| [ | |
| { | |
| "id": "financial_engineering_0", | |
| "question": "2015年3月29日，华夏上证50ETF基金的收盘价为¥2.649，4月份到期、行权价格为¥2.250的上证50ETF认购期权的收盘价为¥0.406，那么，该期权的内在价值或执行价值为____。", | |
| "A": "1.844", | |
| "B": "0.399", | |
| "C": "2.243", | |
| "D": "0.406", | |
| "answer": "B" | |
| }, | |
| { | |
| "id": "financial_engineering_1", | |
| "question": "下列关于可转换债券的描述，正确的是____。", | |
| "A": "与普通债券相同", | |
| "B": "是普通债券与期货的复合", | |
| "C": "是否转换的权利属于发行者", | |
| "D": "是普通债券与期权的复合", | |
| "answer": "D" | |
| }, | |
| { | |
| "id": "financial_engineering_2", | |
| "question": "如果股票价格上升，则该股票的看跌期权价格____。", | |
| "A": "下跌，上涨", | |
| "B": "下跌，下跌", | |
| "C": "上涨，下跌", | |
| "D": "上涨，上涨", | |
| "answer": "A" | |
| }, | |
| { | |
| "id": "financial_engineering_3", | |
| "question": "合约类型的标准划分不包括____。", | |
| "A": "远期", | |
| "B": "期货", | |
| "C": "期权", | |
| "D": "久期", | |
| "answer": "D" | |
| }, | |
| { | |
| "id": "financial_engineering_4", | |
| "question": "衍生金融工具市场的特点不包括____。", | |
| "A": "跨期交易", | |
| "B": "杠杆效应", | |
| "C": "不确定性和高风险性", | |
| "D": "套期保值和投机套利不共存", | |
| "answer": "D" | |
| }, | |
| { | |
| "id": "financial_engineering_5", | |
| "question": "____是金融衍生产品中相对简单的一种，交易双方约定在未来特定日期按既定的价格购买或出售某项资产。", | |
| "A": "金融期货合约", | |
| "B": "金融期权合约", | |
| "C": "金融远期合约", | |
| "D": "金融互换协议", | |
| "answer": "C" | |
| }, | |
| { | |
| "id": "financial_engineering_6", | |
| "question": "期货是一种标准化的金融合约，以下哪一项是一般的期货合约中没有被标准化的____。", | |
| "A": "合约规模", | |
| "B": "交割日期", | |
| "C": "交割方式", | |
| "D": "交割地点", | |
| "answer": "C" | |
| }, | |
| { | |
| "id": "financial_engineering_7", | |
| "question": "下列哪种外汇交易方式采取保证金制度____。", | |
| "A": "期货交易", | |
| "B": "期权交易", | |
| "C": "即期交易", | |
| "D": "互换交易", | |
| "answer": "A" | |
| }, | |
| { | |
| "id": "financial_engineering_8", | |
| "question": "若某股票看涨期权的套期保值率为0.6，则对于有相同到期日和到期价格的看跌期权的套期保值率为____。", | |
| "A": "0.6", | |
| "B": "0.4", | |
| "C": "-0.6", | |
| "D": "-0.4", | |
| "answer": "C" | |
| }, | |
| { | |
| "id": "financial_engineering_9", | |
| "question": "到期日之前，看涨期权的时间价值等于____。", | |
| "A": "实际的看涨期权价格减去期权的内在价值", | |
| "B": "零", | |
| "C": "看涨期权的内在价值", | |
| "D": "实际的看涨期权价格加上期权的内在价值", | |
| "answer": "A" | |
| }, | |
| { | |
| "id": "financial_engineering_10", | |
| "question": "在一段时间之前，某家公司签订了一项以150万美元买入100万英镑的远期合约，目前这一远期合约离到期日还剩6个月。6个月零息英国债券的日波动率为0.06$\\%$（价格在转换成美元后），6个月期限零息美元债券的波动率为0.05$\\%$，两个债券收益率的相关系数为0.8，当前的汇率为1.53，远期合约在一天内价值（以美元计算）变化的标准差为____。", | |
| "A": "537", | |
| "B": "357", | |
| "C": "819", | |
| "D": "213", | |
| "answer": "A" | |
| }, | |
| { | |
| "id": "financial_engineering_11", | |
| "question": "某交易员通过卖出6个月期限执行价格为25美元的看跌期权，同时买入6个月期限执行价格为29美元的看跌期权产生熊市差价，卖出期权的价格为2.15美元，买入期权的价格为4.75美元，当股票为23美元时，此熊市差价的最终回报为____。", | |
| "A": "1美元", | |
| "B": "2美元", | |
| "C": "3美元", | |
| "D": "4美元", | |
| "answer": "D" | |
| }, | |
| { | |
| "id": "financial_engineering_12", | |
| "question": "假设中国的A公司出售一批货物给美国的B公司，6个月后将收到3000万美元货款，A公司希望控制汇率风险，假定目前的即期中美汇率为1美元＝6.13元人民币，6个月期的远期汇率为1美元＝6.21元人民币，A公司可以购买6个月期美元看跌期权，其执行价格为1美元＝6.13元人民币，期权费每美元0.1元人民币。目前，人民币6个月期的年化利率是4$\\%$，而美元六个月期年化利率是0.5$\\%$，如果A公司决定用远期合约来套期保值，计算此次销售可确保获得的人民币收入为____。", | |
| "A": "18630万元", | |
| "B": "18640万元", | |
| "C": "18650万元", | |
| "D": "18660万元", | |
| "answer": "A" | |
| }, | |
| { | |
| "id": "financial_engineering_13", | |
| "question": "金融工具创新，以及其程序设计、开发和运用并对解决金融问题的创造性方法进行程序化的科学是____。", | |
| "A": "金融工程", | |
| "B": "金融制度", | |
| "C": "金融理论", | |
| "D": "金融经济学", | |
| "answer": "A" | |
| }, | |
| { | |
| "id": "financial_engineering_14", | |
| "question": "在期货交易中____是会员单位对每笔新开仓交易必须交纳的保证金。", | |
| "A": "基础保证金", | |
| "B": "初始保证金", | |
| "C": "追加保证金", | |
| "D": "变更追加保证金", | |
| "answer": "B" | |
| }, | |
| { | |
| "id": "financial_engineering_15", | |
| "question": "某企业3个月后需用美元支付200万欧元进口货款，预测汇率会有大幅度变动，采用外汇期权交易保值。已知即期汇率为$1＝€1；协定价格€1＝$1.0100，期权价格€1＝$0.0338；佣金占合同金额0.05$\\%$，采用欧式期权。请问3个月后市场汇率为$1＝€0.8500情况下该企业应____。", | |
| "A": "卖出期权", | |
| "B": "放弃期权", | |
| "C": "执行期权", | |
| "D": "不确定", | |
| "answer": "C" | |
| }, | |
| { | |
| "id": "financial_engineering_16", | |
| "question": "某个指数的当前水平为1500。执行价格为1400，期限为6个月的看涨和看跌期权的价格分别为154.00和34.25。6个月期无风险利率为5$\\%$，这时的隐含股息收益率为____。", | |
| "A": "1.99", | |
| "B": "2", | |
| "C": "2.01", | |
| "D": "3", | |
| "answer": "A" | |
| }, | |
| { | |
| "id": "financial_engineering_17", | |
| "question": "假设某不付红利股票价格服从几何布朗运动，其预期年收益率为16$\\%$，年波动率为30$\\%$，该股票当天收盘价为50元。第二天收盘时的预期价格为____。", | |
| "A": "51", | |
| "B": "50.022", | |
| "C": "51.022", | |
| "D": "52.022", | |
| "answer": "B" | |
| }, | |
| { | |
| "id": "financial_engineering_18", | |
| "question": "在到期日之前可以行使的期权是____。", | |
| "A": "美式期权", | |
| "B": "欧式期权", | |
| "C": "看涨期权", | |
| "D": "看跌期权", | |
| "answer": "A" | |
| }, | |
| { | |
| "id": "financial_engineering_19", | |
| "question": "期权合约的内容不包括____。", | |
| "A": "期权的类型", | |
| "B": "保证金比率的规定", | |
| "C": "期权的期限和到期日", | |
| "D": "标的的数量", | |
| "answer": "D" | |
| }, | |
| { | |
| "id": "financial_engineering_20", | |
| "question": "设纽约市场的年利率为8$\\%$，伦敦市场年利率为6$\\%$，即期汇率为￡1＝$1.6025－1.6035，3个月升贴水为30-50点，若某投资者拥有10万英镑，应投放在____市场。", | |
| "A": "伦敦", | |
| "B": "纽约", | |
| "C": "不投入", | |
| "D": "都投入", | |
| "answer": "B" | |
| }, | |
| { | |
| "id": "financial_engineering_21", | |
| "question": "对于持有一定数量股票(或股票组合)的投资者而言，以下____可以用来对冲(Hedging)未来股票价格下跌的风险。", | |
| "A": "做空股指期货", | |
| "B": "售出看涨的股指期权", | |
| "C": "购买看跌的股指期权", | |
| "D": "A、B、C均可", | |
| "answer": "D" | |
| }, | |
| { | |
| "id": "financial_engineering_22", | |
| "question": "未来将购入固定收益债券的投资者，如果担心未来市场利率下降，通常会利用利率期货的____来规避风险。", | |
| "A": "买进套利", | |
| "B": "买入套期保值", | |
| "C": "卖出套利", | |
| "D": "卖出套期保值", | |
| "answer": "B" | |
| }, | |
| { | |
| "id": "financial_engineering_23", | |
| "question": "衍生证券市场上参与者的种类不包括____。", | |
| "A": "套期保值者", | |
| "B": "套利者", | |
| "C": "投机者", | |
| "D": "机构", | |
| "answer": "D" | |
| }, | |
| { | |
| "id": "financial_engineering_24", | |
| "question": "现代金融衍生证券的定价理论没有建立在以下哪个假设基础____。", | |
| "A": "市场不存在摩擦", | |
| "B": "市场参与者无对手违约的风险", | |
| "C": "市场完全竞争", | |
| "D": "市场存在无风险套利机会", | |
| "answer": "D" | |
| }, | |
| { | |
| "id": "financial_engineering_25", | |
| "question": "当一份期货合约在交易所交易时，未平仓合约数会____。", | |
| "A": "增加一份", | |
| "B": "减少一份", | |
| "C": "不变", | |
| "D": "以上都有可能", | |
| "answer": "D" | |
| } | |
| ] |