136 views

Uploaded by Wataru Terada

Some practice questions for derivative securities.
Some of the answers are not necessarily correct.

- MAF 680 Chapter 7- Futures Derivatives (New)
- DM – Introduction
- CBOT - Trading in Futures
- Derivative MKt. Question
- Arbitrage EXample
- FIT 7 Mistakes Futures
- NISM-Series-VIII-Equity Derivatives Workbook (New Version September-2015)
- NISM-SERIES-VIII--EQUITY-DERIVATIVES-EXAM-WORKBOOK.pdf
- Trading Mach
- Priya Commodity
- Chapter 8
- A Traders Guide to Futures
- commodityppt-100625044540-phpapp02
- ICE Cocoa Brochure
- Futures Dairy
- A Study on Arbitrage & Hedging Efectiveness in Stock Market
- Econ 252 Spring 2011 Problem Set 5 Solution
- Antoniou and Garret (1993)
- 2 Unit Theories of Forwards & Future Pricing - Copy
- A Dissertation on Rmc

You are on page 1of 3

Which of the following is not true a. For investment assets the difference between spot and forward/future prices reflects the assets cost of carry b. The cost of carry is the combination of storage costs, financing costs and income paid by an asset c. If the cost of carry for an investment asset is positive, the futures price has to be lower than the spot price or else arbitrage opportunities are available d. If the convenience yield for a consumption asset is larger than its cost of carry, the futures price of the asset has to be lower than the spot price otherwise arbitrage opportunities are available 2. Which of the following is true: a. If there is perfect positive correlation between the asset being hedged and the futures contract used to hedge then the hedge ratio is 1 b. If there is perfect negative correlation between the asset being hedged and the futures contract used to hedge then the hedge ratio is -1 c. If there is no basis risk a perfect hedge is impossible d. Maturity mismatch alone can create basis risk 3. If the convenience yield is positive and arbitrage opportunities have disappeared, then: a. The spot price has to be higher than the futures price b. The spot price has to be below the futures price c. The spot price has to equal the future price d. The spot price can be either below, equal to or above the futures price depending on the risk free rate, the asset yield and on storage costs 4. An upward sloping forward curve for an investment asset implies a a. zero cost of carry b. negative cost of carry c. positive cost of carry d. negative convenience yield 5. Suppose that you have opened a futures position and posted funds with a broker in a margin account. The minimum level to which a margin accounts value may fall before requiring additional margin is known as the: a. daily margin b. initial margin c. maintenance margin d. profit margin e. variation margin

Question 6 is based on the following data for gold and platinum futures (where prices are in dollars per troy ounce and margin account balances do not earn interest): Trading Date June Gold Futures April Platinum Futures (100 troy oz. per contract) (50 troy oz. per contract) Jan 20 1,594.50 1,874.50 Jan 21 1,592.40 1,878.50 Jan 22 1,597.70 1,883.10 6. Suppose that you go short three contracts of April platinum futures on January 20 and long two contracts of June gold on January 21. Then the value of your portfolio at the closing of January 22 has changed by: a. $230 b. $100 c. +$100 d. +$730 e. None of these answers are correct. 7. Let the spot price of gold today be $1,500 per ounce. Jewellery maker Jewelrygold Inc. sets up a buying hedge by going long gold futures. The basis is $50 today and $5 on the day the company lifts the hedge by buying gold in the spot market and selling the futures. The companys effective buying price for gold is: a. $1,505 b. $1,545 c. $1,550 d. $1,555 e. None of these answers are correct. 8. Suppose that the variance of quarterly changes in the spot prices of a commodity is 0.49, the variance of quarterly changes in a futures price on the commodity is 0.81, and the coefficient of correlation between the two changes is 0.6. The optimal hedge ratio for the contract is: a. 0.10 b. 0.4667 c. 0.5444 d. 0.9 e. None of these answers are correct. 9. Suppose that todays price of gold in the spot market is $1,510 per ounce. The price of a zero-coupon bond maturing in six months is $0.98. Then the six- month forward price for gold is: a. $1,515.08 b. $1,531.61 c. $1,540.82 d. $1,550.69 e. None of these answers are correct.

10. Todays spot price of gold is $1,600 per ounce. The continuously compounded interest rate is 5 percent per year. The quoted six- month forward price for gold is $1,650. The arbitrage profit that you can make today by trading one forward contract and other securities is: a. $5.08 b. $9.26 c. $8.07 d. $9.38 e. None of these answers are correct.

- MAF 680 Chapter 7- Futures Derivatives (New)Uploaded byPablo Ekskoba
- DM – IntroductionUploaded bySagar Patil
- CBOT - Trading in FuturesUploaded bygibsd
- Derivative MKt. QuestionUploaded by26amit
- Arbitrage EXampleUploaded bydhruvesh999
- FIT 7 Mistakes FuturesUploaded byjagura
- NISM-Series-VIII-Equity Derivatives Workbook (New Version September-2015)Uploaded byjanardhanvn
- NISM-SERIES-VIII--EQUITY-DERIVATIVES-EXAM-WORKBOOK.pdfUploaded byVrishank Shukla
- Trading MachUploaded byBinu Pandey
- Priya CommodityUploaded bynehairabatti
- Chapter 8Uploaded byJoleen Grant
- A Traders Guide to FuturesUploaded byAggelos Kotsokolos
- commodityppt-100625044540-phpapp02Uploaded byHardik Bhanushali
- ICE Cocoa BrochureUploaded byKofikoduah
- Futures DairyUploaded byJ. Perry Stonne
- A Study on Arbitrage & Hedging Efectiveness in Stock MarketUploaded byharshina2008
- Econ 252 Spring 2011 Problem Set 5 SolutionUploaded byamericus_smile7474
- Antoniou and Garret (1993)Uploaded byViviane AS
- 2 Unit Theories of Forwards & Future Pricing - CopyUploaded byvijay kumar
- A Dissertation on RmcUploaded bykshitij111
- Commodities Market HrcUploaded byhchhadwa
- derivatuvesUploaded byravikantjangid
- Derivatives Lecture PresentationUploaded byBidlan
- Currency FuturesUploaded byInder Kumar Jham
- Ch 21 Spot Futures ParityUploaded byfatenyousmera
- Risk NotesUploaded byRajneeshmj
- SP Trng - FuturesUploaded bypradeep_panicker_3
- Dilip FinalUploaded bySarath Babu
- 2Uploaded byBalaji Nerella
- Arbitrage FullUploaded bydafadf

- Compensation System of DBL & UCBLUploaded byAhsanul Hoque
- Study Of Air Pollution Due To Magnesite in Salem DistrictUploaded byAnonymous vQrJlEN
- Exchange - Hybrid MailFlowUploaded byawslab8
- Hotel Quality Control PlanUploaded byVo Kien Cuong
- Bio WarUploaded byPradeep Kumar
- Probability Questions With SolutionsUploaded bykrackyournut
- APTIS TEST Candidate Guide Advanced V2.1 27102014Uploaded byWahadatul Arta'iah
- Is StandardUploaded bysarkararup
- Catch Me if You Can-reflection PaperUploaded byJolo Roman
- Annual Accounts 2013Uploaded byMuhammad Faixan
- McAfee NGFW Reference Guide for Firewall VPN Role v5-7Uploaded byaniruddha_ratil
- CLUploaded byGiegie Nuesca
- Flames of WrathUploaded byJane Cob
- Henrys ComponentsUploaded byFalom Bander
- D2794-93(2010) Standard Test Method for Resistance of Organic Coatings to the Effects of Rapid DUploaded byOlss Bbzo
- Lesson Plan. Passive VoceUploaded byVirginia Vasquez
- EMCO Large Engine Catalog 2008Uploaded byRobert Kirk
- presentation model lesson plan templateUploaded byapi-352433525
- Immuno Oncology Therapies White Paper PPDUploaded bykeval
- Structure and Written ExpressionUploaded byFiaz Ahmed Naich
- Deep MarineUploaded byMuhammad Bilal
- Trends in Apparel Manufacturing TechnologyUploaded byअमित सिंह
- Regular Evaluation Test IV Science X AUploaded byB.L. Indo Anglian Public School, Aurngabad, Bihar
- wooden furniture Report by Pradeep kannojiya.docxUploaded bysid kannojiya
- engr2276_apr03Uploaded byMohamed Alqaisi
- Math 120 Final Exam Review (3)Uploaded byBrent Matheny
- Adorno & Horkheimer's "Culture Industry"Uploaded byasli_zeren
- ECSE 321 - Paranoid Asteroid - Software Requirements SpecificationUploaded bypiohm
- Ar5-Ar5l Check Meter Program ManualUploaded byAlejandro Alberto Robalino Mendez
- lab1_straightness_composite_lab_2.pdfUploaded byawad91