91. A series of interest rate put options that expire on different dates but have the same exercise rate is best defined as a (n):
A. interest rate cap. B. interest rate floor. C. interest rate collar.
92. The party making the fixed-rate payment under a swap contract could also have to make the variable payment on that contract if the payments are related to a (n):
A. equity swap. B. currency swap. C. interest rate swap.
93. An investor establishes a short position in a futures contract on Day 0 when the price per contract is $100. The investor deposits $5 per contract to meet the initial margin requirement. The maintenance margin requirement per contract is $3. The Day 1 settlement price that would require the investor deposit additional funds on Day 2 equal to $4 per contract is closest to:
A. $96. B. $103. C. $104.作者: bingning 时间: 2009-6-29 15:39
91. A series of interest rate put options that expire on different dates but have the same exercise rate is best defined as a (n):
A. interest rate cap. B. interest rate floor. C. interest rate collar.
Answer: B “Option Markets and Contracts,” Don M. Chance 2009 Modular Level I, Volume 6, pp. 90-93 Study Session 17-70-d Define interest rate caps, and floors, and collars. An interest rate floor is a series of put options on an interest rate, with each option expiring at the date on which the floating loan rate will be reset, and with each option having the same exercise rate.
92. The party making the fixed-rate payment under a swap contract could also have to make the variable payment on that contract if the payments are related to a (n):
A. equity swap. B. currency swap. C. interest rate swap.
Answer: A “Swap Markets and Contracts,” Don M. Chance 2009 Modular Level I, Volume 6, pp. 130-141 Study Session17-71-b Define and give examples of currency swaps, plain vanilla interest rate swaps, and equity swaps and calculate and interpret the payments on each. If the value of the index on which the swap is based declines, the resulting negative return would have to be paid by the party making the fixed-rate payment. This characteristic is one of the distinguishing features of equity swaps.
93. An investor establishes a short position in a futures contract on Day 0 when the price per contract is $100. The investor deposits $5 per contract to meet the initial margin requirement. The maintenance margin requirement per contract is $3. The Day 1 settlement price that would require the investor deposit additional funds on Day 2 equal to $4 per contract is closest to:
A. $96. B. $103. C. $104.
Answer: C “Futures Markets and Contracts,” Don M. Chance 2009 Modular Level I, Volume 6, pp. 55-60 Study Session 17-69-c Describe price limits and the process of marking to market, and compute and interpret the margin balance, given the previous day’s balance and the change in the futures price. The investor has a short position and will experience a margin call only if the price increases. Additional margin must be deposited to bring the ending balance up to the initial margin requirement. The investor must deposit $4 therefore, the margin balance on Day 1 is -$4 which would result if the price of the contract was $104.作者: viss 时间: 2010-11-6 22:40
