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5764Convexity Contribution To ReturnA bond has modified duration 7 and convexity 90. For a yield increase of 150 basis points, what is the convexity adjustment alone (the second-order term) as a percentage of price?金融与交易中等数值题未尝试免费5765Current Yield Of A Discount BondA bond with face 100 pays a 4% annual coupon and currently trades at 92. What is its current yield (in percent)? Is it above or below the bond's yield to maturity?金融与交易简单数值题未尝试免费5766Premium, Par, Or DiscountA 2-year annual-coupon bond has face 100, coupon rate 4.5%, and yield to maturity 5.2%. State whether it trades at a premium, par, or discount, and give its price.金融与交易中等数值题未尝试免费5767DV01 From Duration And PriceA bond trades at 98.4 (per 100 face) with modified duration 5.8. What is its DV01 (the price change for a 1-basis-point yield move) per 100 face?金融与交易中等数值题未尝试免费5768Duration Of A Zero-Coupon BondA zero-coupon bond matures in 7 years and is priced at a yield to maturity of 4.5% (annual compounding). What is its modified duration in years?金融与交易简单数值题未尝试免费5769Approximate Yield To MaturityA 4-year annual-coupon bond has face 100, coupon 5, and trades at 95. Using the approximate-YTM formula [C + (F − P)/n] / [(F + P)/2], estimate its yield to maturity (in percent).金融与交易中等数值题未尝试免费5770PV From A Quoted Discount FactorThe market 4-year discount factor is quoted directly as 0.8638. A single cashflow of 250 is due in exactly 4 years. What is its present value?金融与交易简单数值题未尝试面试订阅5771Eight-Year Annuity PVAn ordinary annuity pays 12 at the end of each year for 8 years. The flat discount rate is 0.06. What is its present value?金融与交易中等数值题未尝试面试订阅5772Level Perpetuity PVA perpetuity pays 7 at the end of every year forever, with the first payment one year from now. The discount rate is 0.035. What is its present value?金融与交易简单数值题未尝试面试订阅5773Zero-Coupon Price From YieldA zero-coupon bond pays 100 at maturity in 7 years. Its annually compounded yield is 0.04. What is its price today?金融与交易简单数值题未尝试面试订阅5774Continuous-To-Annual EquivalenceA rate of 0.05 is quoted as continuously compounded. What annually compounded rate produces the same one-year discount factor?金融与交易中等数值题未尝试面试订阅5775Effective Annual Rate From Monthly NominalA nominal annual rate of 0.08 is compounded monthly. What is the effective annual rate?金融与交易中等数值题未尝试面试订阅5776PV Under A Non-Flat Discount CurveA bond pays 50 in 1 year, 50 in 2 years, and 1050 in 3 years. The quoted discount factors are 0.97, 0.93, and 0.88 for years 1, 2, and 3. What is its present value?金融与交易中等数值题未尝试面试订阅5777Breakeven Rate Of Two CashflowsYou pay 80 today and receive 100 in exactly 2 years. What annually compounded discount rate sets the present value of the deal to zero (its breakeven rate)?金融与交易中等数值题未尝试面试订阅5778Semiannual-Compounding PVA cashflow of 100 is due in 3 years. The rate is 0.06, quoted as a nominal annual rate compounded semiannually. What is the present value?金融与交易中等数值题未尝试面试订阅5779Annual-To-Continuous EquivalenceAn annually compounded rate of 0.06 is given. What continuously compounded rate produces the same one-year discount factor?金融与交易中等数值题未尝试面试订阅5780Avellaneda-Stoikov Reservation ShiftUsing the Avellaneda-Stoikov reservation price r = mid - q*gamma*sigma 2, the mid is 80.00, you are long q = 25 lots, risk aversion gamma = 0.10, and per-step volatility sigma = 0.40 (so sigma 2 = 0.16). How far below the mid is your reservation price, and what is r?金融与交易简单数值题未尝试免费5781Expected Cost Of Holding An Adverse PositionA desk values the risk cost of carrying inventory over one holding period as (gamma/2)*sigma 2*q 2, where gamma = 0.04 is risk aversion, sigma = 2.0 is the per-period price volatility, and q is the position in lots. You are stuck long q = 30 lots. What is the expected risk cost of holding this position for one period?金融与交易简单数值题未尝试免费5782Mark-To-Market On A Stuck LongYou bought 400 shares at an average price of 49.95, capturing 0.05 per share of edge versus the then-fair value of 50.00. The mid has since fallen to 49.70 and you still hold the full 400 shares. On a mark-to-market basis, what is your current total PnL on the position?金融与交易简单数值题未尝试免费5783Cross Now Or Carry The VarianceYou are long q = 20 lots. If you hold, the expected risk cost for the period is (gamma/2)*sigma 2*q 2 with gamma = 0.05 and sigma = 3.0; the expected price drift is zero. If instead you cross the spread and flatten immediately, you pay a certain cost of 0.6 per lot. Compare the two expected costs and decide whether to cross now or carry the position.金融与交易中等数值题未尝试免费