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1、金程教育 WWW.GFEDU.NET 专业领先增值 1 - 98 2015 FRM Level I 百题巅峰班 金融市场与产品 CD2: quarterly, 8.00%; CD3: semiannually, 8.05%; and CD4: continuous, 7.95%. Which CD has the highest EAR? A. CD1 B. CD2 C. CD3 D. CD4 Answer: D The effective annual rate is: 金程教育 WWW.GFEDU.NET 专业领先增值 6 - 98 c n R n R EAR11 ,EARe1 n EAR
2、 of CD1 = 8.11% EAR of CD2 = 8.24% EAR of CD3 = 8.21% EAR of CD4 = 8.27 Key Point: Forward Interest Rate Forward rates are interest rates implied by the spot curve for a specified future period. The forward rate between 1 Tand 2 Tcan be calculated as: 221 11 forward221 2121 R TR TT RR(RR ) TTTT 11.
3、The zero rate of three years is 4.6%, the zero rate of four years is 5.0%. Please calculate the 1-year forward rate there years from today. A. 6.2% B. 6.0% C. 5.5% D. 4.8% Answer: A 221 1 forward 21 R TR T5.0%44.6% 3 R6.2% TT43 12. The interest rate for a 1-year period is 5% and the rate for a 2-yea
4、r period is 6%. Assuming continuous compounding, what is the forward rate for the period from the end of the first year to the second year? A. 6.9991% B. 7.0000% C. 7.0009% D. 8.0000% Answer: B 1,2 F 5%6% 2 e ee . Taking the log of both side, 5%+ F1,2=6% 2，F1,2=7% 13. Given the following bonds and f
5、orward rates: 金程教育 WWW.GFEDU.NET 专业领先增值 7 - 98 Maturity YTM Coupon Price 1 year 4.5% 0% 95.694 2 years 7% 0% 87.344 3 years 9% 0% 77.218 1-year forward rate one year from today = 9.56% 1-year forward rate two years from today = 10.77% 2-year forward rate one year from today = 11.32% Which of the fol
6、lowing statements about the forward rates, based on the bond prices, is true? A. The 1-year forward rate one year from today is too low. B. The 2-year forward rate one year from today is too high. C. The 1-year forward rate two years from today is too low. D. The forward rates and bond prices provid
7、e no opportunities for arbitrage. Answer: C 1-year forward rate one year from today = 1.072/1.045 1 = 9.56% 1-year forward rate two years from today = 1.093/1.072 1 = 13.11% 2-year forward rate one year from today = (1.093/1.045)0.5 1 = 11.32%. 14. The term structure of interest rates is upward-slop
8、ing. Put the following in order of magnitude: The 5-year zero rate=a; The yield on a 5-year coupon-bearing bond=b The forward rate corresponding to the period between 5 and 5.25 years in the future=c. What is the answer to this question when the term structure of interest rates is upward-sloping? A.
9、 cab B. acb C. cba D. bac Answer: A Key Point: Forward Rate Agreement (FRA) 21 21 (LFRA)(TT ) the settlement day value for the long = (Nominal Principal) 1+L (TT ) KEY CONCEPT A long FRA position benefits from an increase in rates. A short FRA positions similar to a long position in a bond. Its dura
10、tion is positive and equal to the difference between the two maturities. 金程教育 WWW.GFEDU.NET 专业领先增值 8 - 98 15. A long position in a FRA 2 5 is equivalent to the following positions in the spot market: A. Borrowing in two months to finance a five-month investment B. Borrowing in five months to finance
11、 a two-month investment C. Borrowing half a loan amount at two months and the remainder at five months D. Borrowing in two months to finance a three-month investment Answer: B An FRA defined as t1 t2 involves a forward rate starting at time t1 and ending at time t2. The buyer of this FRA locks in a
12、borrowing rate for months 3 to 5.This is equivalent to borrowing for five months and reinvesting the funds for the first two months. 16. ABC, Inc., entered a forward rate agreement (FRA) to receive a rate of 3.75%with continuous compounding on a principal of USD 1 million between the end of year 1 a
13、nd the end of year 2. The zero rates are 3.25% and 3.50%for one and two years. What is the value of the FRA when the deal is just entered? A. USD 35,629 B. USD 34,965 C. USD 664 D. USD 0 Answer: D The market-implied forward rate is given by 21,2 2 R1 F1 R2 ee, or F1,2=2 3.50-1 3.25=3.75%. Given that
14、 this is exactly equal to the quoted rate, the value must be zero. If instead this rate was 3.50%, for example, the value would be: V=$1,000,000 (3.75%-3.50%) (2-1) e (-3.5% 2) =2,331 金程教育 WWW.GFEDU.NET 专业领先增值 9 - 98 17. Consider the buyer of a 6 9 FRA. The contract rate is 6.35% on a notional amoun
15、t of $10 million. Calculate the settlement amount of the seller if the settlement rate is 6.85%. Assume a 30/360 day count basis. A. -12,500 B. -12,290 C. +12,500 D. +12,290 Answer: B The seller of an FRA agrees to receive fixed. Since rates are now higher than the contract rate, this contract must show a loss for the seller. The losses $10,000,000 (6.85%6.35%) (90/360) = $12,500 when paid in arrears, i.e., in nine months. On the settlement date, i.e., brought forward by three months, the loss is $12,500/(1+6.85% 0.25) =$12,290. Key Point: Margin Mar
