Hull:Options,FuturesandOtherDerivatives,NinthEditionChapter6:InterestRateFuturesMultipleChoiceTestBank:QuestionsandAnswers1.WhichoffollowingisapplicabletocorporatebondsintheUnitedStates?A.Actual/360B.Actual/ActualC.30/360D.Actual/365Answer:CCorporatebondsintheU.Sareusuallyquotedwitha30/360daycount.Thismeansthatthereareassumedtobe30dayspermonthand360daysperyearwhenthelengthofanaccrualperiodiscalculated.2.ItisMay1.ThequotedpriceofabondwithanActual/Actual(inperiod)daycountand12%perannumcoupon(paidsemiannually)intheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A.106.00B.106.02C.105.98D.106.04Answer:CThecashpriceisthequotedpriceplusaccruedinterest.Thereare30actualdaysbetweenApril1andMay1and183actualdaysbetweenApril1andOctober1.Inthiscasethequotedpriceis105andtheaccruedinterestis0.06×100×30/183=0.98.Theansweristherefore105.98.3.ItisMay1.Thequotedpriceofabondwitha30/360daycountand12%perannumcouponintheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A.106.00B.106.02C.105.98D.106.04Answer:AThecashpriceisthequotedpriceplusaccruedinterest.Thereare30assumeddaysbetweenApril1andMay1and180assumeddaysbetweenApril1andOctober1.Inthiscasethequotedpriceis105andtheaccruedinterestis0.06×100×30/180=1.00.Theansweristherefore106.00.4.Themostrecentsettlementbondfuturespriceis103.5.Whichofthefollowingfourbondsischeapesttodeliver?A.Quotedbondprice=110;conversionfactor=1.0400.B.Quotedbondprice=160;conversionfactor=1.5200.C.Quotedbondprice=131;conversionfactor=1.2500.D.Quotedbondprice=143;conversionfactor=1.3500.Answer:CThecostofdeliveringabondisthequotedbondpriceminusthemostrecentsettlementpricetimestheconversionfactor.Thisis2.36,2.68,1.625,and3.275forbondsinA,B,C,andD,respectively.ThebondinCisthereforecheapesttodeliver.5.WhichofthefollowingisNOTanoptionopentothepartywithashortpositionintheTreasurybondfuturescontract?A.TheabilitytodeliveranyofanumberofdifferentbondsB.ThewildcardplayC.Thefactthatdelive...
