Question 1

A commodity swap is (typically)

Accepted Answer

A) An agreement to exchange one commodity for another. 
B) An agreement to exchange the price on one commodity for a fixed amount on future dates. 
C) An agreement to exchange the return on one commodity for a fixed amount on future dates. 
D) A series of forward contracts on commodities at different forward prices. 
A) An agreement to exchange one commodity for another. 
B) An agreement to exchange the price on one commodity for a fixed amount on future dates. 
C) An agreement to exchange the return on one commodity for a fixed amount on future dates. 
D) A series of forward contracts on commodities at different forward prices.

Question 2

The USD-EUR spot exchange rate is $1.50/€.If the two-year interest rate (in continuously-compounded and annualized terms)is 3% for EUR and 2% for USD,what are the two-year forward points ($/€)expressed as usual in basis points?

Accepted Answer

A) Zero 
B) 100 
C) 300 
D) Cannot be calculated from the given data. 
A) Zero 
B) 100 
C) 300 
D) Cannot be calculated from the given data.

Question 3

A currency swap has more counterparty risk than an interest-rate swap because

Accepted Answer

A) Unlike an interest rate swap,the counterparties are usually in different countries,making the swap vulnerable to different legal systems. 
B) Unlike an interest rate swap,the currency swap also involves an exchange and re-exchange of principal amounts,making the swap vulnerable to movements in exchange rates. 
C) Foreign exchange markets have more credit risk than interest rate markets. 
D) Each counterparty is less likely to default in its home currency than in a foreign currency. 
A) Unlike an interest rate swap,the counterparties are usually in different countries,making the swap vulnerable to different legal systems. 
B) Unlike an interest rate swap,the currency swap also involves an exchange and re-exchange of principal amounts,making the swap vulnerable to movements in exchange rates. 
C) Foreign exchange markets have more credit risk than interest rate markets. 
D) Each counterparty is less likely to default in its home currency than in a foreign currency.

Question 4

Which of the following statements is most valid?

Accepted Answer

A) The forward exchange rate is higher than the spot exchange rate if the foreign currency risk premium is positive. 
B) The currency that pays a higher interest rate trades at a premium in the forward exchange market. 
C) The currency that pays a higher interest rate trades at a discount in the forward exchange market. 
D) Whether the forward exchange rate is higher than the spot depends on the relative volatilities of interest rates in the two currencies. 
A) The forward exchange rate is higher than the spot exchange rate if the foreign currency risk premium is positive. 
B) The currency that pays a higher interest rate trades at a premium in the forward exchange market. 
C) The currency that pays a higher interest rate trades at a discount in the forward exchange market. 
D) Whether the forward exchange rate is higher than the spot depends on the relative volatilities of interest rates in the two currencies.

A commodity swap is (typically)

The USD-EUR spot exchange rate is $1.50/€.If the two-year interest rate (in continuously-compounded and annualized terms)is 3% for EUR and 2% for USD,what are the two-year forward points ($/€)expressed as usual in basis points?

A currency swap has more counterparty risk than an interest-rate swap because

Which of the following statements is most valid?

Overview

Futures Markets

Pricing Forwards and Futures I

Pricing Forwards Futures II

Hedging With Futures Forwards

Interest-Rate Forwards Futures

Options Markets

Options: Payoffs Trading Strategies

No-Arbitrage Restrictions

Early-Exercise/Put-Call Parity

Option Pricing: An Introduction

Binomial Option Pricing

Implementing the Binomial Model

The Black-Scholes Model

Mathematics of Black-Scholes

Beyond Black-Scholes

The Option Greeks

Path-Independent Exotic Options

Exotic Options II: Path-Dependent Options

Value at Risk

Swaps and Floating Rate Products

Equity Swaps

Term Structure of Interest Rates: Concepts

Estimating the Yield Curve

Modeling Term Structure Movements

Factor Models of the Term Structure

The Heath-Jarrow-Morton Hjmand Libor Market Model LMM

Credit Derivative Products

Structural Models of Default Risk

Reduced-Form Models of Default Risk

Modeling Correlated Default

Filters

Exam 23: Currency and Commodity Swaps

A commodity swap is (typically)

The USD-EUR spot exchange rate is $1.50/€.If the two-year interest rate (in continuously-compounded and annualized terms)is 3% for EUR and 2% for USD,what are the two-year forward points ($/€)expressed as usual in basis points?

A currency swap has more counterparty risk than an interest-rate swap because

Which of the following statements is most valid?

Overview

Futures Markets

Pricing Forwards and Futures I

Pricing Forwards Futures II

Hedging With Futures Forwards

Interest-Rate Forwards Futures

Options Markets

Options: Payoffs Trading Strategies

No-Arbitrage Restrictions

Early-Exercise/Put-Call Parity

Option Pricing: An Introduction

Binomial Option Pricing

Implementing the Binomial Model

The Black-Scholes Model

Mathematics of Black-Scholes

Beyond Black-Scholes

The Option Greeks

Path-Independent Exotic Options

Exotic Options II: Path-Dependent Options

Value at Risk

Swaps and Floating Rate Products

Equity Swaps

Term Structure of Interest Rates: Concepts

Estimating the Yield Curve

Modeling Term Structure Movements

Factor Models of the Term Structure

The Heath-Jarrow-Morton Hjmand Libor Market Model LMM

Credit Derivative Products

Structural Models of Default Risk

Reduced-Form Models of Default Risk

Modeling Correlated Default

Filters