题目 The price of a dividend-paying stock is $44.00 while the risk-free rate is 3.0%. Consider a European call option and a European put option with identical strike prices, K = $40.00, and [...]
题目 Your bank is an active player in the commodity market. The view of the economist of the bank is that inflation is expected to rise moderately in the near term and market volatility is expected [...]
题目 Consider a one-year barrier call option on a non-dividend-paying stock with a volatility of 30.0% per annum when the stock's price is $25.00 and the option's strike price is $20.00. The [...]
题目 The credit risks to the fixed-rate payer in a swap: 选项 A.increase when floating rates are below the swap rate. B.increase when floating rates rise above the swap rate. C.are greatest just [...]
题目 Whichof the following actions in the banking system is most likely intended toaddress the problem of moral hazard? 选项 A.Deposit insurers charge risk-based premiums. B.Banks increase loans [...]
题目 In a plain vanilla swap party A pays a fixed rate 8.49% per annum on a semiannual basis (180/360), and receives from Party B LIBOR 30 basis point. The current six-month LIBOR rate is 7.35% per [...]
题目 If the conditional prepayment rate (CPR) for a pool of mortgages is assumed to be 5% on an annual basis and the weighted average maturity of the underlying mortgages is 15 years, which of the [...]
题目 Two banks enter into a 1-year plain vanilla interest-rate swap with the following terms:Notional principal is $500,000,000. ● The fixed component of the swap is 7%, which is the current [...]
题目 With respect to currency swaps, EACH of the following is TRUE except: 选项 A.Unlike a vanilla interest rate swap, principal is exchanged at the beginning of a currency or cross-currency swap [...]
