2021年1月23日发(作者：aquarian)

































FRM
一级模拟题



1 .

Imagine a stack-and-roll hedge of monthly commodity deliveries that you continue for the
next five years. Assume the hedge ratio is adjusted to take into effect the mistiming of cash flows
but is not adjusted for the basis risk of the 'hedge. In which of the following situations is your
calendar basis risk likely to be greatest?





A.


Stack and roll in the front month in oil futures.





B.


Stack and roll in the 12-month contract in natural gas futures.





C.


Stack and roll in the 3-year contract in gold futures.





D.


All four situations will have the same basis risk.
Answer: A
Explanation:
The
oil
term
structure
is
highly
volatile
at
the
short
end,
making
a
front-month
stack-and-roll hedge heavily exposed to basis fluctuations. In natural gas, much of the movement
occurs at the front end, as well, so the 12-month contract won't move as much. In gold, the term
structure rarely moves much at all and won't begin to compare with oil and gas.

2 . A calendar spread in the S&P futures contracts (long 100 December contracts and short 100
March contracts) carry which of the following major market risk(s) ?





I


Equity risk.





II

Interest rate risk.





III

Dividend risk.





A.

I, II, and III





B.

I only





C.

I and III only





D.

II and III only
Answer: A


3 . Which .of the following trade(s) contain basis risk?
I


Long l,000 lots Nov 07 ICE Brent Oil contracts and short l,000 lots Nov 07 NYMEX WTI Crude
Oil contracts
II

Long l,000 lots Nov 07 ICE Brent Oil contracts and long 2,000 lots Nov 07

ICE Brent Oil at-the-money put
III

Long l,000 lots Nov 07 ICE Brent Oil contracts and short l,000 lots Dec 07




ICE Brent Oil contracts
IV Long l,000 lots Nov 07 ICE Brent Oil contracts and short l,OOO lots Dec 07




NYMEX WTI Crude Oil contracts .
A.


II and IV only
B.


I and III only
C.


I, III and IV only
D.


III and IV only








.




Answer: C
There is mainly basis risk for positions that are both long and short either different months or
contracts. Position II is long twice the same contract and thus has no basis risk (but a lot of
directional risk).

4
.
Consider
an
FRA
(forward
rate
agreement)
'with
the
same
maturity
and
compounding
frequency
as
a
Eurodollar
futures
contract.
The
FRA
has
a
LIBOR
underlying.
Which
of
the
following statements are true about the relationship between the forward rate and the futures
rate?




A.


The forward rate is normally higher than the futures rate.




B.


They have no fixed relationship.




C.


The forward rate is normally lower than the futures rate.




D.


They should be exactly the same.
Answer: C
Equation (8.4) shows that the futures rate exceeds the forward rate.
Refer to convexity adjustment.

5 .
A
three-month
futures
contract
on
an
equity
index
is
currently
priced
at
USD
1,000.
The
underlying index stocks are valued at USD 990 and pay dividends at a continuously compounded
rate of 2% and the current continuously compounded risk-free rate is 4%. The potential arbitrage
profit per contract, given this set of data, is closest to





A.

USD 10.00





B.

USD 7.50





C.

USD 5.00





D.

USD l.50
Answer: C