8006 무료 덤프문제 온라인 액세스

In terms of notional values traded, which of the following represents the largest share of total traded futures and options globally?

• A.commodities
• B.interest rate products
• C.equity futures and options
• D.foreign exchange futures and options

An investor enters into a 4 year interest rate swap with a bank, agreeing to pay a fixed rate of 4% on a notional of $100m in return for receiving LIBOR. What is the value of the swap to the investor two years hence, immediately after the net interest payments are exchanged? Assume the current zero coupon bond yields for 1,
2 and 3 years are 5%, 6% and 7% respectively. Also assume that the yield curve stays the same after two years (ie, at the end of year two, the rates for the following three years are 5%, 6%, and 7% respectively).

• A.- $3,630,846
• B.$3,630,846
• C.$2,749,326
• D.-$2,749,326

Which of the following statements is true:
I. The maximum value of the delta of a call option can be infinity
II. The value of theta for a deep out of the money call approaches zero III. The vega for a put option is negative IV. For a at the money cash-or-nothing digital option, gamma approaches zero

• A.I and IV
• B.II and III
• C.III only
• D.II only

Which of the following markets are characterized by the presence of a market maker always making two-way prices?

• A.Exchanges
• B.OTC markets
• C.Dark pools
• D.ECNs

The cheapest to deliver bond for a treasury bond futures contract is the one with the :

• A.the lowest coupon
• B.the lowest yield to maturity adjusted by the conversion factor
• C.the lowest basis when comparing cash price to the futures spot price adjusted by the conversion factor
• D.the highest coupon