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【单选】 Jayce Arnold, a CFA candidate, is studying how the market yield environment affects bond prices. She considers a $1,000 face value, option-free bond issued at par. Which of the following statements about the bond’s dollar price behavior is most likely accurate when yields rise and fall by 200 basis points, respectively? Price will:
A. increase by $124, price will decrease by $149.
B. decrease by $149, price will increase by $124.
C. decrease by $124, price will increase by $149.
D. increase by $149, price will decrease by $124.
【单选】 Vijay Ranjin, CFA, is a portfolio manager with Golson Investment Group. He manages a fixed-coupon bond portfolio with a face value of $120.75 million and a current market value of $116.46 million. Golson’s economics department has forecast that interest rates are going to change by 50 basis points. Based on this forecast, Ranjin estimates that the portfolio’s value will increase by $2.12 million if interest rates fall and will decrease by $2.07 million if interest rates rise. Which of the following choices is closest to the portfolio’s effective duration?
A. 0.4
B. 3.6
C. 2.9
D. 4.3
【单选】June Klein, CFA, manages a $200 million (market value) U.S. government bond portfolio for a large institution. Klein anticipates a small, parallel shift in the yield curve of 10 basis points and wants to fully hedge the portfolio against any such change. Klein would like to use the T-bond futures contract to implement the hedge. She tabulates some essential information about her portfolio and the corresponding futures contract. The results are shown in Table 1.Table 1: Portfolio and Treasury Bond Futures Contract CharacteristicsValue of Portfolio:$100,000,000Duration of Portfolio:8.88438Mar-00 Futures:94.15625Settlement Date:02/17/00Final Delivery Date:03/31/00First Delivery Date:03/01/00Klein is not as comfortable with the T-bond futures contract as she would like to be. Consequently, she decides to familiarize herself with the characteristics of the futures contract and its associated delivery process. She collects all of the deliverable bonds for the futures contract. This information is shown in Table 2. Klein will test her understanding using the highlighted bond in Table 2. The price value of a basis point (PVBP) are per $1 million par value.Table 2: Treasury Bonds Deliverable for T-Bond Futures ContractCouponMaturity or first call datePrice(flat)Accrued interestYTM/YTCPVBP $ per million parDurationConversion factorCost of delivery10.000%11/15/15133 24/322.58246.534%1211.22841.175923.0331Klein's broker supplies the characteristics of the Treasury bond that is currently the cheapest-to-deliver bond. These are shown in Table 3.Table 3: Cheapest-to-Deliver Treasury BondCouponMaturity or first call datePrice(flat)AccruedinterestYTM/YTCPVBP $ permillion parDuration ConversionfactorCost ofdelivery13.250%11/15/17135.43753.42179.166%1110.08147.994291.4899-4.8502Klein wants to compute the interest rate sensitivity of the highlighted bond in Table 2. She assumes that the yield increases by one basis point. How much, per $1 million par position, will the value of this bond change (to the nearest dollar)?
A. -$12.
B. $121,123.
C. -$1,211.
D. -$121,123.
【单选】Rachel Barlow is a recent graduate of Columbia University with a Bachelor’s degree in finance. She has accepted a position at a large investment bank, but first must complete an intensive training program to gain experience in several of the investment bank’s areas of operations. Currently, she is spending three months at her firm's Derivatives Trading desk. One of the traders, Jason Coleman, CFA, is acting as her mentor, and will be giving her various assignments over the three month period. One of the first projects he asks her to do is to compare different option trading strategies. Coleman would like Barlow to pay particular attention to strategy costs and their potential payoffs. Barlow is not very comfortable with option models, and knows she needs to be able to fully understand the most basic concepts in order to move on. She decides that she must first investigate how to properly price European and American style equity options. Coleman has given her software that provides a variety of analytical information using three valuation approaches: the Black-Scholes model, the Binomial model, and Monte Carlo simulation. Barlow has decided to begin her analysis using a variety of different scenarios to evaluate option behavior. The data she will be using in her scenarios is provided in Exhibits 1 and 2. Note that all of the rates and yields are on a continuous compounding basis. Exhibit 1 Stock Price (S) $100 Strike Price (X) $100 Interest Rate (r) 7% Dividend Yield (q) 0% Time to Maturity(years) 0.5 Volatility (Std. Dev.) 20% Exhibit 2 Stock Price (S) $110 Strike Price (X) $100 Interest Rate (r) 7% Dividend Yield (q) 0% Time to Maturity(years) 0.5 Volatility (Std. Dev.) 20% Value of EuropeanCall $14.8445 Barlow notices that the stock in Exhibit 1 does not pay dividends. If the stock begins to pay a dividend, how will the price of a call option on that stock be affected?
A. Decrease.
B. Increase.
C. Be unchanged.
D. Increase or decrease.
【单选】Ronald Franklin, CFA, has recently been promoted to junior portfolio manager for a large equity portfolio at Davidson-Sherman (DS), a large multinational investment-banking firm. He is specifically responsible for the development of a new investment strategy that DS wants all equity portfolio managers to implement. Upper management at DS has instructed its portfolio managers to begin overlaying option strategies on all equity portfolios. The relatively poor performance of many of their equity portfolios has been the main factor behind this decision. Prior to this new mandate, DS portfolio managers had been allowed to use options at their own discretion, and the results were somewhat inconsistent. Some portfolio managers were not comfortable with the most basic concepts of option valuation and their expected return profiles, and simply did not utilize options at all. Upper management of DS wants Franklin to develop an option strategy that would be applicable to all DS portfolios regardless of their underlying investment composition. Management views this new implementation of option strategies as an opportunity to either add value or reduce the risk of the portfolio. Franklin gained experience with basic options strategies at his previous job. As an exercise, he decides to review the fundamentals of option valuation using a simple example. Franklin recognizes that the behavior of an option's value is dependent on many variables and decides to spend some time closely analyzing this behavior. His analysis has resulted in the information shown in Exhibits 1 and 2 for European style options.Exhibit 1: Input for European Options Stock Price (S)100Strike Price (X)100Interest Rate (r)0.07Dividend Yield (q)0.00Time to Maturity (years) (t)1.00Volatility (Std. Dev.)(Sigma)0.20Black-Scholes Put Option Value$4.7809Exhibit 2: European Option Sensitivities Sensitivity Call Put Delta0.6736-0.3264Gamma0.01800.0180Theta-3.97972.5470Vega36.052736.0527Rho55.8230-37.4164Using the information in Exhibit 1, Franklin wants to compute the value of the corresponding European call option. Which of the following is the closest to Franklin's answer?
A. $4.78.
B. $5.55.
C. $11.54.
D. $12.07.
【单选】John Starwall, CFA, is assigned the task of estimating the risk and return for security X, which is being considered as an addition to his current portfolio. If the investment is accepted, then the total portfolio will consist of five different equities that are not highly correlated. Security X has an estimated beta of 1.4. The probabilities of various states of the economy and the expected return for security X given each state are as follows:State of Economy Pi E(Ri) Recession0.30.01Average Economy0.60.10Boom0.10.20Based on the information above, what is the estimated standard deviation for security X?
A. 5.6%.
B. 0.3%.
C. 10.1%.
D. 7.8%.
【单选】Tiny Tykes Corporation had the following activity relating to its fixed and variable overhead for the month of July:If the budgeted rate for applying variable overhead was $20 per direct labor hour, what is the actual variable rate for applying variable overhead
A. 20
B. 19
C. 15
D. 17.78
【单选】Alex Company had the following inventories at the beginning and end of the month of January: Alex Company applies factory overhead at a rate of 60% of direct labor cost, and any overapplied or underapplied factory overhead is deferred until the end of the year, January 31 Alex Company’s cost of goods sold for January was
A. $697,000
B. $681,000
C. $673,000
D. $657,000
【单选】Over the past several years, McFadden Industries has experienced the following regarding the company’s shipping expenses: McFadden’s expected shipping costs for the coming year are
A. $4,800
B. $16,000
C. $20,000
D. $20,800
【单选】 Given the payoff diagram shown below of an option combined with a long position in a stock, which of the following statements most accurately describes the profit or loss potential to the holder of the combined position?
A. The maximum profit on the long call is unlimited.
B. The maximum loss on the long put is its cost.
C. The maximum profit on the short put is $2.
【单选】 Given the covered call option diagram below and the following information, what are the dollar values for points X and Y? The market price of the stock is $70, the strike price of the call is $80, and the call premium is $5. Point X Point Y
A.

$80 $5

B.

$75 $15

C.

$80 $15
【单选】 Donner Foliette holds stock in Hamilton Properties, which is currently trading at $25.70 per share. On the advice of this investment advisor, he conducts a covered call transaction at a strike price of $30 and at a premium of $3.50. The advisor drew the following graph to help explain the transaction. Which of the following statements about this transaction is least accurate?
A. Foliette believes the stock will appreciate significantly in the near future.
B. The call buyer paid $3.50 for the right to any gain above $30.
C. If the stock price falls to $23, Foliette will gain $0.80 per share.
【单选】 Collete Minogue holds stock in Bracken Entertainment. Although many of her associates still believe that Bracken will be a high-performing stock, Minogue has lost faith and wants to conduct a covered call transaction. Current market conditions are as follows: Stock price (S) at $33 per share. Strike price of $39. Premium of $5. No transaction costs. In assessing whether she should conduct the covered call strategy, Minogue sketches out the following graph. Although her sketch is correct, she cannot remember all the labels. Which of the following statements about the graph and the covered call strategy is least accurate?
A. The call writer will have unlimited upside potential.
B. The distance between points C and D is $5.
C. If Minogue goes ahead with the covered call, she will limit her gain to $11.
【单选】 Given the profit and loss diagram of two options at expiration shown below which of the following statements is most accurate?
A. The stock price would have to increase above $45 before the seller of the call starts losing money.
B. The maximum profit to the short put is $5.
C. Between a stock price of $40 and $45 the long call’s profit is between $0 and $5.
【单选】 Consider a fixed-for-floating interest rate swap based on 180-day LIBOR with a notional principal of $100 million. Given the above diagrams, at the end of year 3:
A. A pays B $1 million.
B. A pays B $2.5 million.
C. A pays B $1.25 million.
【单选】 A U.S. bank enters into a plain vanilla currency swap with a notional principal of US$100m (£67m). At each settlement date, the U.S. bank pays a fixed rate of 8% on the pounds received, and an English bank pays a variable rate equal to London Interbank Offered Rate (LIBOR) on the U.S. dollars received. Given the following information, what payment is made to whom at the end of year 2? The U.S. bank pays:
A. £5.36m and the English bank pays US$6m.
B. US$5.5m and the English bank pays £5.36m.
C. £5.36m and the English bank pays US$5.5m.
【单选】 A U.S. bank enters into a plain vanilla currency swap with a German bank. The swap has a notional principal of US$15m (Euro 15.170m). At each settlement date, the U.S. bank pays a fixed rate of 6.5 percent on the Euros received, and a German bank pays a variable rate equal to LIBOR+2 percent on the U.S. dollars received. Given the following information, what payment is made to whom at the end of year 2? U.S. bank pays German bank pays
A.

Euro 986,050 US$975,000

B.

Euro 986,050 US$1,275,000

C.

US$975,000 Euro 986,050
【单选】 Which of the following statements is CORRECT concerning the above diagram? Counterparty:
A. B pays a fixed rate to counterparty A.
B. A will gain in the swap when interest rates increase.
C. B will gain in the swap when interest rates increase.
【单选】 Consider a swap with a notional principal of $100 million. Given the above diagrams, which of the following statements is CORRECT? At time period 2:
A. A pays B $2 million.
B. B pays A $1 million.
C. A pays B $7 million and B pays A $8 million.
【单选】 Consider a swap with a notional principal of $120 million. Given the above diagrams, which of the following statements is CORRECT? At the end of 360 days:
A. A pays B $13.2 million and B pays A $12 million.
B. A pays B $1.2 million.
C. A pays B $0.6 million.
【单选】 Travis Dillard, CFA, is the equity return receiver in a monthly-pay equity swap. If the equity index declines by 2% in a month, Dillard must pay the swap counterparty an amount of cash that is:
A. equal to 2% of the notional amount of the swap.
B. less than 2% of the notional amount of the swap.
C. greater than 2% of the notional amount of the swap.
【单选】 Jan Jurgen, CFA charterholder, recently accepted a position in the Treasury area of a conservatively managed commercial bank. Jurgen intends to suggest the use of plain-vanilla interest rate swaps at today’s Asset & Liability Management Committee meeting. Jurgen is least likely to argue that the use of interest rate swaps will:
A. avoid costly regulations.
B. reduce the exposure from the mismatch between floating rate assets and fixed rate liabilities.
C. create arbitrage profits by exploiting market inefficiencies.
【单选】 The following value diagram illustrates a:
A. long call option.
B. long put option.
C. short put option.
【单选】 The following value diagram illustrates a:
A. short call option.
B. short put option.
C. long put option.
【单选】 William Morgan, CFA, manages a fixed-income portfolio that contains several bonds with embedded options. Morgan would like to evaluate the sensitivity of his portfolio to large interest rate changes and will therefore use a convexity measure in addition to duration. The convexity measure that will best estimate the price sensitivity of Morgan’s portfolio is:
A. effective convexity.
B. modified convexity.
C. either effective or modified convexity.
【单选】 Donald McKay, CFA, is analyzing a client’s fixed income portfolio. As of the end of the last quarter, the portfolio had a market value of $7,545,000 and a portfolio duration of 6.24. McKay is predicting that the yield for all of the securities in the portfolio will decline by 25 basis points next quarter. If McKay’s prediction is accurate, the market value of the portfolio:
A. will increase by approximately 6.24%.
B. at the end of the next quarter will be approximately $7,427,300.
C. will increase by approximately $117,700.
【单选】 Vijay Ranjin, CFA, is a portfolio manager with Golson Investment Group. He manages a fixed-coupon bond portfolio with a face value of $120.75 million and a current market value of $116.46 million. Golson’s economics department has forecast that interest rates are going to change by 50 basis points. Based on this forecast, Ranjin estimates that the portfolio’s value will increase by $2.12 million if interest rates fall and will decrease by $2.07 million if interest rates rise. Which of the following choices is closest to the portfolio’s effective duration?
A. 4.3.
B. 3.6.
C. 0.4.
【单选】 Jayce Arnold, a CFA candidate, is studying how the market yield environment affects bond prices. She considers a $1,000 face value, option-free bond issued at par. Which of the following statements about the bond’s dollar price behavior is most likely accurate when yields rise and fall by 200 basis points, respectively? Price will:
A. decrease by $124, price will increase by $149.
B. increase by $149, price will decrease by $124.
C. decrease by $149, price will increase by $124.
【单选】James Walters, CFA, has collected data on the three year term structure of interest rates, shown in the table below as bond equivalent yields. Term Structure of Interest Rates Year Spot Rate 0.50 5.5227% 1.00 5.5537% 1.50 5.5444% 2.00 5.5205% 2.50 5.5114% 3.00 5.5156% Walters would like to compute the price of a Treasury note with a coupon rate of 5.375% paid semi-annually and 1.5 years left to maturity. The price of this note is closest to:
A. 98.65.
B. 99.76.
C. 99.64.
【单选】 James Walters, CFA, is an active fixed income portfolio manager. He manages a portfolio of fixed income securities worth$7,500,000 for an institutional client. Walters expects a widening yield spread between intermediate and long term securities. He would like to capitalize on his expectations and considers several transactions in a number of different securities. On 01/31/2005, Walters expects the yield of the 2-Year Treasury Note to decrease by 10 basis points and the yield of the 30-Year Treasury Bond to increase by 11 basis points. The characteristics of these two fixed income securities are shown in Table 1. Prices are quoted as a percentage of par value. Table 1 Security Characteristics 2-Year T-Note 30-Year T-Bond Maturity 01/31/07 11/15/34 Bid-Ask Spread (basis points) 5.0 5.0 Coupon 5.375% 6.125% Bid Price 99.7236 104.6086 Ask Price 99.7736 104.6586 Yield to Maturity 5.51% 5.80% Price Value of a Basis Point 186.6484 1461.1733 He also has the three year term structure of interest rates. This is shown in Table 2. Table 2 Term Structure of Interest Rates Year Spot Rate 0.50 5.5227% 1.00 5.5537% 1.50 5.5444% 2.00 5.5205% 2.50 5.5114% 3.00 5.5156% Walters thinks of several different trading strategies that would allow him to take advantage of his expectations. He would like to evaluate each strategy to determine which offers the best risk-return tradeoff. Compute the yield spread between the T-Note and T-Bond given the information in Table 1.
A. 0.00%.
B. 0.29%.
C. 0.75%.

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