2010年5月FRM1级第三部分金融市场与产品模拟练习题答案（2010年3月21日上海王迪共50题）.pdf

a. Enter into a 10-year pay fixed and receive floating interest rate swap. b. Enter into a 10-year receive fixed and pay floating interest rate swap. c. Establish a long position in 10-year Treasury Note futures. d. Buy a call option on 10-year Treasury Note futures. Answer: a Explanation: a. is correct. An increase in rates will increase the value of the hedge position and offset the loss in value from the Bond position. b. is incorrect. An increase in rates will decrease the value of the hedge position and add to the loss in value from the Bond position. c. is incorrect. An increase in rates will decrease the value of the futures position and add to the loss in value from the Bond position. d. is incorrect. An increase in rates (all else equal), will decrease the value of the call option and add to the loss in value from the Bond position. 4. The current price of stock ABC is USD 42 and the call option with a strike at USD 44 is trading at USD 3. Expiration is in one year. The put option with the same exercise price and same expiration date is priced at USD 2. Assume that the annual risk-free rate is 10% and that there is a risk-free bond paying the risk-free rate that can be shorted costlessly. There are no transaction costs. Which of the following trading strategies will result in arbitrage profits? a. Long position in both the call option and the stock, and short position in the put option and risk-free bond. b. Long position in both the call option and the put option, and short position in the stock and risk-free bond. c. Long position in both the call option and risk-free bond, and short position in the stock and the put option. d. Long position in both the put option and the risk-free bond, and short position in the stock and the call option. Answer: c Explanation: a. is incorrect as this would not yield arbitrage profit b. is incorrect as this would not yield arbitrage profit c. is correct The put