BANKING ACADEMY OF VIETNAMFINAL EXAMINATION
BANKING FACULTYFINANCIAL DERIVATIVES - FIN67A
NO: 03
Applied to: Full time studentsDuration: 90 minutes
Examination date^jL.!!>?> J//^.f.^Choosing date:
Represented by ITTiQA Dept:.^ruvJvF.Approved by:
Part A: Multiple choice questions (2 marks)
1.Financial derivative contracts arc traded in ETM arc:
A.futures, Options and Swap
B.futures and Options
C.Forwards and Options
13. forwards, Swaps and Options
2.Person who participates in derivatives market to fix their revenues and costs in future is
A.SpeculatorC. Market maker
B.ArbitrageurD. Hedger
3.Which one is not true about the characteristics of a forward contract?
A.is a bilateral agreement between two parties
B.is traded in OTC
C.is held to maturity
1). is more liquid than a futures contract
4.Forwards exchange rate docs NOT depend on:
A.Spot price
B.Interest rate of domestic currency
C.Interest rate of foreign currency
13. Position of the trader (Long or short)
5.The short hedge is applied when the investor wants to an asset in the future and is
exposed to the risk of.price
A.Buy, decreasingC. Sell, decreasing
B.Buy, increasing13. Sell, increasing
6.In future contract, the investor has the right to withdraw money when the balance in the
margin account is ...(1)... than ....(2)...
A.Higher, initial marginC. Higher, maintenance margin
B.Lower, initial margin13. Lower, maintenance margin
7.A long position in the plain vanilla swap can be regarded as aposition in a fixed rate bond
and aposition in a floating rate bond:
A.Long, shortC. short, long
B.Long, longD. short, short
8.in the currency swap, the principals
A.arc notional principals.
B.will be exchanged at initiation
C.will be exchanged at initiation and maturity
13. arc denominated in one currency
9.An investor pays $3 for a put option with an exercise price of $35. If the stock price moves to $34,
the intrinsic value and time value of the put option would be:
A.$2;$1C$1; $2
B.$0; $313. $3; $0
10.The price of stock is $31 and the price of a three-month European call option on the stock with a
strike price of $30 is $2. The risk-free rate is 10% pa. The price of a three-month European put
option with a strike price of $30 will be closest to:
A.$2.1
B.$1
C$1.3
I). $0.3
Part B: Short answer (2 marks)
11.Trung Nguyen company needs 1 ton of coffee on March 1st 2022.
a.What is the risk Trung Nguyen company would be exposed to?
b.Which hedging strategy (long or short) on future contract Trung Nguyen would apply? Why?
12.You purchased a stock at $37. The price of a call option on the stock with a strike price of $40 is
$2
a.List the positions in covered call strategy you could design.
b.What is the target of this strategy?
Part C: Problem solving (6 marks)
13.Company X wishes to borrow VND loan at a fixed rale of interest. Company Y wishes to borrow
USD loan at a fixed rate of interest. The companies have been quoted the following interest rates
VNI3
Company^
1L5% 5%
Company Y 9.5% 4%
Design a swap that will net a bank and will appear equally attractive to both companies and ensure
that all foreign exchange risk is assumed by the bank. The gain of bank is 0.2%.
14.Suppose that 3-month. 6-month, 9-month, 12-month, and 15-month zero rates arc,
respectively, 5%, 5.2%, 5.4%, 5.6%, and 5.8% per amium, with continuous compounding, a. Estimate
the cash price of a bond with a face value of 100 that will mature in 15 months and pays a coupon of
12% per annum quarterly.
b. Estimate the cash price of a bond with a face value of 100 that will mature in 12 months and pays
a coupon of 12% per annum scmiannually.
15.A 12-month short forward contract on $2000 is entered into when the exchange rate is
22.000VND/USD and the risk-free rate of interest is 8% per annum in Vietnam and 5% per annum
in the US with continuous compounding. Assume that the risk-free interest rates arc constant.
a.What is the 12-month forward exchange rate?
b.Six months later, the exchange rate is 24.000VND/USD. What is the value of the forward contract?
formulas
FQ =VrT
Fo = (So - ly-' fshorl = (K- Bfl = (L + k'^^'^'
Fo = (S0+_U)er c+KefrT __= p + So
