arm's length transaction Articles of Association At-the-money option ASEAN Asian dollar bonds Asset Allocation Asset Management Asset swap Assignment method ASX Auckland Stock Exchange Auction market Authorized capital Authorized fund Authorized representative Australian Options Market Australian Stock Exchange
2022年期货从业考试《期货投资分析》押题练习试题C卷 附解析
2022年期货从业考试《期货投资分析》押题练习试题C卷附解析考试须知：1、考试时间：120分钟，本卷满分为100分。
2、请首先按要求在试卷的指定位置填写您的姓名、准考证号等信息。
3、请仔细阅读各种题目的回答要求，在密封线内答题，否则不予评分。
姓名：______考号：______一、单选题（本大题共80小题，每题0.5分，共40分）1、当前股票价格为40元，3个月后股价可能上涨或下跌10%，无风险年利率为8%（按单利计）则期限为3个月、执行价格为42元的该股票欧式看涨期权的价格约为（）元。
A、1.18B、1.67C、1.81D、1.192、已知某商品的需求弹性等于1.5，其供给弹性等于0.8，则蛛网的形状是（）的。
A、收敛型B、发散型C、封闭型D、圆圈型3、当看涨期权的执行价格高于当时的标的物价格时，该期权为（）A、实疽期权B、虚值期权C、平值期权D、市场期权4、国际收支出现大量顺差时会导致下列（）经济现象。
A、本币汇率上浮，出口增加B、本币汇率上浮，出口减少C、本币汇率下浮，出口增加D、本币汇率下浮，出口减少5、对于商品期货来说，期货交易所在制定合约标的物的质量等级时，常常采用（）为标准交割等级。
A、国内贸易中交易量较大的标准品的质量等级B、国际贸易中交易量较大的标准品的质量等级C、国内或国际贸易中交易量较大的标准品的质量等级D、国内或国际贸易中最通用和交易量较大的标准品的质量等级6、宋体期货合约标准化是指除（）外的所有条款都是预先由期货交易所统一规定好的，这给期货交易带来很大使利。
A、数量B、规格C、交割时间D、价格7、宋体关于程序化交易，以下说法正确的是（）A、程序化交易也称为自动化交易，是指通过计算程序辅助完成交易的一种交易方式B、与策略本身的开发和优劣相关C、只可以执行频度很高的交易D、主要强调策略开发和执行的方法8、从变量之间相关的表现形式看，可以分为（）A、正相关和负相关B、线性相关和非线性相关C、单相关和复相关D、完全相关和无相关9、宋体一国居民和非居民之间投资与借贷所引起的利润、利息、股息的收入与支出记录在国际收支平衡表的（）A、经常账户B、资本账户C、金融账户D、净误差和遗漏10、取得期货交易所会员资格，应当经（）批准。
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3. Yield Value of a Price Change
The change in the yield for a specified price change The smaller this value, the greater the dollar price volatility What is the Yield Value of a Price Change for a 3-year Treasury note 10-year Treasury note 30-year Treasury bond
1.2 Characteristics of a Bond Affecting Price Volatility
Price volatility is inversely related to a bond’s coupon rate. As maturity increases, price volatility increases, but at a decreasing rate. Price volatility is inversely related to the yield to maturity at which the bond is selling.
3.76 4.35 5.00 6.34
A. B. C. D.
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Answer to Example 4-1
C The duration of a zero coupon bond is always equal to its term to maturity.
4.3 Modified Duration
D* = modified duration D* = D / (1+y) where y = YTM/m m = coupon frequency Approximate percentage change in bond price = - modified duration x Dy
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4. Duration
4.1 Definition – three different ways to describe duration: Mathematical – the first derivative of the bond’s price function with respect to yield Computational – present value-weighted average number of years to maturity Conceptual – a measure of a bond’s or portfolio’s price sensitivity to changes in interest rates (i.e. a measure of interest rate risk) Long duration – price sensitivity is high Short duration – price sensitivity is low
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2.2 Calculating PVBP
At 5.99%, the price of the bond (per $1000 of par value) : 30 30 30 30 P 5.99 1 5.99 2 5.99 3 5.99 4 (1 ) (1 ) (1 ) (1 ) 200 200 200 200 30 30 1000 5.99 5 5.99 6 5.99 6 (1 ) (1 ) (1 ) 200 200 200 P 29.128 28.121 27.458 26.660 25.885 25.132 837.728 P 1,000.271 PVBP 0.271 (per $1000 oe of Duration (cont’d)
What is the modified duration? D* = D / (1+y) Modified Duration = 2.79/(1.03) = 2.71
Approximate dollar change in price, given a yield shift of 1 basis points: = modified duration x current bond price x change in yield /100) = (2.71 x 1,000,000 x 0.01)/100 = $271
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4.5 Factors Affecting Duration
1. Coupon Size : coupon size , duration (shorter) DUR of 6 % coupon bond DUR of 5% coupon bond 2. Coupon Frequency : coupon frequency , duration (shorter) DUR of semi - annual bond DUR of annual bond 3. Term to Maturity : DUR of three year bond DUR of four year bond 4. Discou nt Rate/YT M : The larger the discount rate the smaller th e discount factor early coupon payments become more significan t shorter duration Discount rate/YTM , Duration
Chapter 4 - Bond Price Volatility
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1.1 Price Volatility Characteristics of Option-Free Bonds
Although the prices of all option-free bonds move in the opposite direction from the change in yield required, the percentage price change is not the same for all bonds. For very small changes in the yield required, the percentage price change for a given bond is roughly the same, whether the yield required increases or decreases. For a given large change in the required yield, the percentage price increase is greater than the percentage price decrease Effect of the convex shape of the price-yield relationship 2
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Exhibit 4-12 Line Tangent to the Price-Yield Relationship
Price Actual Price
p*
Tangent Line at y* (estimated price)
y*
Yield 8
4.2 Formula for Duration
Duration The Macaulay duration is one measure of the approximate change in price for a small change in yield:
1C Macaulay duration
1 y
+ 1
2C
1 y
2
+ . . .+ P
nC
1 y
n
+
nM
1 y
n
where P = price of the bond C = semiannual coupon interest (in dollars) y = one-half the yield to maturity or required yield n = number of periods M = maturity value (in dollars) 9
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4.6 Portfolio Duration
Portfolio duration – the weighted average duration of the bonds in the portfolio Suppose two bonds have modified durations of 4.0 and 5.0 respectively, what is the duration of an equally-weighted portfolio? 4.0*0.5 + 5.0*0.5 = 4.5 It assumes that all the yields affecting the two bonds in the portfolio change by 100 basis points.
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4.4 Example of Duration
What is the duration of a three-year semi-annual bond that has a coupon of 6 percent and YTM of 6%? D = [(0.5)(29,126.21) + (1.0)(28,227.88) + (1.5)(27,454.25) + (2.0)(26,654.61) + (2.5)(25,878.26) + (3.0)(862,608.780)] /1,000,000 D = 2.79 Note that the duration is shorter than the maturity of the bond due to the coupon payments in between the three year period. 11