国际金融英文版试题chapter6.doc

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1、INTERNATIONAL FINANCEAssignment Problems (6) Name: Student#: I. Choose the correct answer for the following questions (only correct answer) (3 credits for each question, total credits 3 x 20 = 60)1. Which of the following is NOT true regarding forward contracts?A. The maturity of forward contracts i

2、s flexible.B. Forward contracts are traded both on organized exchanges and OTC market.C. Forward contracts are used to speculate the discrepancies of the exchange rates.D. The size of a forward contract is usually much larger than that of the futures or options.2. Which of the following is NOT a con

3、tract specification for currency futures trading on an organized exchange?A. maturity dateB. maintenance margin requirementC. size of the contractD. All of the above are specified3. A futures contract is very similar to a forward contract, because _.A. both are agreements between two parties to deli

4、ver relative currencies at a certain time for a certain priceB. both are standardized contractsC. both can be used to eliminate the default riskD. both are required to physically deliver the underlying currency4. If the amount in the margin account drops below the maintenance margin, the futures con

5、tract holder will _.A. close out the contractB. be issued a margin callC. write a new contractD. notify the exchange5. Which of the following is NOT a difference between a currency futures contract and a forward contract?A. The counterparty to the futures participant is unknown with the clearinghous

6、e stepping into each transaction whereas the forward contract participants are in direct contact setting the forward specifications.B. A single sales commission covers both the purchase and sale of a futures contract whereas there is no specific sales commission with a forward contract because banks

7、 earn a profit through the bid-ask spread.C. The futures contract is marked to market daily whereas a forward contract is only due to be settled at maturity.D. All of the above are differences between a currency futures contract and a forward contract.6. Assume that Citibank in New York quotes a 30-

8、day forward rate on euro of $0.7533 while the Singapore International Monetary Exchange (SIMEX) euro futures for delivery in 30 days is being quoted at $0.7522. You can make a riskless profit by _.A. taking a short position on euro in SIMEX euro futures contract and a long position on euro in the fo

9、rward contractB. taking a long position on euro in SIMEX euro futures contract and a short position on euro in the forward contractC. taking a short position on dollar in SIMEX euro futures contract and a short position on dollar in the forward contractD. taking a long position on dollar in SIMEX eu

10、ro futures contract and a long position on dollar in the forward contract7. The main function of the “Marking to market” procedure comes down to _.A. avoid default risk inherent in forward contractsB. cover risk exposure arisen from the international transactionsC. protect the contract holders from

11、suffering the lossD. all of the above8. The buyer of a futures contract is required to put a sum of money in the exchange. This sum of money is called _.A. down paymentB. initial marginC. premiumD. commission9. When reading the futures quotation in the newspaper, the column heading indicating the nu

12、mber of contracts outstanding on the previous day is called _.A. percentage changeB. settleC. open interestD. estimated volume10. A put option on Japanese yen is written with a strike price of 88/$. Which of the following spot rate maximizes your profit if you choose to execute the contract before m

13、aturity?A. 70/$B. 80/$C. 90/$D. 100/$11. The agreed price in a currency option contract is called the _.A. forward priceB. futures priceC. exercise priceD. spot price12. For a currency put option if the future spot rate is above the strike price, the option is said to be _.A. in-the-moneyB. at-the-m

14、oneyC. out-of-the-moneyD. break-even13. The writer of an option contract has _ whereas the holder has _.A. obligation; choiceB. right; responsibilityC. choice; obligationD. priority; privilege14. Assume you bought a call option with the exercise price of $1.55/ in Chicago Mercantile Exchange on Sept

15、ember 6. The contract would be expired in December. If the spot exchange rate was $1.50/ on October 10, the intrinsic value of this call option on that day would be _.A. $0.05B. -$0.05C. $0D. None of the above, because the contract doesnt expire on October 10.15. The foreign-currency accounts payabl

16、e can be hedged by buying a _ option on the foreign currency, whereas accounts receivable can be hedged by buying a _ option on the foreign currency.A. call; putB. put; callC. American; EuropeanD. European; American16. Mr. Bull tries to speculate on the direction of the entire stock market, the most

17、 efficient method he should use is to acquire _.A. a stock index futuresB. a portfolio containing stocks of all traded companiesC. a currency forward contractD. a currency futures contract17. The amount that the option purchaser must pay to obtain an option contract may be described as option _.A. c

18、ostB. premiumC. priceD. All of the above18. A Canadian dollar option quoted as “C$ Sep 9800 put” is selling on the CME at a price of $0.0026/C$. The size of the contract is C$100,000. Assume the spot exchange rate on the maturity day turns out to be $0.95/C$. You will have _ if you hold 10 contracts

19、.A. $30,000 net profitB. $30,000 net lossC. $27,400 net profitD. $27,400 net loss19. A fixed-to-fixed currency swap is used to _.A. hedge currency riskB. speculate discrepancies of the exchange rateC. make a riskless profitD. All of the above20. Exxon and Chase Manhattan Bank reached an agreement. I

20、n the next two years, Exxon would pay fixed price of oil to Chase Manhattan Bank on June 30, and Chase Manhattan Bank would pay floating price of oil according to the spot price on the same day. This is an example of _.A. fixed-for-floating currency swapB. commodity swapC. swaptionD. equity swapII.

21、Problems (40 Credits)1. Samuel Samosir trades currencies for Peregrine Funds in Jakarta, Indonesia. He focuses nearly all of his time and attention on the U.S. dollar/Singapore dollar ($/S$) exchange rate. The current spot rate is $0.6000/S$. After considerable study this week, he has concluded that

22、 the Singapore dollar will appreciate versus the U.S. dollar in the coming 90 days, probably to about $0.7000/S$. He has the following options on the Singapore dollar to choose from: (3 credits for each question, total credits 3 x 5 = 15 credits)a. Should Samuel buy a put on Singapore dollars or a c

23、all on Singapore dollar?b. Using your answer to part a, what is Samuels break-even price?c. Using your answer to part a, what is Samuels gross profit and net profit (including the premium) if the spot rate at the end of the 90 days is indeed $0.7000/S$?d. Using your answer to part a, what is Samuels

24、 gross profit and net profit (including the premium) if the spot rate at the end of the 90 days is indeed $0.8000/S$?e. Using your answer to part a, what is the contracts time value at the end of the 90 days?2. Jennifer Magnussen, a currency trader for Chicago-based Black River Investments, uses the

25、 futures quotes below on the British pound to speculate on its value: (5 credits for each question, total credits 4 x 3 = 12 credits)a. If Jennifer buys 5 June pound futures right after CME opens, and the spot rate at maturity is $1.3980/pound, what is the value of her position?b. If Jennifer sells

26、12 March pound futures with the opening quote, and the spot rate at maturity is $1.4560/pound, what is the value of her position?c. If Jennifer buys 10 June pound futures at $1.3500/ in the early afternoon, and the closing rate at the end of the day is $1.3246/pound instead of $1.4162/pound, what wi

27、ll happen? Explain.3. You head the currency trading desk at Bearings Bank in London. As the middleman in a deal between the U.K. and Danish government, you have just paid 1,000,000 to the U.K. government and have been promised DKr8,438,000 from the Danish government in three months. All else constan

28、t, you wouldnt mind leaving this long krone position open. However, next months referendum in Denmark may close the possibility of Denmark joining the European Union. If this happens, you expect the krone to drop on world markets. As a hedge, you are considering purchasing a call option on pounds st

29、erling with an exercise price of DKr8.4500/ that sells for DKr0.1464/. (13 credits total)a. Fill in the call option values at expiration the following table. (3 credits) Spot rate at expiration (DKr/): 8.00 8.40 8.42 8.44 8.46 8.48Call value at expiration (DKr/):b, Based on the previous information,

30、 draw the payoff profile for a long krone put option at expiration. Note that these exchange rates are reciprocals of those in problem a. (3 credits)Spot rate atexpiration (/DKr) .12500 .11905 .11876 .11848 .11820 .11792 Put value atexpiration (/DKr)c. Label your axes and plot each of the points. Dr

31、aw a profit/loss graph for this long krone put at expiration. (7 credits)Answers to Assignment (6)I. (60 credits)1. B 2. D 3. A 4.B 5. D 6. B 7. A 8. B 9. C 10. A 11. C 12. C13. A 14. C 15. A 16. A 17. D 18. C 19. A 20.BII. (40 credits)1. Option problema. Samuel should buy a call on Singapore dollar

32、.b. Break-even exchange rate for a call option = strike price + premium= 0.6500 + 0.00046 = $0.65046/S$c. Gross profit = 0.7000 0.6500 = $0.05Net profit = 0.7000 0.65046 = $0.04954d. Gross profit = 0.8000 0.6500 = $0.15Net profit = 0.8000 0.65046 = $0.14954e. time value = 0, no time value when the c

33、ontract expires.2. Futures problema. Jennifers loss = (1.3980 1.4164) x (62,500) x 5 = -$5,750Value of her position: (2,500 x 5) 5,750 = $12,500 5,750 = $6,750b. Jennifers loss = (1.4246 1.4560) x (62,500 x 12 = -$23,550Value of her position: (2,500 x 12) 23,550 = $30,000 23,550 = $6,450c. Jennifers margin account at the end of the day drops to: (1.3246 1.3500) x (62,500) x 10 = -$15,875 + 25,000 = $9,125Jennifer will receive a margin call from the exchange which is12,500 9,125 = $3,375Jennifer should bring $3,375 more to meet the maintenance margin requirement.