Reading 71: Swap Markets and Contracts LOSb习题精选 - Derivative Investments - 【CFA一级试题精选】 - CFA论坛

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发表于 2010-4-26 22:55 | 只看该作者

A swap in which one party pays a fixed rate, one party pays a floating rate, and only a net payment is made on the settlement dates is referred to as a:

A)	straight swap.

B)	plain vanilla swap.

net swap.

A swap in which one party pays a fixed rate, one party pays a floating rate, and only a net payment is made on the settlement dates is referred to as a plain vanilla swap.

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32^#

发表于 2010-4-26 22:56 | 只看该作者

An equity swap can specify that one party pay any of the following EXCEPT:

A)	the return on a specific portfolio of three stocks including dividends.

B)	the total return on a corporate bond.

C)	the return on a single stock.

A swap involving the return on a bond would not be an equity swap.

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33^#

发表于 2010-4-26 22:56 | 只看该作者

When one party pays a fixed rate of interest in an equity swap, which of the following is least accurate?

A)	The equity-return payer will gain if the equity return is zero.

B)	The fixed-rate receiver will never get more than the fixed rate.

C)	Unlike other swaps, in an equity swap the one-quarter-ahead payment is not known at the end of the previous quarter.

If the periodic return on the equity is negative, the fixed-rate payer must pay the fixed rate plus the percentage of (negative) equity return, times the notional principal.

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34^#

发表于 2010-4-26 22:56 | 只看该作者

A contract in which one party pays a fixed rate of interest on a notional amount in return for the return on a single stock, paid quarterly for four quarters, is a(n):

A)	returns swap.

B)	equity swap.

C)	plain vanilla swap.

A swap contract in which at least one party makes payments based on the return on an equity, portfolio, or market index, is called an equity swap.

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发表于 2010-4-26 22:57 | 只看该作者

Consider a 1-year quarterly-pay $1,000,000 equity swap based on a fixed rate and an index return. The current fixed rate is 3.0 percent and the index is at 840. Below are the index level at each of the four settlement dates on the swap.

Q1

Q2

Q3

Q4

Index 881 850 892.5 900

At the first settlement date, the equity-return payer in the swap will pay:

$40,810.

$4,638.

$41,310.

The equity-return payer will pay the index return minus the fixed rate at the initiation of the swap.

[(881/840 – 1) – 0.0075] × 1,000,000 = $41,309.52