超星 - 作业三（最新）

单选题

Which of the following is NOT a theory of the term structure

A. Expectations theory
B. Market segmentation theory
C. Liquidity preference theory
D. Maturity preference theory

单选题

A repo rate is

An uncollateralized rate
B. A rate where the credit risk is relative high
C. The rate implicit in a transaction where securities are sold and bought back later at a higher price
D. None of the above

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单选题

Which of following is applicable to corporate bonds in the United States?

Actual/360
B. Actual/Actual
C. 30/360
D. Actual/365

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单选题

The most recent settlement bond futures price is 103.5. Which of the following four bonds is cheapest to deliver?

A. Quoted bond price = 110; conversion factor = 1.0400.
B. Quoted bond price = 160; conversion factor = 1.5200.
C. Quoted bond price = 131; conversion factor = 1.2500.
D. Quoted bond price = 143; conversion factor = 1.3500.

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单选题

A trader enters into a long position in one Eurodollar futures contract. How much does the trader gain when the futures price quote increases by 6 basis points?

A. $6
B. $150
C. $60
D. $600

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单选题

The bonds that can be delivered in a Treasury bond futures contract are

Assets that provide no income
B. Assets that provide a known cash income
C. Assets that provide a known yield
D. None of the above

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单选题

How much is a basis point?

A. 1.0%
B. 0.1%
C. 0.01%
D. 0.001%

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单选题

Which of the following day count conventions applies to a US Treasury bond?

Actual/360
B. Actual/Actual (in period)
C. 30/360
D. Actual/365

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单选题

The conversion factor for a bond is approximately

A. The price it would have if all cash flows were discounted at 6% per annum
B. The price it would have if it paid coupons at 6% per annum
C. The price it would have if all cash flows were discounted at 8% per annum
D. The price it would have if it paid coupons at 8% per annum

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单选题

Duration matching immunizes a portfolio against

Any parallel shift in the yield curve
B. All shifts in the yield curve
Changes in the steepness of the yield curve
D. Small parallel shifts in the yield curve

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