PRMIA 8006 Quiz 1 Topic 10 Questions 1-5

Question: 1

The vast majority of exchange traded futures contracts are:

Aclosed by an offsetting trade prior to expiry

Bsettled using physical settlements

Ccash settled upon expiry

Dsettled by delivery

Show Answer

Question: 2

A 15 year bond is trading at par. Its modified duration is 11 years and convexity is 80. Determine the price of the bond following a 10 basis point increase in interest rates

A$98.90

B$101.104

C$101.096

D$98.904

Show Answer

Question: 3

Which of the following statements are true:

1. An yield curve plots zero coupon spot rates for different maturities for bonds with different credit ratings

II. An yield curve represents the term structure of interest rates for similar instruments across a range of maturities

III. The liquidity preference theory explains why the yield curve can be downward sloping

IV. The term structure refers to the relationship between bond yields and bond maturities

AI and II

BI, II, III and IV

CII and IV

DIII and IV

Show Answer

Question: 4

The volatility of commodity futures prices is affected by

Athe volatility of the convenience yields

Bthe volatility of spot prices

Cthe volatility of interest rates that drive the funding cost of the futures positions

Dall of the above

Show Answer

Question: 5

Which of the following markets are characterized by the presence of a market maker always making two-way prices?

AExchanges

BOTC markets

CECNs

DDark pools

Show Answer

PRMIA 8006 Quiz:1 Topic:10 Questions:1-5