课程名称︰选择权与期货 课程性质︰选修 课程教师︰王之彦 开课学院：管理学院 开课系所︰国企系 考试日期（年月日）︰2012/04/18 考试时限（分钟）：180 min 是否需发放奖励金：是 （如未明确表示，则不予发放） 试题 : 1.(30%) Term Explanation (If there are more than one terms, explain each term first and next compare the similarities or differences between them) a.(6%) Daily Settlement, Marking to Market, and Margin Account b.(3%) Basis Risk c.(6%) Cost of Carry and Convenience Yield d.(3%) Term Structure of Interest Rates e.(6%) Physical Delivery vs. Cash Settlement f.(6%) Normal Backwardation vs. Contango 2.(6%) Suppose that there are no storage costs for crude oil and the interest rate for borrowing or lending is 5% per annum. In August of 2009, you observe that futures prices on December 2009 and June 2010 crude oil futures contracts are $75.62/bbl. and $79.41/bbl., respectively. How could you make money by trading these two futures contracts today? (2.28) 3.(6%) The standard deviation of monthly changes in the spot price of live cattle is (in cents per pound) 1.2. The standard deviation of monthly changes in the futures price of live cattle for the closest contract is 1.4. The correlation between the futures price changes and the spot price changes is 0.7. It is now October 15. A beef producer is committed to purchasing 200,000 pounds of live cattle on November 15. The producer wants to use the December live-cattle futures contracts to hedge its risk.Each contract is for the delivery of 40,000 pounds of cattle. What strategy should the beef producer follow?(3.16) 4.(6%) It is July 16. A company has a portfolio of stocks worth $100 million. The beta of the portfolio is 1.2. The company would like to use the CME December futures contract on the S&P 500 to change the beta of the portfolio to 0.5 during the period July 16 to November 16. The index is currently 1,000, and each contract is on $250 times the index. a.(3%) What position should the company take? b.(3%) Suppose that the company changes its mind and decides to increase the beta of the portfolio from 1.2 to 1.5. What position in futures contracts should it take?(3.24) 5.(12%) The cash prices of six-month and one-year Treasury bills are 94.0 and 89.0. A 1.5-year bond that will pay coupons of $4 every six months currently sells for $94.84. A two-year bond that will pay coupons of $5 every six months currently sells for $97.12. Calculate the six-month, one-year, 1.5-year, and two-year zero rates.(4.8) 6.(6%) A bank can borrow or lend at LIBOR. Suppose that the six-month rate is 5% and the nine-month rate is 6%. The rate that can be locked in for the period between six months and nine months using an FRA is 7%. What arbitrage opportunities are open to the bank? All rates are continuously compounded.(4.26) 7.(6%) The current USD/euro exchange rate is 1.4000 dollar per euro. The six month forward exchange rate is 1.3950. The six month USD interest rate is 1% per annum continuously compounded. Estimate the six month euro interest rate.(5.24) 8.(8%) A stock is expected to pay a dividend of $1 per share in two months and in five months. The stock price is $50, and the risk-free rate of interest is 8% per annum with continuous compounding for all maturities. An investor has just taken a short position in a six-month forward contract on the stock. a.(4%) What are the forward price and the initial value of the forward contract? b.(4%) Three months later, the price of the stock is $48 and the risk-free rate of interest is still 8% per annum. What are the forward price and the value of the short position in the forward contract?(5.26) 9.(6%) Suppose that the Treasury bond futures price is 101:12. Which of the following four bonds is cheapest to deliver?(6.10) Bond Price Conversion Factor 1 125:05 1.2131 2 142:15 1.3792 3 115:31 1.1149 4 144:02 1.4026 10.(8%) A five-year bond with a yield of 11% (continuously compounded) pays an 8% coupon at the end of each year.(6.14) a.(2%) What is the bond's price? b.(2%) What is the bond's duration? c.(2%) Use the duration to calculate the effect on the bond's price of a 0.2% decrease in its yield. d.(2%) Recalculate the bond's price on the basis of a 10.8% per annum yield and verify that the result is in agreement with your answer to (c). 11.(6%) Suppose that it is February 20 and a treasurer realizes that on July 17 the company will have to issue $5 million of commercial paper with a maturity of 180 days. If the paper were issued today, the company would realize $4,820,000. (In other words, the company would receive $4,820,000 for its paper and have to redeem it at $5,000,000 in 180 days' time.) The September Eurodollar futures price is quoted as 92.00. How should the treasurer hedge the company's exposure?(6.16) 注: 第2-11题都是课本习题(一模一样)，我有特别标注是第几章第几题在後面(绿色的字) --

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