货币银行学期货期权互换题库
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Chapter 11
Options, Caps, Floors, and More Complex Swaps
1. A call option:
a.obligates the buyer to purchase an asset at the strike price for a specified period of time.
b.gives the buyer the right to purchase an asset at the strike price for a specified period of
time.
c.obligates the buyer to sell an asset at the strike price for a specified period of time.
d.gives the buyer the right to sell an asset at the strike price for a specified period of tim
e.
e.gives the seller the right to purchase an asset at the strike price for a specified period of
time.
Answer: b
2. A put option:
a.obligates the buyer to purchase an asset at the strike price for a specified period of time.
b.gives the buyer the right to purchase an asset at the strike price for a specified period of
time.
c.obligates the buyer to sell an asset at the strike price on for a specified period of time.
d.gives the buyer the right to sell an asset at the strike price for a specified period of tim
e.
e.gives the seller the right to purchase an asset at the strike price for a specified period of
time.
Answer: d
3.An August Eurodollar call option with a strike price of 9
4.75 is currently selling for .4
5.
The current cash price on a Eurodollar contract is 94.87. The call option is said to be:
a.in-the-money.
b.at-the-money.
c.out-of-the-money.
d.behind-the-money.
e.beyond-the-money.
Answer: a
4. A July Eurodollar put option with a strike price of 94.25 is currently selling for .1
5. The
current cash price on a Eurodollar contract is 94.87. The put option is said to be:
a.in-the-money.
b.at-the-money.
c.out-of-the-money.
d.behind-the-money.
e.beyond-the-money.
Answer: c
5.Selling a put on a futures contract would be a hedge that would best resolve the problem
of a bank:
a.with a short-term negative cumulative GAP.
b.with a positive duration gap.
c.forecasting dropping securities prices.
d.with a negative duration gap.
e. a bank with a long-term negative cumulative GAP.
Answer: d
6.The intrinsic value of a call option is:
a.greater of zero or the cash price minus the strike price.
b.lesser of zero or the cash price minus the strike price.
c.greater of zero or the strike price minus the cash price.
d.lesser of zero or the strike price minus the cash pric
e.
e.the value of the underlying index.
Answer: a
7.The intrinsic value of a put option is:
a.greater of zero or the cash price minus the strike price.
b.lesser of zero or the cash price minus the strike price.
c.greater of zero or the strike price minus the cash price.
d.lesser of zero or the strike price minus the cash pric
e.
e.the value of the underlying index.
Answer: c
8. A reverse collar consists of:
a.buying an interest rate floor and an interest rate cap.
b.buying an interest rate floor and selling an interest rate cap.
c.selling an interest rate floor and buying an interest rate cap.
d.buying a call option and selling a futures contract.
e.selling a put option and buying a futures contract.
Answer: b
9.An interest rate floor:
a.is the equivalent of purchasing a put option on the interest rate.
b.is the equivalent of purchasing a call option on the interest rate.
c.is the equivalent of selling a futures contract on the interest rate.
d.limits the buyers interest rate exposure to a maximum rat
e.
e. b. and d.
Answer: a
10.How can the buyer of a put option get out of the position?
a.Let the contract expire.
b.Exercise the contract.
c.Buy a call option.
d.All of the abov
e.
e. a. and b. only
Answer: e
11.Which of the following is not true regarding options?