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【单选题】
Immunization through duration matching of assets and liabilities may be ineffective or inappropriate because________
A.
conventional duration strategies assume a flat yield curve.
B.
duration matching can only immunize portfolios from parallel shifts in the yield curve.
C.
immunization only protects the nominal value of terminal liabilities and does not allow for inflation adjustment.
D.
conventional duration strategies assume a flat yield curve, and immunization only protects the nominal value. of terminal liabilities and does not allow for inflation adjustment.
E.
All of the options are correct.
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举一反三
【单选题】Immunization is not a strictly passive strategy because________
A.
it requires choosing an asset portfolio that matches an index.
B.
there is likely to be a gap between the values of assets and liabilities in most portfolios.
C.
it requires frequent rebalancing as maturities and interest rates change.
D.
durations of assets and liabilities fall at the same rate.
E.
None of the options are correct.
【单选题】Which of the following two bonds is more price sensitive to changes in interest rates?1) A par value bond, X, with a 5-year year to maturity and a 10% coupon rate.2) A zero-coupon bond, Y, with a 5-ye...
A.
Bond X because of the higher yield to maturity.
B.
Bond X because of the longer time to maturity.
C.
Bond Y because of the longer duration.
D.
Both have the same sensitivity because both have the same yield to maturity.
E.
None of the options are correct.
【单选题】A futures contract ________
A.
is an agreement to buy or sell a specified amount of an asset at the spot price on the expiration date of the contract.
B.
is an agreement to buy or sell a specified amount of an asset at a predetermined price on the expiration date of the contract.
C.
gives the buyer the right, but not the obligation, to buy an asset sometime in the future.
D.
is a contract to be signed in the future by the buyer and the seller of the commodity.
E.
None of the options are correct.
【单选题】The terms of futures contracts, such as the quality and quantity of the commodity and the delivery date, are ________
A.
specified by the buyers and sellers.
B.
specified only by the buyers.
C.
specified by the futures exchanges.
D.
specified by brokers and dealers.
E.
None of the options are correct.
【单选题】The duration of a perpetuity with a yield of 8% is________
A.
13.50 years.
B.
12.11 years.
C.
6.66 years.
D.
Cannot be determined
【单选题】The buyer of a futures contract is said to have a __________ position, and the seller of a futures contract is said to have a __________ position in futures.
A.
long; short
B.
long; long
C.
short; short
D.
short; long
E.
margined; long
【单选题】A trader who has a __________ position in wheat futures believes the price of wheat will __________ in the future.
A.
long; increase
B.
long; decrease
C.
short; increase
D.
long; stay the same
E.
short; stay the same
【单选题】You purchased one corn future contract at \$2.29 per bushel. What would be your profit (loss) at maturity if the corn spot price at that time were $2.10 per bushel? Assume the contract size is 5,000 b...
A.
$950 profit
B.
$95 profit
C.
$950 loss
D.
$95 loss
E.
None of the options are correct.
【单选题】If you determine that the S&P 500 Index futures is overpriced relative to the spot S&P 500 Index, you could make an arbitrage profit by ________
A.
buying all the stocks in the S&P 500 and selling put options on the S&P 500 Index.
B.
selling short all the stocks in the S&P 500 and buying S&P Index futures.
C.
selling all the stocks in the S&P 500 and buying call options on the S&P 500 Index.
D.
selling S&P 500 Index futures and buying all the stocks in the S&P 500.
E.
None of the options are correct.
【单选题】Delivery of stock index futures ________
A.
is never made.
B.
is made by a cash settlement based on the index value.
C.
requires delivery of 1 share of each stock in the index.
D.
is made by delivering 100 shares of each stock in the index.
E.
is made by delivering a value-weighted basket of stocks.