Hull:Options,FuturesandOtherDerivatives,NinthEditionChapter6:InterestRateFuturesMultipleChoiceTestBank:Questions1.WhichoffollowingisapplicabletocorporatebondsintheUnitedStates?A.Actual/360B.Actual/ActualC.30/360D.Actual/3652.ItisMay1.ThequotedpriceofabondwithanActual/Actual(inperiod)daycountand12%perannumcoupon(paidsemiannually)intheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A.106.00B.106.02C.105.98D.106.043.ItisMay1.Thequotedpriceofabondwitha30/360daycountand12%perannumcouponintheUnitedStatesis105.Ithasafacevalueof100andpayscouponsonApril1andOctober1.Whatisthecashprice?A.106.00B.106.02C105.98D.106.044.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=1.3500.5.WhichofthefollowingisNOTanoptionopentothepartywithashortpositionintheTreasurybondfuturescontract?A.TheabilitytodeliveranyofanumberofdifferentbondsB.ThewildcardplayC.ThefactthatdeliverycanbemadeanytimeduringthedeliverymonthD.Theinterestrateusedinthecalculationoftheconversionfactor6.AtraderentersintoalongpositioninoneEurodollarfuturescontract.Howmuchdoesthetradergainwhenthefuturespricequoteincreasesby6basispoints?A.$6B.$150C.$60D.$6007.ThebondsthatcanbedeliveredinaTreasurybondfuturescontractareA.AssetsthatprovidenoincomeB.AssetsthatprovideaknowncashincomeC.AssetsthatprovideaknownyieldD.Noneoftheabove8.AnultraT-bondfuturescontractisonewhereA.Bondswithmaturitieslessthan3yearscanbedeliveredB.Bondswithmaturitieslessthan10yearscanbedeliveredC.Bondswithmaturitiesgreaterthan15yearscanbedeliveredD.Bondswithmaturitiesgreaterthan25yearcanbedelivered9.Aportfolioisworth$24,000,000.ThefuturespriceforaTreasurynotefuturescontractis110andeachcontractisforthedeliveryofbondswithafacevalueof$100,000.Onthedeliverydatethedurationofthebondthatisexpectedtobecheapestt...
