上海工程技術(shù)大學(xué)期貨與期權(quán)0708第二學(xué)期期末試卷及答案

1、（勤奮、求是、創(chuàng)新、奉獻(xiàn)）20072008學(xué)年第二學(xué)期考試試卷主考教師_葛開明_學(xué)院 治理學(xué)院 班級(jí) _ 姓名 _ 學(xué)號(hào) _Futures and options課程試卷（本卷考試時(shí)刻 90 分鐘）題號(hào)一二三四五總得分題分2010152035100得分一選擇題 （在每題的備選答案當(dāng)選出一個(gè)正確答案，填在以下表內(nèi)。每題 2 分，共20 分）123456789101 A client goes long 2 futures contracts of corn, 5000 bushels per contract. The inial margin is $ per bushel. How much

2、 should he deposit in his margin account?A.$1,000 B.$1,500 C.$2,000 D.$3,0002. The maximum potential loss of the buyer of an option is ( )A.the strike price B the strike price less the premiumC the premiumD unlimited 3 If the futures price of soybean is RMB 5505 yuan per ton. And the spot price is R

3、MB5550 yuan per ton, In this case ,the basis is ( )A RMB 45 yuan BRMB 45 yuanC RMB 11055 yuanDRMB 11055 yuan4 the intrinsic value of a call option is ( )A the strick price minus time valueB the market price minus time value C the strick price plus time valueD the market price plus time value5 When a

4、 new futures trading is completed the open interests of the contract will ( )A increaseB decreaseC unchangedD uncertainthe end of each trading day, the clearing-house will mark to the market all outstanding futures positions. This is called ( )A.offsettingB.settlementC.marginingD.speculating7. A bul

5、l spreads is composed of a long position in a call option and a short position in another call option on the same stock with ( )strike price. Both options have the same expiration date.Aa higher B. a lowerC the same D different 8 When a speculator shorts a certain share in the futures market, he exp

6、ects the price of the share will ( ).A go up B. fall downC remain stable9 If the basis increases positively, ( ) will make profits.A an investor who takes a long position in spot marketB an investor who takes a short position in spot marketC long hedgerD short hadger10 A grain dealer who is currentl

7、y holding no inventory of soybeans has sold forward an amount of soybeans for delivery next January. He would hedge this forward sale byA going long futures and buying the actualsB selling futures and delivering against the contractC selling futuresD buying futures二判定題（判定下述命題的正誤，并說明理由。每題 2 分，共 10 分）

8、1. The forward contracts are not marked to the market daily. 2.When a futures contract is offset, delivery is made immediately.3. When the price goes up, the writer of call option can give up his liablility.4. The buyer of a put option is required to deposit money into margin account.5. In the case

9、of the futures contract on stock index, the seller can deliver the underlying assets, instead of cash settlement.三名詞說明（每題 3 分，共15 分）value of an optionto marketoption4 hedge5 position limit四問答題（每小題5 分，共 20分）1. What are the differences betweem futures and f ars? is the basis risk for a long hedge stra

10、tegy?.carefully the difference between writing a put option and buying a call option.4 Explain the convergence of futures price to spot price 五計(jì)算題（共35分）1. An investor enters into a long futures contracts to buy 5 tons of copper (5 tons per contract) for RMB 62,150 yuan per ton. The initial margin is

11、 RMB30,000 yuan per contract and the maintenance margin is RMB20,000 yuan. What change in the futures price would lead to a margin call? Under what circumstance the investor makes a profit of RMB 15,000 yuan ?(5 points)需要保證金30000，保證金賬戶里還剩余20000，以后期貨價(jià)錢怎么變更投資者能夠有15000的收益2. Consider a future contract o

12、n gold that calls for the delivery of 50 oz. in three months from now. The spot price of gold is $950 per oz, it casts $5 to store gold per oz for three months payable in arrears. The risk-free interest rate is 5% annum with continuous compounding. What should be the price of this contract?(5ponts)3

13、. Suppose the quoted price（報(bào)價(jià)） of Treasury bond futures is 100-10 in CBOT, Which of the following four bonds is cheapest to deliver? (5ponts)BondPrice Conversion factor1125-082142-163115-244144-004 The three-month interest rates in UK and the USA are % and % per annum, respectively, with continuous

14、compounding. The spot exchange（即期外匯） rate of British pound is $. The futures exchage rate for a contract deliverable in three-month is $, What arbitrage opportunities does this create?How much is the profits of the arbitrage,if you can borrow 10000 pound or equal value of dollar from the bank? (10po

15、ints)5 A stock is currently trading at $62. A three-month call with a strick price of $65 costs $2, whereas a three-month put with the same strick price costs $4. An investor buys both the put and the call. （1）Please draw a diagram of the stratagy,and show the range of the stock price on which the i

16、nvestor will make profit.（2）When the stock price is $58, What is the result of the stratagy?(10points) （勤奮、求是、創(chuàng)新、奉獻(xiàn)）20072020學(xué)年第二學(xué)期考試試卷主考教師_葛開明_學(xué)院 治理學(xué)院 班級(jí) _ 姓名 _ 學(xué)號(hào) _Answer Sheet ofFutures and options（本卷考試時(shí)刻 90 分鐘）題號(hào)一二三四五總得分題分2010152035100得分二選擇題 （在每題的備選答案當(dāng)選出一個(gè)正確答案，填在以下表內(nèi)。每題 2 分，共20 分）12345678910DCABD

17、B ABDC1 A client goes long 2 futures contracts of corn, 5000 bushels per contract. The inial margin is $ per bushel. How much should he deposit in his margin account?E.$1,000 F.$1,500 G.$2,000 H.$3,0002. The maximum potential loss of the buyer of an option is ( )A.the strike price B the strike price

18、 less the premiumC the premiumD unlimited 3 If the futures price of soybean is RMB 5505 yuan per ton. And the spot price is RMB5550 yuan per ton, In this case ,the basis is ( )A RMB 45 yuan BRMB 45 yuanC RMB 11055 yuanDRMB 11055 yuan4 the intrinsic value of a call option is ( )A the strick price min

19、us time valueB the market price minus time value C the strick price plus time valueD the market price plus time value5 When a new futures trading is completed the open interests of the contract will ( )A increaseB decreaseC unchangedD uncertainthe end of each trading day, the clearing-house will mar

20、k to the market all outstanding positions. This is called ( )E.offsettingF.settlementG.marginingH.speculating7. A bull spreads is composed of a long position in a call option and a short position in another call option on the same stock with ( ) strike price. Both options have the same expiration da

21、te.Aa higher B. a lowerC the same D different 8 When a speculator shorts a certain share in the futures market, he expects the price of the share will ( )A go up B. fall downC remain stable9 If the basis increases positively, ( ) will make profits.A an investor who takes a long position in spot mark

22、etB an investor who takes a short position in spot marketC long hedgerD short hadger10 A grain dealer who is currently holding no inventory of soybeans has sold forward an amount of soybeans for delivery next January. He would hedge this forward sale byA going long futures and buying the actualsB se

23、lling futures and delivering against the contractC selling futuresD buying futures二判定題（判定下述命題的正誤，并說明理由。每題 2 分，共 10 分）1. The forward contracts are not marked to the market daily. Ture. The future contracts are marked to the market daily,forward contracts not.2.When a futures contract is offset, deliv

24、ery is made immediately.Faulse. After the last trading day, the contracts havent been offsetted will take delivery.3. When the price goes up, the writer of call option can give up his liablility.False. The writer of an option has no right to choose but has to take the liability when the buyer decide

25、s to exercise his right.4. The buyer of a put option is required to deposit money into margin account.False. The buyer of a option pays primiun for the option and is not required to deposit money,5. In the case of the futures contract on stock index, the seller can deliver the underlying assets, ins

26、tead of cash settlement.False. In the case of stock index futures, cash settlement is made instead of delivering the underlying assets. 三名詞說明（每題 3 分，共 15 分）value of an optionthe maximum of zero and the value of the option would have if it were exercise immediately.to marketthe process of calculating

27、, usually on a daily basis, the actual margin in an investors account, to reflect the daily changes in the market value of the contracts.optionAmerican option: It can be exercise at any time up to the expiration date.4 hedgeA kind of trade which primary objective is to offset an otherwise risky posi

28、tion. 5 position limitthe maximum position a trader (or group of traders acting together) is allowed to hold.The purpose of the regulation is to prevent some investors from manipulating the price.四問答題（每題5 分，共 20分）1. What are the differences betweem futures and forwars? forward: traded in OTC, unstan

29、dardized, delivery in the maturity, not settled daily but at the end of contractfuture: traded in Exchange, standardized, most offset before maturity.mark to the market daily, involve margin accountis the basis risk for a long hedgers position?.As the futures price of underlying assets is not moving

30、 in pace with spot price exactly, the hedger will bear the basis risk.Basis=spot price of asset to be hedged futures price of contract used. The investor who takes long hedge strategy is expected to buy the assets in the future,therefore, he enters into futures market with long position. If the spot

31、 price goes up fast than the futures price, the strategy cant neutralize the price risk. In this case, the cash outflow of a long hedgers position that is the cost of the asset the hedger will pays, is The hedging risk is the uncertainty associated with b2. It means that the hedger will pay more if

32、the b2 is bigger. carefully the difference between writing a put option and buying a call option.Both of the investors have the same expectation of the price changes. They consider the price will go up in the future. A call option gives the holders the right to buy an asset by a certain date for a c

33、ertain price. A put option gives the holders the right to sell an asset by a certain date for a certain price. The writer of a put option receives cash up front, but has potential liabilities to buy the underlying asset by a certain date for a certain price later. Also, the writer of a put option is

34、 required to maintain funds in a margin account that avoids contract defaults. In the case of the price moves unfavorably, the risk of the wirter is graeter. The purchaser of a call option has the right to buy an asset by a certain date for a certain price. The option price must be paid in full. In

35、the case of the price moves unfavorably, the buyer of the call can give up the right. Therefore, the risk of the buyer is limited to the option price.4 Explain the convergence of futures price to spot price Convergence of futures price to spot price means that when the delivery period is reached, th

36、e futures price equals, or is very close to ,the spot price. It is because that if future price is different from spot price , the arbitrage opportunity exists. For example, if the futures price is above the spot price during the delivery period,the traders can short a futures contract,meanwhile, bu

37、y the asset and make arbitrage will lead to a profit equal to the spead of futures price and spot price. As the result of arbitrage,the futures price will fall and the spot price will increase.五計(jì)算題（共35分）1. An investor enters into a long futures contracts （多頭合約）to buy 5 tons of copper (5 tons per con

38、tract) for RMB 62,150 yuan per ton. The initial margin is RMB30,000 yuan per contract and the maintenance margin（持倉保證金） is RMB20,000 yuan. What change in the futures price would lead to a margin call? Under what circumstance the investor makes a profit of RMB 15,000 yuan ?(5 points)如何賺15000621502000

39、=60,150Answer:When the futures price falls down toRMB 60,150 yuan per ton, the investor will receiver a margin call.(P62150)*5=15000 P=65,150Answer:When the futures price is RMB 65,150 yuan per ton, the investor will make a profit of RMB 15,000 yuan.A shot feature contract 空頭空頭的話第一題加，第二題變減30002. Con

40、sider a future contract on gold that calls for the delivery of 50 oz盎司. in three months from now. The spot price of gold is $950 per oz. It costs $5 to store gold per oz for three months, payable in arrears. The risk-free interest rate is 5% annum with continuous compounding. What should be the pric

41、e of this contract?(5ponts)遠(yuǎn)期Answer:The price of the contract is $3. Suppose the quoted price of Treasury bond futures is 100-10 in CBOT, Which of the following four bonds is cheapest to deliver? (5ponts)BondPrice Conversion factor1125-082142-163115-244144-00Answer: The bond4 is the cheapest one to deliver.4 The three-month interest rates in UK and the USA are % and % per annum, respectively, with continuous compounding. The spot exchange rate of British pound is $. The futures exchange rate for a contract deliverable in three-month is $, what arbitrage opportuni