Hull: Options, Futures and Other Derivatives, Ninth Edition Chapter 6: Interest Rate Fu Futures tures Multiple Choice Test Ban: !uestions 1. Which of following is applicable applicable to corporate corporate bonds in the United United States? States? A. Actua ctual/ l/36 360 0 B. Ac Actu tual al/A /Act ctua uall . 30/360 !. Ac Actu tual al/3 /36" 6" #.
$t is %a& 1. 'he 'he (uot (uoted ed price price of a bon bond d with with an Ac Actua tual/A l/Actu ctual al )in )in period period** da& count and 1#+ per annu, coupon )paid se,iannuall&* in the United States is 10". $t has a face -alue of 100 and pa&s coupons on April 1 and ctober 1. What is the cash price? A. 10 106. 6.00 00 B. 10 106. 6.0# 0# . 10 10". ". !. 106.0
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$t is is %a& %a& 1. 'he 'he (uot (uoted ed pri price ce of of a bon bond d with with a 30 30/3 /360 60 da& da& cou count nt and and 1#+ 1#+ per annu, coupon in the United States is 10". $t has a face -alue of 100 and pa&s coupons on April 1 and ctober 1. What is the cash price? A. 10 106. 6.00 00 B. 106.0# 10". !. 106.0
. 'he ,ost recent settle,ent bond bond futures futures price price is 103.". Which Which of the following four bonds is cheapest to deli-er? A. 2uoted 2uoted bond price price 1104 1104 con-ers con-ersion ion factor factor 1.000. 1.000. B. 2uoted 2uoted bond price price 1604 1604 con-ers con-ersion ion factor factor 1."#00. 1."#00. . 2uoted 2uoted bond price price 1314 con-er con-ersion sion factor factor 1.#"00. 1.#"00. !. 2uoted 2uoted bond price price 134 con-er con-ersion sion factor factor 1.3"00. 1.3"00. ". Which Which of the follow following ing is 5' 5' an option open to the part& with a short position in the 'reasur& bond futures contract? A. 'he abilit& abilit& to deli-er deli-er an& of a nu,ber nu,ber of diere dierent nt bonds bonds B. 'he 'he wild wild car card d pla& pla& . 'he fact that deli-er& deli-er& can be ,ade an& ti,e during the deli-er& deli-er& ,onth !. 'he interest interest rate used used in the the calculation calculation of the con-ersion factor 6. A trader enters enters into a long position in in one 7urodolla 7urodollarr futures futures contract. contract. 8ow ,uch does the trader gain when the futures price (uote increases b& 6 basis points? A. 96 B. 91"0 . 960 !. 9600
:. 'he bonds that can be deli-ered in a 'reasur& bond futures contract are A. Assets that pro-ide no inco,e B. Assets that pro-ide a ;nown cash inco,e . Assets that pro-ide a ;nown &ield !. 5one of the abo-e . An ultra 'pected to be cheapest to deli-er is 6 &ears and the duration of the portfolio will be "." &ears. 8ow ,an& contracts are necessar& for hedging the portfolio? A. 100 B. #00 . 300 !. 00 10.Which of the following is true? A. 'he futures rates calculated fro, a 7urodollar futures (uote are alwa&s less than the corresponding forward rate B. 'he futures rates calculated fro, a 7urodollar futures (uote are alwa&s greater than the corresponding forward rate . 'he futures rates calculated fro, a 7urodollar futures (uote should e(ual the corresponding forward rate !. 'he futures rates calculated fro, a 7urodollar futures (uote are so,eti,es greater than and so,eti,es less than the corresponding forward rate 11.8ow ,uch is a basis point? A. 1.0+ B. 0.1+ . 0.01+ !. 0.001+ 1#.Which of the following da& count con-entions applies to a US 'reasur& bond? A. Actual/360 B. Actual/Actual )in period* . 30/360 !. Actual/36"
13.What is the (uoted discount rate on a ,one& ,ar;et instru,ent? A. 'he interest rate earned as a percentage of the nal face -alue of a
bond B. 'he interest rate earned as a percentage of the initial price of a bond . 'he interest rate earned as a percentage of the a-erage price of a bond !. 'he ris;i,atel& A. 'he price it would ha-e if all cash @ows were discounted at 6+ per annu, B. 'he price it would ha-e if it paid coupons at 6+ per annu, . 'he price it would ha-e if all cash @ows were discounted at + per annu, !. 'he price it would ha-e if it paid coupons at + per annu, 1:.'he ti,et gi-e as the dierence between the futures and the forward interest rate. A. 0.10"+ B. 0.103+ . 0.0+ !. 0.03+ 1.A trader uses 3<,onth 7urodollar futures to loc; in a rate on 9" ,illion for si> ,onths. 8ow ,an& contracts are re(uired? A. " B. 10 . 1" !. #0
1.$n the U.S. what is the longest ,aturit& for 3<,onth 7urodollar futures contracts? A # &ears B " &ears 10 &ears ! #0 &ears #0.!uration ,atching i,,unies a portfolio against A. An& parallel shift in the &ield cur-e B. All shifts in the &ield cur-e . hanges in the steepness of the &ield cur-e !. S,all parallel shifts in the &ield cur-e
