最新的PRMIA Exam I: Finance Theory Financial Instruments Financial Markets - 2015 Edition - 8006免費考試真題
問題1
According to the CAPM, the beta of a risky asset depends upon:
正確答案: C
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問題2
Which of the following is NOT true about a fixed rate bond:
I. The higher the coupon, the lower the duration
II. The higher the coupon, the lower the convexity
III. If the bond is callable, it has negative modified duration
IV. If the bond is callable, the bond has negative convexity
I. The higher the coupon, the lower the duration
II. The higher the coupon, the lower the convexity
III. If the bond is callable, it has negative modified duration
IV. If the bond is callable, the bond has negative convexity
正確答案: A
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問題3
Which of the following statements are true?
I. Macaulay duration of a coupon bearing bond is unaffected by changes in the curvature of the yield curve.
II. The numerical value for modified duration will be different for bonds with identical nominal coupons and maturity but different compounding frequencies.
III. When rates are expressed as continuously compounded, modified duration and Macaulay duration are the same.
IV. Convexity is higher for a bond with a lower coupon when compared to a similar bond with a higher coupon.
I. Macaulay duration of a coupon bearing bond is unaffected by changes in the curvature of the yield curve.
II. The numerical value for modified duration will be different for bonds with identical nominal coupons and maturity but different compounding frequencies.
III. When rates are expressed as continuously compounded, modified duration and Macaulay duration are the same.
IV. Convexity is higher for a bond with a lower coupon when compared to a similar bond with a higher coupon.
正確答案: D
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問題4
If the CHF/USD spot rate is 1.1010 and the one year forward is 1.1040, what is the annualized forward premium or discount, and the one year swap rate?
正確答案: C
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問題5
[According to the PRMIA study guide for Exam 1, Simple Exotics and Convertible Bonds have been excluded from the syllabus. You may choose to ignore this question. It appears here solely because the Handbook continues to have these chapters.] The profit potential from the conversion of convertible bonds into stock is limited by
正確答案: C
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問題6
Which of the following statements are true:
I. The swap rate, also called the swap spread, is initially calculated so that the value of the swap at inception is zero.
II. The value of a swap at initiation is different from zero and is equal to the difference between the NPV of the cash flows of the two legs of the swap III. OTC swaps are standardized and limited to a defined set of standard contracts IV. Interest rate and commodity swaps are the types of swaps that are most traded
I. The swap rate, also called the swap spread, is initially calculated so that the value of the swap at inception is zero.
II. The value of a swap at initiation is different from zero and is equal to the difference between the NPV of the cash flows of the two legs of the swap III. OTC swaps are standardized and limited to a defined set of standard contracts IV. Interest rate and commodity swaps are the types of swaps that are most traded
正確答案: B
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問題7
An investor enters into a 4 year interest rate swap with a bank, agreeing to pay a fixed rate of 4% on a notional of $100m in return for receiving LIBOR. What is the value of the swap to the investor two years hence, immediately after the net interest payments are exchanged? Assume the current zero coupon bond yields for 1,
2 and 3 years are 5%, 6% and 7% respectively. Also assume that the yield curve stays the same after two years (ie, at the end of year two, the rates for the following three years are 5%, 6%, and 7% respectively).
2 and 3 years are 5%, 6% and 7% respectively. Also assume that the yield curve stays the same after two years (ie, at the end of year two, the rates for the following three years are 5%, 6%, and 7% respectively).
正確答案: C
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問題8
An asset manager holds an equity portfolio valued at $25m with a beta of 0.8. She would like to reduce the beta of the portfolio to 0.6 for the next 3 months using index futures. Index futures are curently trading at
1450, and the contract multiple is 250. How should the asset manager trade the index futures to get his desired result? Assume her portfolio is well diversified.
1450, and the contract multiple is 250. How should the asset manager trade the index futures to get his desired result? Assume her portfolio is well diversified.
正確答案: B
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問題9
Buying an option on a futures contract requires:
正確答案: B
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