《诺丁汉DI2013试卷试卷》由会员分享，可在线阅读，更多相关《诺丁汉DI2013试卷试卷（6页珍藏版）》请在金锄头文库上搜索。
1、 P14090-E1 P14090-E1 TURN OVER The University of Nottingham Ningbo, China DIVISION OF INTERNATIONAL BUSINESS A LEVEL 4 MODULE, SPRING SEMESTER 2008-2009 DERIVATIVE INVESTMENT Time allowed TWO HOURS _ Candidates may complete the front cover of the answer book and sign the attendance card Candidates m
2、ust NOT start writing their answers until told to do so Answer Any THREE Questions Only silent, self contained calculators with a Single-Line Display or Dual-Line Display are permitted in this examination. Dictionaries are not allowed with one exception. Those whose first language is not English may
3、 use a standard translation dictionary to translate between that language and English provided that neither language is the subject of this examination. Subject specific translation dictionaries are not permitted. No electronic devices capable of storing and retrieving text, including electronic dic
4、tionaries, may be used. DO NOT turn examination paper over until instructed to do so ADDITIONAL MATERIAL: Normal distribution table attached INFORMATION FOR INVIGILATORS: The exam papers are to be collected at the end of the exam. 2 P14090-E1 P14090-E1 Question 1 a) Outline the mark-to-market mechan
5、ism of futures market and the policies applied to manage the margin accounts. (30%) b) Derive and explain what the optimum hedge ratio with futures is. How might an equity portfolio manager time the market using stock index futures? (50%) c) A company must buy 1 m gallons of aircraft oil in 3 months
6、. The standard deviation of oil price returns is 0.032. The company hedges by buying futures contracts on heating oil. The standard deviation of futures price returns is 0.04 and the correlation coefficient between aircraft and heating oil prices is 0.8. What is the optimal hedge ratio? If each heat
7、ing future contract is on 42000 gallons, how many futures contracts should the company buy? (20%) Question 2 a) Outline what forward rate agreements and Eurodollar Futures are and how they may be settled. (35%) b) Calculate the quoted price of the following government bond futures: Suppose the Cheap
8、est to deliver (CTD) bond is a 14% treasury bond with conversion factor = 1.25 and quoted price = $130. Suppose that there are 270 days to maturity. CTD coupons are paid semi annually, the last coupon was paid 60 days ago, the next is due in 122 days, the next in 305 days. The continuously compounde
9、d term structure is flat at 10%. (45%) c) In October, a fund manager has $10 million invested in a portfolio of government bonds with duration of 8.2 years and wants to hedge against interest rate moves between October and December. The manager decides to use December T-bond futures. The futures pri
10、ce is 92.0275 for nominal value of $100,000 per contract and the duration of the cheapest to deliver bond is 9.5 years. How should the fund manager hedge his bond portfolio? (20%) 3 P14090-E1 P14090-E1 Question 3 a) An investor engaged in trading a 3-year forward contract on an asset priced at 100 i
11、n the spot market at the time. The contract requires the delivery of one unit of the underlying. Assume that the discrete risk-free rate is 4% per annum, and the spot price has increased to 120 one year later. Calculate the forward price and the value of the forward contract at the end of year one,
12、for each contact with the underlying asset 1, 2, and 3 bellow: 1. A stock pays 2.50 dividend at the end of each year. 2. A foreign currency with which the risk-free rate is 3% per annum. 3. A commodity with storage costs of 5 at the end of each year. (60%) b) Suppose the S&P 500 stock index is at $2
13、95 and the six-month futures contract on that index is at $300. If the prevailing T-Bill rate is 7% per annum and the dividend rate is 5% per annum, both continuous compounding. Is there an arbitrage opportunity? If yes, how to make an arbitrage profit? Illustrate the cashflows associated with your
14、strategy. (40%) Question 4 a) Michelle Industries issued a Swiss franc-denominated 5-year discount note for SFr200 Million. The proceeds were converted to U.S. dollars to purchase capital equipment in the United States. The company wants to hedge this currency exposure and is considering the followi
15、ng alternatives: At the money Swiss franc call options. Swiss franc forwards. Swiss franc futures. 1. Contrast the essential characteristics of each of these three derivatives instruments. 2. Evaluate the suitability of each in relation to Michelles hedging objective, including both advantages and d
16、isadvantages. (40%) b) Company A wishes to borrow fixed rate. Company B wishes to borrow floating rate. A is a less creditworthy company than B. Company A can borrow fixed at 10.5% per annum and floating at LIBOR+1% per annum. Company B can borrow fixed at 8% per annum and floating at LIBOR per annum. Design a swap so that the benefit is equally shared by the two companies. Assume the intermediary bank charges 0.25% from each company. Illustrate the net borrowing costs for both companies. (40%)
