Chapter 5 Currency Derivatives練習(xí)

1、Chapter 5 Currency Derivatives 1. Kalons, Inc. is a U.S.-based MNC that frequently imports raw materials from Canada. Kalons is typically invoiced for these goods in Canadian dollars and is concerned that the Canadian dollar will appreciate in the near future. Which of the following is not an approp

2、riate hedging technique under these circumstances? A) purchase Canadian dollars forward. B) purchase Canadian dollar futures contracts. C) purchase Canadian dollar put options. D) purchase Canadian dollar call options.ANSWER: C2. Graylon, Inc., based in Washington, exports products to a German firm

3、and will receive payment of 200,000 in three months. On June1, the spot rate of the euro was $1.12, and the 3-month forward rate was $1.10. On June 1, Graylon negotiated a forward contract with a bank to sell 200,000 forward in three months.The spot rate of the euroon September 1 is $1.15. Graylon w

4、ill receive $_ for the euros.A) 224,000 B) 220,000 C) 200,000 D) 230,000ANSWER: BSOLUTION: 200,000 x $1.10 = $220,000 3. The one-year forward rate of the British pound is quoted at $1.60, and the spot rate of the British pound is quoted at $1.63. The forward _ is _ percent. A) discount; 1.9 B) disco

5、unt; 1.8 C) premium; 1.9 D) premium; 1.8p = F S SANSWER: BSOLUTION: (F/S) 1 = ($1.60/$1.63) 1 = -1.8 percent.4. The 90-day forward rate for the euro is $1.07, while the current spot rate of the euro is $1.05. What is the annualized forward premium or discount of the euro? A) 1.9 percent discount. B)

6、 1.9 percent premium. C) 7.6 percent premium. D) 7.6 percent discount.ANSWER: Cp = F S 360SnSOLUTION: (F/S) 1 x 360/90 = 7.6 percent.5. Thornton, Inc. needs to invest five million Nepalese rupees in its Nepalese subsidiary to support local operations. Thornton would like its subsidiary to repay the

7、rupees in one year. Thornton would like to engage in a swap transaction. Thus, Thornton would: A) convert the rupees to dollars in the spot market today and convert rupees to dollars in one year at todays forward rate. B) convert the dollars to rupees in the spot market today and convert dollars to

8、rupees in one year at the prevailing spot rate. C) convert the dollars to rupees in the spot market today and convert rupees to dollars in one year at todays forward rate. D) convert the dollars to rupees in the spot market today and convert rupees to dollars in one year at the prevailing spot rate.

9、ANSWER: C6. In the U.S., the typical currency futures contract is based on a currency value in terms of: A) euros. B) U.S. dollars. C) British pounds. D) Canadian dollars.ANSWER: B 7. Currency futures contracts sold on an exchange: A) contain a commitment to the owner, and are standardized. B) conta

10、in a commitment to the owner, and can be tailored to the desire of the owner. C) contain a right but not a commitment to the owner, and can be tailored to the desire of the owner. D) contain a right but not a commitment to the owner, and are standardized.ANSWER: A8. Currency options sold through an

11、options exchange: A) contain a commitment to the owner, and are standardized. B) contain a commitment to the owner, and can be tailored to the desire of the owner. C) contain a right but not a commitment to the owner, and can be tailored to the desire of the owner. D) contain a right but not a commi

12、tment to the owner, and are standardized.ANSWER: D9. Currency options are traded through the GLOBEX system at the: A) Chicago Board Options Exchange when the trading floor is open. B) Chicago Mercantile Exchange when the trading floor is open. C) Chicago Mercantile Exchange even after the trading fl

13、oor is closed. D) Philadelphia Exchange even after the trading floor is closed. E) Chicago Board Options Exchange even after the trading floor is closed.ANSWER: C10. Forward contracts: A) contain a commitment to the owner, and are standardized. B) contain a commitment to the owner, and can be tailor

14、ed to the desire of the owner. C) contain a right but not a commitment to the owner, and can be tailored to the desire of the owner. D) contain a right but not a commitment to the owner, and are standardized.ANSWER: B11. Which of the following is the most likely strategy for a U.S. firm that will be

15、 receiving Swiss francs in the future and desires to avoid exchange rate risk (assume the firm has no offsetting position in francs)? A) purchase a call option on francs. B) sell a futures contract on francs. C) obtain a forward contract to purchase francs forward. D) all of the above are appropriat

16、e strategies for the scenario described.ANSWER: B 12. Which of the following is the most unlikely strategy for a U.S. firm that will be purchasing Swiss francs in the future and desires to avoid exchange rate risk (assume the firm has no offsetting position in francs)? A) purchase a call option on f

17、rancs. B) obtain a forward contract to purchase francs forward. C) sell a futures contract on francs. D) all of the above are appropriate strategies for the scenario described.ANSWER: C13. If your firm expects the euro to substantially depreciate, it could speculate by _ euro call options(看漲期權(quán)) or _

18、 euros forward in the forward exchange market. A) selling; selling B) selling; purchasing C) purchasing; purchasing D) purchasing; sellingANSWER: A14. When you own _, there is no obligation on your part; however, when you own _, there is an obligation on your part. A) call options; put options B) fu

19、tures contracts; call options C) forward contracts; futures contracts D) put options; forward contractsANSWER: D15. The greater the variability of a currency, the _ will be the premium of a call option on this currency, and the _ will be the premium of a put option on this currency, other things equ

20、al. A) greater; lower B) greater; greater C) lower; greater D) lower; lowerANSWER: B16. When currency options are not standardized and traded over-the-counter, there is _ liquidity and a _ bid/ask spread. 買賣差價A) less; narrower B) more; narrower C) more; wider D) less; widerANSWER: D 17. The shorter

21、the time to the expiration date for a currency, the _ will be the premium of a call option, and the _ will be the premium of a put option, other things equal. A) greater; greater B) greater; lower C) lower; lower D) lower; greaterANSWER: C18. Assume that a speculator purchases a put option on Britis

22、h pounds (with a strike price of $1.50) for $.05 per unit. A pound option represents 31,250 units. Assume that at the time of the purchase, the spot rate of the pound is $1.51 and continually rises to $1.62 by the expiration date. The highest net profit possible for the speculator based on the infor

23、mation above is: A) $1,562.50. B) -$1,562.50. C) -$1,250.00. D) -$625.00.ANSWER: BSOLUTION: The premium of the option is $.05 x (31,250 units) = $1,562.50. Since the option will not be exercised, the net profit is -$1,562.50.19. Which of the following is true?A) The futures market is primarily used by speculators while the forward market is primarily used for hedging. 期貨投機(jī) 遠(yuǎn)期套利 B) The futures market is primarily used for hedging while the forward market is primarily use