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LOS b, (Part 2): Explain the equivalence of a plain vanilla swap to a combination of an interest rate call and interest rate put.
Q1. Writing a series of interest-rate puts and buying a series of interest-rate calls, all at the same exercise rate, is equivalent to:
A) being the floating-rate payer in an interest rate swap.
B) being the fixed-rate payer in an interest rate swap.
C) a short position in a series of forward rate agreements.
Q2. For a 1-year quarterly-pay swap, an equivalent position with short puts and long calls would involve:
A)three put-call combinations expiring on the first three settlement dates of the swap.
B)put-call combinations expiring on each of the four settlement dates.
C)three put-call combinations on the last three settlement dates of the swap.
Q3. The fixed-rate receiver in a plain vanilla interest rate swap has a position equivalent to a series of:
A) long interest-rate puts and short interest-rate calls.
B) long interest-rate puts.
C) short interest-puts and long interest-rate calls.
Q4. The fixed-rate payer in an interest-rate swap has a position equivalent to a series of:
A) short interest-rate puts and long interest-rate calls.
B) long interest-puts and short interest-rate calls.
C) long interest-rate puts and calls.
Q5. Which of the following is equivalent to a pay-fixed swap with a tenor of two years with semi-annual swap payments and a fixed rate of 6% (exchanged for LIBOR)? The notional principal is $100,000,000.
A) A forward rate agreement, which obligates the party to pay a fixed rate of 6% and receive six-month LIBOR on a notional principal of $100,000,000.
B) A strip of three forward rate agreements, which obligates the party to pay a fixed rate of 6% and receive six-month LIBOR on a notional principal of $100,000,000.
C) A strip of two forward rate agreements, which obligates the party to pay a fixed rate of 6% and receive six-month LIBOR on a notional principal of $100,000,000.
Q6. The floating-rate payer in a simple interest-rate swap has a position that is equivalent to:
A) issuing a floating-rate bond and a series of long FRAs.
B) a series of long forward rate agreements (FRAs).
C) a series of short FRAs.
Q7. Which of the following is equivalent to a receive-fixed swap with a tenor of one and a half years with semi-annual swap payments and a fixed rate of 5% (exchanged for London Interbank Offered Rate (LIBOR))? Assume that the notional principal is $10,000,000.
A) A strip of two forward rate agreements, which obligates the party to receive a fixed rate of 5% and pay six-month LIBOR on a notional principal of $10,000,000.
B) A forward rate agreement, which obligates the party to receive a fixed rate of 5% and pay six-month LIBOR on a notional principal of $10,000,000.
C) A strip of three forward rate agreements, which obligates the party to receive a fixed rate of 5% and pay six-month LIBOR on a notional principal of $10,000,000.
Q8. A plain vanilla interest-rate swap to the fixed-rate payer is equivalent to issuing a fixed-rate bond and:
A) buying a floating-rate bond.
B) selling a series of interest rate puts.
C) selling a series of interest rate calls.
Q9. Which of the following is equivalent to a plain vanilla receive-fixed interest rate swap?
A) A long position in a bond coupled with the issuance of a floating rate note.
B) A short position in a bond coupled with a long position in a floating rate note.
C) A short position in a bond coupled with the issuance of a floating rate note.
Q10. Which of the following is equivalent to a plain vanilla receive fixed currency swap?
A) A long position in a foreign bond coupled with the issuance of a dollar-denominated floating rate note.
B) A short position in a foreign bond coupled with a long position in a dollar-denominated floating rate note.
C) A short position in a foreign bond coupled with the issuance of a dollar-denominated floating rate note. | 
发表于 2009-4-2 09:17
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