2010年5月FRM1级第三部分金融市场与产品模拟练习题2010年3月21日上海王迪共50题.pdf

Financial Markets and Products 1. If the lease rate of commodity A is less than the risk-free rate, what is the market structure of commodity A? a. Backwardation b. Contango c. Flat d. Inversion 2. On March 13, 2008, William Tell, a fund manager for the Rossini fund, takes a short position in the March Treasury bond (T-bond) futures contract. He plans to deliver the cheapest-to-deliver Treasury bond with a coupon of 4.5% payable semiannually on May 15 and November 15 (182 days between), a conversion factor of 1.3256, and a face value of USD 100,000. The delivery date is Friday, March 15 (121 days after November 15 coupon payment date). The settlement price for the cheapest-to-deliver Treasury bond on March 13 is 68 2/32. Which of the following is the best estimate of the invoice price? a. USD 90,118.87 b. USD 91,719.53 c. USD 92,367.75 d. USD 95,619.47 3. The yield curve is upward sloping, and a portfolio manager has a long position in 10-year Treasury Notes funded through overnight repurchase agreements. The risk manager is concerned with the risk that market rates may increase further and reduce the market value of the position. What hedge could be put on to reduce the positions exposure to rising rates? a. Enter into a 10-year pay fixed and receive floating interest rate swap. b. Enter into a 10-year receive fixed and pay floating interest rate swap. c. Establish a long position in 10-year Treasury Note futures. d. Buy a call option on 10-year Treasury Note futures. 4. The current price of stock ABC is USD 42 and the call option with a strike at USD 44 is trading at USD 3. Expiration is in one year. The put option with the same exercise price and same expiration date is priced at USD 2. Assume that the annual risk-free rate is 10% and that there is a risk-free bond paying the risk-free rate that can be shorted costlessly. There are no transaction costs. Which of the following tradin