DERIVATIVES Quiz 6
Authored by Chaima Fredj
Business
University
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5 questions
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1.
MULTIPLE CHOICE QUESTION
45 sec • 1 pt
What does the bond futures quotation 98-12 mean
The bond price is 98 and settles in December
The bond price is 98.375
The bond price is 98.12
2.
MULTIPLE CHOICE QUESTION
30 sec • 1 pt
The price of the cheapest to deliver is computed through
Most recent settlement price x conversion factor + accrued interest
(Most recent settlement price + accrued interest) x conversion factor
Last trade price x conversion factor + accrued interest
3.
MULTIPLE CHOICE QUESTION
45 sec • 1 pt
Convexity adjustment is computed the following way
Futures rate = Forward rate – ½* variance *T1*T2
Forward rate = Futures rate – ½* variance *T1*T2
Forward rate = Futures rate + ½* variance *T1*T2
4.
MULTIPLE CHOICE QUESTION
30 sec • 1 pt
What is the difference between duration and sensitivity?
They are the same when we are in the continuous interest case
Duration is only useful to compute the adjusted maturity
Sensitivity is always higher than duration
5.
MULTIPLE CHOICE QUESTION
30 sec • 1 pt
To price a bond, you need the following information
The yield to maturity
The zero coupon yield curve
Both yield to maturity and zero coupon yield
None of the above
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