MA6534 DERIVATIVE MARKETS

50
1.考虑一个四年期的债券，每半年支付9％的息票。债券的YTM为7％：

（a）保证金的修改期限[4分]
（b）键的凸度[6分]
[总计：10分]
2.零息债券的当前收益率曲线如下：

1 909.09
2 811.62
3 711.78
4 608.52
（a）计算每个债券的到期收益率（YTM），并评论债券的形状

（b）隐含的一年远期汇率是多少？ [3分]
（c）期限结构的预期假设的关键假设是什么？
[1分]
（d）假设期限结构的预期假设是正确的，那将是

[总计：10分]

3.对还是错？简要解释（或限定）您的答案。
（a）普通股的现值是未来的增长函数

（b）原则上，股票的市场价格等于该流的折现值

（c）因为折现率来自

（d）成长型股票应具有增加的股息或收益。 [2分]
（e）管理人员应最大化公司的当前市场价值，但仅当最大化时

[总计：10分]
4. James决定对一份看跌期权合约和一份看涨期权合约“做多”

（CBOE）。看跌期权的当前报价为\$ 0：4，看涨期权的当前报价为\$ 0：15。

（a）构造詹姆斯的策略的payo表。这应该包括付款和净额

（b）GE的价格应该是多少才能使James收支平衡？ [4分]
[总计：10分]

SECTION A
These questions will each be marked out of 10. Candidates
can attempt all six questions, BUT total mark is capped at
50.
1. Consider a four-year bond paying a 9% coupon semi-annually. The bond’s YTM is 7%:
Calculate:
(a) the bond’s modi ed duration [ 4 marks ]
(b) the bond’s convexity [ 6 marks ]
[Total: 10 marks ]
2. The current yield curve for zero coupon bonds is as follows:
Assume a principal/face value of \$1000
Maturity (yrs) Price (\$)
1 909.09
2 811.62
3 711.78
4 608.52
(a) Calculate the yield to maturity (YTM) of each bond, and comment on the shape of the
term structure. [ 3 marks ]
(b) What are the implied one year forward rates. [ 3 marks ]
(c) What is the key assumption of the expectations hypothesis of the term structure ?
[ 1 marks ]
(d) Assuming that the expectations hypothesis of the term structure is correct, what will be
the YTM of one and two year zero coupon bonds? [ 3 marks ]
[Total: 10 marks ]

(a) The present value of a share of common stock is an increasing function of the future
growth rate of earnings per share. [ 2 marks ]
(b) In principle, the market price of a share of stock equals the discounted value of the stream
of future earnings per share. [ 2 marks ]
(c) Present value is good to value only traded assets since the discount rate comes from
returns on traded assets. [ 2 marks ]
(d) Growth stocks should either have growing dividends or earnings. [ 2 marks ]
(e) Managers should maximise the rm’s current market value, but only when maximization
does not create unacceptable risks for shareholders. [ 2 marks ]
[Total: 10 marks]
4. James decided to \go long” on one put option contract and one call option contract in General
Electric (GE). Option contracts in GE are traded in the Chicago Board Options Exchange
(CBOE). The current price quote for the put option is \$0:4, and for the call option is \$0:15.
The strike price of the put is \$30 and of the call is \$50. Both contracts have the same
expiration, which is ve months from now. Assume that the share price of GE evolves as
follows:
Month June July August Sept Oct
Price 20 30 40 50 60
(a) Construct the payo table of James’s strategy. This should include the pay-o and net
pay-o for each option strategy and the combined strategy. [ 6 marks ]
(b) What should the price of GE be so that James can break-even? [ 4 marks ]
[Total: 10 marks ]