Hull: Fundamentals of Futures and Options Markets, Ninth Edition
Chapter 6: Interest Rate Futures
Multiple Choice Test Bank
1. Which of following is applicable to corporate bonds in the United States?
A. Actual/360
B. Actual/Actual
C. 30/360
D. Actual/365
2. It is May 1. The quoted price of a bond with an Actual/Actual (in period) day count and 12%
per annum coupon in the United States is 105. It has a face value of 100 and pays coupons
on April 1 and October 1. What is the cash price?
A. 106.00
B. 106.02
C. 105.98
D. 106.04
3. It is May 1. The quoted price of a bond with a 30/360 day count and 12% per annum
coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1
and October 1. What is the cash price?
A. 106.00
B. 106.02
C. 105.98
D. 106.04
4. The most recent settlement bond futures price is 103.5. Which of the following four bonds is
cheapest to deliver?
A. Quoted bond price = 110; conversion factor = 1.0400.
B. Quoted bond price = 160; conversion factor = 1.5200.
C. Quoted bond price = 131; conversion factor = 1.2500.
D. Quoted bond price = 143; conversion factor = 1.3500.
