8006試験無料問題集「PRMIA Exam I: Finance Theory Financial Instruments Financial Markets - 2015 Edition 認定」

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トータル 290 問
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It is October. A grower of crops is concerned that January temperatures might be too low and destroy his crop.
A heating-degree-days futures contract (HDD futures contract) is available for his city. What would be the best course of action for the grower?

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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.

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Using a single step binomial model, calculate the delta of a call option where future stock prices can take the values $102 and $98, and the call option payoff is $1 if the price goes up, and zero if the price goes down.
Ignore interest.

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What is the notional value of one equity index futures contract where the value of the index is 1500 and the contract multiplier is $50:

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A currency with a lower interest rate will trade:

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If the zero coupon spot rate for 3 years is 5% and the same rate for 2 years is 4%, what is the forward rate from year 2 to year 3?

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Which of the following statements is false:

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A)

B)

C)

D)

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Where futures are being used to hedge a commodities position, which of the following formulae should be used to determine the number of futures contracts to buy (or sell)?

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The price of an interest rate cap is determined by:
I. The period to which the cap relates
II. Volatility of the underlying interest rate
III. The exercise or the strike rate
IV. The risk free rate

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The relationship between covariance and correlation for two assets x and y is expressed by which of the following equations (where covarx,y is the covariance between x and y, x and y are the respective standard deviations and x,y is the correlation between x and y):
A)

B)

C)

D)
None of the above

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Which of the following is NOT a historical event which serves as an example of a short squeeze that happened in the markets?

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The value of which of the following options cannot be less than its intrinsic value

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Theta for a call option:

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Profits and losses on futures contracts are:

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Which of the following statements is true:
I. The OTC market for foreign exchange is much larger than the exchange traded futures market for foreign currencies II. DVP arrangements help avoid the risk of counterparty defaults on settlements III. Exchanges offer the advantage of lower trading costs than ECNs IV. ISDA master agreements form the basis of a large number of OTC derivative trades

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What would be the total all in price payable on an 5% annual coupon bond quoted at a clean price of $98, where the settlement date is 60 days after the latest coupon payment. Use Act/360 day basis.

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A treasury bond paying a 4% coupon is sold at a discount. Assume that the yield curve stays flat and constant over the next one year. The price of the bond one year hence can be expected to:

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If a firm is financed equally by debt and equity, and the cost of debt is 10% per annum and the cost of equity is
14%, what is the weighted average cost of capital for the firm if taxes are 25%?

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トータル 290 問