课程名称︰国际金融市场 课程性质︰选修 课程教师︰刘忆如 开课学院：管理学院 开课系所︰财金系 考试日期（年月日）︰08.04.15 考试时限（分钟）：120分钟 是否需发放奖励金：是 （如未明确表示，则不予发放） 试题 : ( ) 1、International portfolio investments have boomed in recent years, as a result of a)A depreciating U.S. doller b)Increased gasoline and other commodity prices. c)The general relaxation of capital controls and regulation in many countries. d)None of the above ( ) 2、 If for a particular county an increase in the interest rate is more or less matched by an expected depreciation in the local currency a)Traders will probably be tempted to find another country to invest b)The interest rate increase per se will not be enough to spark capital flow into the country. c)Both a) and b) are true d)Capital will glow out of the country as the disgruntled citizens riot and go to war with the neighbors. ( ) 3、The capital account measures a)The sum of U.S. sales of assets to foreigners and U.S. purchases of foreign assets b)The difference between U.S. sales of assets to foreigners and U.S. purchases of foreign assets. c)The difference between U.S. sales of manufactured goods to foreigners and U.S. purchases of foreign products. d)None of the above ( ) 4、The Bid price a)Is the price that the dealer has paid for something, his historical cost b)Is the price that a dealer stands ready to pay c)Refers only to auctions like eBay, not over the counter transactions dealers d)Is the price that a dealer stands ready to sell at ( ) 5、 Suppose the spot ask exchange rate, Sa($|￡), is $1.90 = ￡1.00 and the spot bid exchange rate, Sb($|￡), is $1.89 = ￡1.00. If you were to buy $10,000,000 worth of British pounds and then sell them five minutes later. how much oe your $10,000,000 would be "eaten" by the bid-ask spread? a)$1,000,000 b)$52,910.05 c)$100,000 d)$52,631.58 ( ) 6、 If the $/￡ bid and ask prices are $1.50 and $1.51, respectively, the corresponding ￡/$ bid and ask prices are: a)￡0.6667 and ￡0.6623 b)$1.51 and $1.50 c)￡0.6623 and ￡0.6667 d)cannot be determined wuth thr information given ( ) 7、In conversation, Interbank FX trades use a shorthand abbreviation in expressong spot currency quotations. Consider a $/￡ bid-ask quote of $1.9072-$1.9077. The "big figure", assumed to be known to all traders is: a)$1.9077 b)1 c)1.90 d)77 ( ) 8、A dealer in British pounds who thinks that the pound is about to appreciate a)May want to widen his bid-ask spread by raising his ask price b)May want to lower his bid price c)May want to lower his ask price d)None of the above Cross-Exchange Rate Quotations Country U.S. $ equiv. Currency per U.S. $ Thuesday Monday Tuesday Monday Britain (Pound) ￡62,500 1.6000 1.6100 0.625 0.6211 1 Month Forward 1.6100 1.6300 0.6211 0.6173 3 Months Forward 1.6300 1.6600 0.6173 0.6024 6 Months Forward 1.6600 1.7200 0.6024 0.5814 12 Months Foraard 1.7200 1.8000 0.5814 0.5556 Euro €62,500 1.2000 1.2000 0.833333 0.833333 1 Month Forward 1.2100 1.2100 0.82645 0.82645 3 Months Forward 1.2300 1.2300 0.813008 0.813008 6 Months Forward 1.2600 1.2600 0.793651 0.793651 12 Months Forward 1.2900 1.3200 0.775194 0.7575758 ( ) 9、The dollar-euro exchange rate is $1.25 = €1.00 and the dollar-yen exchange rate is ￥100 = $1.00. What is the euro-yen cross rate? a)￥125 = €1.00 b)￥1.00 = €125 c)￥1.00 = €0.80 d)None of the above ( ) 10、You are a U.S.-based treasurer with $1,000,000 to invest. The dollar-euro exchange rate is quoted as $1.20 = €1.00 and the dollar-pound exchange rate is quoted at $1.80 = ￡1.00. If a bank quotes you a cross rate of ￡1.00 = €1.50 how much money can an astute trader make? a)No arbitrage is possible b)$1,160,000 c)$500,000 d)$250,000 ( ) 11、 The forward market a)Involves contracting today for the future purchase of sale of foreign exchange at the spot rate that will prevail at the maturity of the contract. b)Involves contracting today for the future purchase of sale of foreign exchange at a price agreed upon today. c)Involves contracting today for the right but not obligation to the future purchase of sale of foreign exchange at a price agreed upon today. d)None of the above ( ) 12、 The current spot exchange rate is $1.55/￡ and the three-month forward rate is $1.50/￡. You enter into a short position on ￡1,000. At maturity, the spot exchange rate is $1.60/￡. How much have you made or lost? a)Lost $100 b)Made ￡100 c)Lost $50 d)Made $150 ( ) 13、 The current spot exchange rate is $1.55/￡ and the three-month forward rate is $1.50/￡. Based on your analysis of the exchange rate, you are confident that the spot exchange rate will be $1.52/￡ in three months. Assume that you would like to buy or sell ￡1,000,000. What actions do you need to take to speculate in the forward market? a)Take a long position in a forward contract on ￡1,000,000 at $1.50/￡. b)Take a short position in a forward contract on ￡1,000,000 at $1.50/￡. c)Buy pounds today at the spot rate, sell them forward d)Sell pounds today at the spot rate, buy them forward ( ) 14、 The current spot exchange rate is $1.55/￡ and the three-month forward rate is $1.50/￡. Based on your analysis of the excange rate. You are confident that the spot exchange rate will be $1.52/￡ in three months. Assume that you would like to buy or sell ￡1,000,000. What actions do you need to take to speculate in the forward market? What is the expected dollar profit from speculation? a)Sell ￡1,000,000 forward for $1.50/￡. b)Buy ￡1,000,000 forward for $1.50/￡. c)Wait three months, if your forecast is correct buy ￡1,000,000 at $1.52/￡ d)Sell ￡1,000,000 today at $1.55/￡; wait three months, if your forecast is correct buy ￡1,000,000 back at $1.52/￡ ( ) 15、 Bank dealers in conversations among themselves use a shorthand notation to quote bid and ask forward prices in terms of forward points. Complete the following table: Spot 1.9072-1.9077 Forward Point Quotations One-month 32-30 Three-month 57-54 1.9015-1.9023 Six-month 145-138 1.8927-1.8939 a)1.9040-1.9047 b)1.9042-1.9049 c)1.9032-1.9030 d)none of the above ( ) 16、 The SF/$ spot exchange rate is SF1.25/$ and the 180 day forward exchange rate is SF1.30/$. The forward premium (discount) is: a)The dollar is trading at an 8% premium to the Swiss franc for delivery in 180 days. b)The dollar is trading at a 4% premium to the Swiss franc for delivery in 180 days. c)The dollar is trading at an 8% discount to the Swiss franc for delivery in 180 days. d)The dollar is trading at a 4% discount to the Swiss franc for delivery in 180 days. ( ) 17、 The SF/$ spot exchange rate is SF1.25/$ and the 180 forward premium is 8 percent. What is the outright 180 day forward exchange rate? a)SF1.30/$ b)SF1.35/$ c)SF6.25/$ d)None of the above ( ) 18、 An arbitrage is best defined as: a)A legal condition imposed by the CFTC. b)The act of simultaneously buying and selling the same or equivalent assets or commodities for the purpose of making reasonable profits. c)The act of simultaneously buying and selling the same or equivalent assets or commodities for the purpose of making guaranteed profits. d)None of the above ( ) 19、 Interest Rate Parity (IRP) is best defined as: a)When a government brings its domestic interest rate in line with other major financial markets b)When the central bank of a country brings its domestic interest rate in line with its major trading partners c)An arbitrage condition that must hold when international financial markets are in equilibrium d)None of the above ( ) 20、 Suppose that the one-year interest rate is 3.0 percent in the Italy, the spot exchange rate is $1.20/€, and the one-year forward exchange rate is $1.18/€. What must one-year interest rate be in the United States? a)1.2833% b)1.0128% c)4.75% d)None of the above ( ) 21、 A U.S.-based currency dealer has good credit and can borrow $1,000,000 for one year. The one-year interest rate in the U.S. is i$ = 2% and in the euro zone the one-year interest rate is i€ = 6%. The spot exchange rate is $1.25 = €1.00 and the one-year forward exchange rate is $1.20 = €1.00. Show how to realize a certain dollar profit via covered interest arbitrage. a)Borrow $1,000,000 at 2%. Trade $1,000,000 for €800,000; invest at i€ = 6%; translate proceeds back at forward rate of $1.20 = €1.00, gross proceeds = $1,017,600. b)Borrow €800,000 at i€ = 6%; translate to dollars at the spot, invest in the U.S. at i$ = 2% for one year; translate €848,000 back into euro at the forward rate of $1.20 = €1.00. Net profit $2,400. c)Borrow €800,000 at i€ = 6%; translate to dollars at the spot, invest in the U.S. at i$ = 2% for one year; translate €850,000 back into euro at the forward rate of $1.20 = €1.00. Net profit €2,000. d)Answers c) and b) are both correct. ( ) 22、 Suppose that the one-year interest rate is 5.0 percent in the United States and 3.5 percent in Germany, and the one-year forward exchange rate is $1.16/€. What must the spot exchange rate be? a)$1.1768/€ b)$1.1434/€. c)$1.12/€ d)None of the above. ( ) 23、 A higher U.S. interest rate (i$ ↑) will result in a)a stronger dollar b)a lower spot exchange rate (expressed as foreign currency per U.S. dollar) c)both a) and b) d)Nobe of the above ( ) 24、 If the interest rate in the U.S. is i$ = 5 percent for the next year and interest rate in the U.K. is i￡ = 8 percent for the next year, uncovered IRP suggests that a)The pound is expected to depreciate against the dollar by about 3 percent. b)The pound is expected to appreciate against the dollar by about 3 percent. c)The dollar is expected to appreciate against the pound by about 3 percent. d)a) and c) are both true. ( ) 25、 A currency dealer has good credit and can borrow either $1,000,000 or €800,000 for one year. The one-year interest rate in the U.S. is i$ = 2% and in the euro zone the one-year interest rate is i€ = 6%. The one-year forward exchange rate is $1.20 = €1.00; what must the spot rate be to eliminate arbitrage opportunities? a)$1.2471 = €1.00 b)$1.20 = €1.00 c)$1.1547 = €1.00 d)none of the above ( ) 26、 Yesterday, you entered into a futures contract to buy €62,500 at $1.20 per €. Suppose that the futures price closes today at $1.16. How much have you made/lost? a)Depends on your margin balance b)You have made $2,500.00 c)You have lost $2,500.00 d)You have neither made nor lost money, yet. ( ) 27、 In reference to the futures market, a “speculator” a)attempts to profit from a change in the futures price b)wants to avoid price variation by locking in a purchase price of the underlying asset through a long position in the futures contract or a sales price through a short position in the futures contract c)stands ready to buy or sell contracts in unlimited quantity d)b) and c) ( ) 28、 Comparing “forward” and “futures” exchange contracts, we can say that: a)They are both “marked-to-market” daily. b)Their major difference is in the way the underlying asset is priced for future purchase or sale: futures settle daily and forwards settle at maturity. c)A futures contract is negotiated by open outcry between floor brokers or traders and is traded on organized exchanges, while forward contract is tailor-made by an international bank for its clients and is traded OTC. d)b) and c) ( ) 29、 Yesterday, you entered into a futures contract to buy €62,500 at $1.20 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted? a)$1.2160 per €. b)$1.208 per €. c)$1.1920 per €. d)$1.1840 per €. ( ) 30、 Three days ago, you entered into a futures contract to sell € 62,500 at $1.20 per €. Over the past three days the contract has settled at $1.20, $1.22, and $1.24. How much have you made or lost? a)Lost $0.04 per € or $2,500 b)Made $0.04 per € or $2,500 c)Lost $0.06 per € or $3,750 d)None of the above ( ) 31、 Today’s settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/￥100. Your margin account currently has a balance of $2,000. The next three days’ settlement prices are $0.8057/￥ 100, $0.7996/￥100, and $0.7985/￥100. (The contractual size of one CME Yen contract is ￥12,500,000). If you have a short position in one futures contract, the changes in the margin account from daily marking-to-market will result in the balance of the margin account after the third day to be a)$1,425 b)$2,000 c)$2,325 d)$3,425 ( ) 32、 Today’s settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/￥100. Your margin account currently has a balance of $2,000. The next three days’ settlement prices are $0.8057/￥ 100, $0.7996/￥100, and $0.7985/￥100. (The contractual size of one CME Yen contract is ￥12,500,000). If you have a long position in one futures contract, the changes in the margin account from daily marking-to-market, will result in the balance of the margin account after the third day to be: a)$1,425 b)$1,675 c)$2,000 d)$3,425 ( ) 33、 The “open interest” shown in currency futures quotations is: a)the total number of people indicating interest in buying the contracts in the near future b)the total number of people indicating interest in selling the contracts in the near future c)the total number of people indicating interest in buying or selling the contracts in the near future d)the total number of long or short contracts outstanding for the particular delivery month ( ) 34、 Consider the position of a treasurer of a MNC, who has $20,000,000 that his firm will not need for the next 90 days: a)He could borrow the $20,000,000 in the money market b)He could take a long position in the Eurodollar futures contract. c)He could take a short position in the Eurodollar futures contract d)None of the above ( ) 35、 If you think that the dollar is going to appreciate against the euro a)You should buy put options on the euro b)You should sell call options on the euro c)You should buy call options on the euro d)None of the above ( ) 36、 A European option is different from an American option in that a)One is traded in Europe and one in traded in the United States b)European options can only be exercised at maturity; American options can be exercised prior to maturity. c)European options tend to be worth more than American options, ceteris paribus. d)American options have a fixed exercise price; European options’ exercise price is set at the average price of the underlying asset during the life of the option. ( ) 37、 Most exchange traded currency options a)Mature every month, with daily resettlement. b)Have original maturities of 1, 2, and 3 years. c)Have original maturities of 3, 6, 9, and 12 months. d)Mature every month, withOUT daily resettlement ( ) 38、 In the CURRENCY TRADING section of The Wall Street Journal, the following appeared under the heading OPTIONS: Philadelphia Exchange Swiss Franc 69.33 62,500 Swiss Francs-cents per unit Vol. Last 68 May 12 0.3 69 May 50 0.5 Which combination of the following statements are true? (i)- The time values of the 68 May and 69 May put options are respectively .30 cents and .50 cents. (ii)- The 68 May put option has a lower time value (price) than the 69 May put option. (iii)- If everything else is kept constant, the spot price and the put premium are inversely related. (iv)- The time values of the 68 May and 69 May put options are, respectively, 1.63 cents and 0.83 cents. (v)- If everything else is kept constant, the strike price and the put premium are inversely related. a)(i), (ii), and (iii) b)(ii), (iii), and (iv) c)(iii) and (iv) d)( iv) and (v) ( ) 39、 The current spot exchange rate is $1.25 = €1.00 and the three-month forward rate is $1.30 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.20 = €1.00. Immediate exercise of this option will generate a profit of a)$6,125 b)$6,125/(1+i$)3/12 c)negative profit, so exercise would not occur d)$3,125 ( ) 40、 The current spot exchange rate is $1.25 = €1.00 and the three-month forward rate is $1.30 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.20 = €1.00. If you pay an option premium of $5,000 to buy this call, at what exchange rate will you break-even? a)$1.28 = €1.00 b)$1.32 = €1.00 c)$1.20 = €1.00 d)$1.38 = €1.00 --

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