1) Based on the information given, what initial price should Lewis recommend for a forward contract on the Treasury bond? ( )
* c" C( S7 c* w; @! i t+ c. ]+ S A. $1,035.12. ' K1 b) E, r9 d5 V
B. $1,073.54.
1 F, ^% B7 T' O5 x1 O C. $1,053.66. - d, R4 ^: m, Z7 z
D. $1,070.02. / H6 l& B! P% [: X0 v0 V3 i! A
2) Suppose that the price of the forward contract for the Treasury bond was negotiated off-market and the initial value of the contract was positive as a result. Which party makes a payment and when is the payment made? ()
( E5 t. l9 c# {. M# F% t A. The long pays the short at the maturity of the contract. : {3 f# c+ B+ R4 [+ [! D+ V S
B. The short pays the long at the initiation of the contract.
8 m- H' J* |$ b5 ^* h: j8 s4 Q6 w C. The short pays the long at the maturity of the contract. 5 G0 D/ n Z; f! [
D. The long pays the short at the initiation of the contract.
K: ^% R) a( J' I$ F! N1 S" Y; R 3) Suppose that instead of a forward contract on the Treasury bond, a similar futures contract was being considered. Which one of the following alternatives correctly gives the preference that an investor would have between a forward and a futures contract on the Treasury bond? ()
7 j) S0 C% d/ _ A. The futures contract will be preferred to the forward contract. , j: x8 z2 d ]
B. An investor would be indifferent between the two types of contracts.
% w% u( C' a, t1 K/ n- W+ e ] C. It is impossible to say for certain because it depends on the correlation between the underlying asset and interest rates. * x J$ o0 G! U! _5 W( w1 Z+ ~+ I
D. The forward contract will be preferred to the futures contract.
, K1 C/ n8 g- |7 }+ i3 I 4) Based on the information given, what initial price should Lewis recommend for the 3 x 9 FRA? () 4 `* o8 W4 B( Y% p3 F9 D
A. 4.96%.
* r v p1 L, y, Z B. 4.66%.
; h7 Y2 ]$ O; u( m) k8 I" j C. 5.96%. 0 n+ Q8 _- L- D3 x7 @4 [4 P
D. 5.66%. 6 k1 O4 J. P& X! y( v3 A
5) Based on the information given and assuming a notional principal of $10 million, what value should Lewis place on the 3 x 9 FRA at time of settlement? ()
: \% j5 \" m- u- s0 T5 U A. $38,000 paid from short to long. " |/ e4 [' }$ G( H" e6 c* j
B. $19,000 paid from long to short.
9 c! T, A+ X" N+ x+ K* [: c C. $37,218 paid from long to short.
2 @' I5 C, L* ]( y o( v% y9 f! m+ N D. $19,000 paid from short to long.
. s ]& O$ S @ N7 x SECTION THREE(Compulsory):Explanations of terms(25 points)
& B4 [8 D5 W' _$ x3 { 1. Security market line
. b) M& n# w# b 2. Negotiable certificates of deposit
5 ~9 |, e8 k( t7 W3 M2 B, Y- O 3. Risk premium ! y p% U# |$ L, `
4. Financial leasing
4 Q! ?8 |3 d8 {% G6 w y0 s' K 5. Asset Price Volatility # N" ~7 e2 ]! e" C/ N7 y) {
SECTION FOUR:Answer Questiones(32 points)
7 q! {8 n3 p' T' i d 1.What is the segmented markets theory?
$ V8 a; D p6 t9 |, m 2. What Are the Recent Trends in Reserves?
) j- D, K2 g1 b3 P; Q" b 3. Factors Affecting Choice of Investment Securities. $ c" f/ W3 {+ B- J
4.What is Behavioral Finance Theory? 5 B8 g8 g5 S* T( h
SECTION FIVE:Caculation(13 points) ; ]. L6 X0 U: @' A4 M
In 2008, Chinese consumption ( C) is 100 billion yuan ,and its investment(I) is 80 billion yuan, and its government expenditures ( G) is 50billion yuan, and its net exports (X - M) is 60billion.Please calculate the the value of total domestic output (Y) according to the absorption approach. / Y& g" h% m, c
SECTION SIX:CLOSE(10 points)
6 g) \* C- O1 Z1 q8 X0 A1 K Do you think what the effects of monetary and fiscal policies on a nation’s external balance are? And then fill in the blank.
s) P2 J! X: u (a) monetary policy |