CFA一级百题预测_衍生（打印版）.docx

CFA一级百题预测1.ETHICSANDPROFESSIONALSTANDARDS2.QUANTITATIVEMETHODS3.ECONOMICS4.FINANCIALREPORTINGANDANALYSIS5.CORPORATEFINANCE6.EQUITY7.Fixedincome8.DERIVATIVES9.ALTERNATIVEINVESTMENT10.PORTFOLIOMANAGEMENT8.Derivatives8.1.DerivativesMarketandInstruments8.1.1.重要知识点8.1.1.1.衍生品的定义：Aderivativeisafinancialinstrument(contract)thatderivesitsperformancefromtheperformanceofanunderlyingasset.8.11.2.衍生品分类方法A根据合约特点分类forwardcommitment&contingentclaimForwardcommitment:isanagreementbetweentwopartiesinwhichoneparty,thebuyer,agreestobuyfromtheotherparty,theseller,anunderlyingassetatafuturedateatapriceestablishedatthestart÷forward,futuresandswapcontractsContingentclaim:isderivativeinwhichthepayoffsoccurifaspecificeventhappens-÷optioncontractsCreditdefaultswaps(CDS)isessentiallyaninsurancecontractforthereference,thereferenceobligationisthefixedincomesecurityonwhichtheswapiswritten-usuallyabondbutpotentiallyalsoaloan.Theprotectionbuyerpaysthesellerapremium.ThedefaultswappremiumisalsoreferredtoastheCDSspread.Protectionbuyerreceivesapaymentfromtheprotectionsellerifdefaultoccursonthereferenceentity.>根据交易场所分类：exchange-traded&over-the-countertradedExchange-traded:在一个固定的交易所交易。多空双方不直接见面，与清算所交易C(AClearinghouse>B)OTCtraded:没有固定交易场所，多空双方直接交易。(A->B)Exchange-tradedOver-the-counterStandardized>LiquidCustomized/SpecificneedsBackedbyaclearinghouseTradewithcounterparty(defaultrisk)TradeintheaphysicalexchangeNottradeinorganizedmarketsRegulatedUnregulatedMarketmakers:buyatoneprice(thebid)zsellatahigherprice(theask).8.1.2.基础题Q-l.Whichofthefollowingderivativesisleastlikelytobeclassifiedasacontingentclaim?A.AfuturescontractB.AcalloptioncontractC.AcreditdefaultswapQ-2.Whichofthefollowingstatementsistrueaboutcontingentclaims?A.EitherpartycandefaulttotheotherB.ThepayoffsarelinearlyrelatedtotheperformanceoftheunderlyingC.ThemostthelongcanloseistheamountpaidforthecontingentclaimQ-3.Incontrasttoover-the-counteroptions,futurescontractsmostlikely:A.arenotexposedtodefaultrisk.B.representarightratherthanacommitment.C.areprivate,customizedtransactionsQ-4.WhichofthefollowingisleastIikelytobeanexampleofaderivative?A.Anexchange-tradedfundB.AcontracttosellAlphabetlncssharesatafixedpriceC.AcontracttobuyAustraliandollarsatapredeterminedexchangerate8.2.Advantages&DisadvantagesofDerivatives8.2.1.重要知识点8211Advantages&disadvantagesofderivativesAAdvantagePricediscoveryRiskmanagement:hedgeandspeculationLoweringtransactioncostsLowcapitalrequirementGreaterliquidityEaseofgoingshortEnhancemarketefficiency>DisadvantageTriskyandHighleverageComplexinstrumentsSometimeslikenedtogambling8.2.2.基础题Q-5.Whichofthefollowingisnotanadvantageofderivativemarkets?A.TheyarelessvolatilethanspotmarketsB.TheyfacilitatetheallocationofriskinthemarketC.TheyincurlowertransactioncoststhanspotmarketsQ-6.Whichofthefollowingisleastlikelyoneofthemainbenefitsofderivativemarkets?Derivativemarkets:A.exhibitlowervolatilitycomparedwiththespotmarket.B.enablecompaniestomoreeasilypracticeriskmanagement.C.revealpricesandvolatilityoftheunderlyingassets.83.ForwardContract8.3.1.重要知识点8.3.1.1.ClassificationofforwardcontractACommodityforwardcontractAFinancialforwardcontract8312CharacteristicsforwardcontractsAEachpartyareexposedtodefaultrisk(orcounterpartyrisk)AZero-sumgame8.3.2.基础题Q-7.Theusefulnessofaforwardcontractislimitedbysomeproblems.Whichofthefollowingismostlikelyoneofthoseproblems?A.Onceyouhaveenteredintoaforwardcontract,itisdifficulttoexitfromthecontractB.EnteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortpartyC.Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty,periodicpaymentsmustbemadetotheshortpartyQ-8.Twocounterpartiessignaforwardcontractonastock,theunderlyingstockpricegoesupafterward,whichcounterparty/counterpartysufferfromcreditdefaultrisk?A.ThelongpositiononlyB.TheshortpositiononlyC.Bothlongandshortposition8.4.ForwardRateAgreements(FRA)8.4.1.重要知识点8.4.1.1.概念ADefinition:viewedasaforwardcontractforthelongtogetaloanfromtheshortataspecificfuturedateatafixedrateinthecontract.AAforwardrateagreement(FRA)isaforwardcontractonaninterestrate(LIBOR).AQuotation:A60-dayFRAon90-dayLIBOR(2×5FRA)means：Settlementorexpirationis60daysfromnowandthepaymentatsettlementisbasedon90-dayLIBOR60daysfromnow.8.4.1.2.LIBORandEuriborALIBORUSDinterestrates.Quotedasanannualizedratesbasedona360-dayayearAdd-onrateSingleinterestAEuriborisasimilarrateforborrowingandlendinginEuros.8.4.1.3.SeHlementASettleincash,butnoactualloanismadeatthesettlementdate.PayoffIfthereferencerateattheexpirationdateisabovethespecifiedcontractrate,thelongwillreceivecashpaymentfromtheshort;Ifthereferencerateattheexpirationdateisbelowthecontractrate,theshortwillreceivecashpaymentfromthelong8.4.1.4.SyntheticFRA:1.ong27O-dyEunxioIUrShort90-dy=Synthetklong90d>FRAEurodollaron180-dayLIBOR8.4.2.基础题Q-9.A90-dayFRAon180-dayLIBORisquotedas:A.3x6FRAB.93FRAC.3×9FRAQ-10.Forwardrateagreementsaremostlikelyusedtohedgeanexposureinthe:A.foreignexchangemarket.B.moneymarket.C.equitymarket.Q-ll.Conceptually,aFRAmostlikelyallowsacompanythatwantstoinvestmoneyinthefuturetolockinaratebymakinga:A.variablepaymentandreceivingafixedpayment.B.fixedpaymentandreceivingadifferentfixedpayment.C.fixedpaymentandreceivingavariablepayment.85.FuturesContract8.5.1.重要知识点8.5.1.1.Futurescontract风险控制方法>MarginInitialmargin:thefirstdepositiscalledtheinitialmargin.Initialmarginmustbepostedbeforeanytradingtakesplace;Maintenancemargin:istheamountofmoneythateachparticipantmustmaintainintheaccountafterthetradeisinitiated.Ifthemarginbalanceislowerthanthemaintenancemargin,thetraderwillgetamargincall;Variationmargin:usedtobringthemarginbalancebackuptotheinitialmarginlevel.>Dailypricelimit:pricelimitsaree×changed-imposedlimitsonhowmuchthecontractpricecanchangefromthepreviousday'ssettlementprice.Markingtomarket:themarginrequirementofafuturescontractislowbecauseattheendofeverydaythereisadailysettlementprocesscalledmarkingtomarket.ADifferencebetweenforwardandfuturesForwardsFuturesPrivatecontractsExchange-tradedUniquecustomizedcontractsStandardizedcontractsLittleornoregulationRegulatedDefaultriskispresentGuaranteedbyclearinghouseSettlementatmaturityDailysettlement(marktomarket)NomargindepositrequiredMarginrequiredandadjusted8.5.1.2.掌握股票与期货保证金的区别：期货margin股票margin目的作抵押减少违约风险借钱给你买股票，举杠杆现金流方向现金流出现金流入支付利息不用支付利息相当于贷款给你，要付利息补交margin数额回至1initialmargin回到maintenancemargin>ClearinghouseEachexchangehasaclearinghousewhichisathirdparticipantguaranteeingtoeachpartythatitensuresagainsttheotherpartydefaulting.Aclearinghouseactsasthecounterpartytoeachparticipant.Theclearinghouseisthebuyertothesellerandthesellertothebuyerbycreditinggainstothewinnersandcharginglossestothelosers.Thereisnoneedtoworryaboutthecounterpartydefaultrisk.Eachparticipantsareallowedbytheclearinghousetoreversetheirpositionsinthefuture.8.5.2.基础题Q-12.futurescontractsoncommoditiesandislearningmoreaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontract?A.ExistenceOfcounterpartyriskB.StandardizedcontractualtermsC.PaymentofaninitialmargintoenterintoacontractQ13.Whenreceiveamargincall,aninvestormustdepositmoremoneytomeettheinthefuturesmarket,whereastomeettheinthestockmarket:Initial marginInitial marginMaintenance marginMaintenance marginInitial marginMaintenance marginQ-14.Infuturesmarkets,contractperformanceismostlikelyguaranteedby:A.Clearinghouses.B.Thefuturesexchanges.C.RegulatoryagenciesQ-15.Afuturestradertakesalongpositionof10contracts.Theinitialmarginrequirementis$15percontract,andthemaintenancemarginrequirementis$12percontract.Shedepositstherequiredinitialmarginonthetradedate.OnDay3,hermarginaccountbalanceis$80.OnDay4,variationmarginisclosestto:A.$35.B.$40.C.$70,8.6.SwapContract8.6.1.重要知识点8.6.1.1.定义ASwapcontract:Aswapcontractobligatestwopartiestoexchangeaseriesofcashflowsonperiodicsettlementdatesoveracertaintimeperiod>ThreekindsofswapsInterestrateswapsInterestrateswapinwhichonepartypaysafixedrateandtheotherpaysafloatingrate.Currencyswaps双方互换不同国家货币Notionalprinciplewillbechangedinacurrencyswap.EquitySW叩SPermitinvestorstopaythereturnononestockindexandreceivethereturnonanotherindexorafixedrate.8.6.1.2.与forward相似点ANopaymentrequiredbyeitherpartyatinitiationexcepttheprincipalvaluesexchangedincurrencyswaps.ACustominstruments.>Nottradedinanyorganizedsecondarymarket.ALargelyunregulated.ADefaultriskisacriticalaspectofthecontracts.AInstitutionsdominate.8.6.1.3.Plainvanillainterestrateswap:involvestradingfixedinterestratepaymentsforfloating-ratepayment(payingfixedandreceivingfloating).>Counterparties:Thepartiesinvolvedinanyswapagreementarecalledthecounterparties>Pay-fixedside:Thecounterpartythatmakesfixed-rateinterestpaymentinexchangeforvariableinterestrate.APay-floatingside:Thecounterpartythatmakesvariable-rateinterestpaymentinexchangeforfixedpayment.8.6.2.基础题Q-16.Inacurrencyswap,theunderlyingprincipalamountisexchanged：A.onlyatthestartoftheswap.B.onlyattheendoftheswap.C.bothatthestartandattheendoftheswap.Q-17.Acorporationissuesfive-yearfixed-ratebonds.Itstreasurerexpectsinterestratestodeclineforallmaturitiesforatleastthenextyear.Sheentersintoaone-yearagreementwithabanktoreceivequarterlyfixed-ratepaymentsandtomakepaymentsbasedonfloatingratesbenchmarkedonthree-monthLIBOR.Thisagreementisbestdescribedasa:A.forwardcontracts.B.swap.C.futurescontract.8.7.BasicConceptofOptions8.7.1.重要知识点8.7.1.1.Basiccharacteristicsofoptions(4positionsofoptions)ADefinitionofoptionAderivativecontractinwhichoneparty,thebuyer,paysasumofmoneytotheotherparty,thesellerorwriter,andreceivestherighttoeitherbuyorsellanunderlyingassetatafixedpriceeitheronaspecificexpirationdateoratanytimepriortotheexpirationdate.A分类CaHOPtion看涨期权：longcallandshortcallPUtoPtion看跌期权：longputandshortputA价格期权费optionpremium:paidbythebuyerofoption行权价格exerciseprice:representtheexercisepricespecifiedinthecontract.>AnoptiontobuyanassetataparticularpriceistermedacalloptionBuyerofacallRighttobuySellerofacallObligationtosell>AnoptiontosellanassetataparticularpriceistermedaputoptionBuyerofaputRighttosellSellerofaputObligationtobuy>PayoffPayoffPayoffShortPayoffPayoff KLong putGain or loss8.7.2.基础题Q-18.Whichofthefollowingismostsimilartoashortpositionintheunderlyingasset?A.BuyingaputB.WritingaputC.Buyingacall8.8.RiskNeutrality8.8.1.重要知识点8.8.1.1.Risk-neutralinvestorsarewillingtobuyriskyinvestmentsforwhichtheyexpecttoearnonlytherisk-freerate.Theydonotexpecttoearnapremiumforbearingrisk.8.8.1.2.Theexpectedpayoffofthederivativecanbediscountedattherisk-freerate.AndshouldyieldtheIriSk-freeateOfreturn,ifitgeneratescertainpayoffs.882基础题Q-19.Aninvestorwhorequiresnopremiumtocompensatefortheassumptionofriskissaidtobewhichofthefollowing?A.RiskseekingB.RiskaverseC.Riskneutral8.9.Moneyness,IntrinsicValue,TimeValue8.9.1.重要知识点8.9.1.1.Option的主要种类AFinancialoptionEquityoptionsInterestoptionsForeigncurrencyoptionsBondoptionsIndexoptions>Commodityoption8.9.1.2.Moneyness（价值状态）：定性看long是否赚钱Inthemoney:immediateexercisewouldgenerateaDOSitiVeDaVoffAAtthemoney:immediateexercisewouldgeneratenopayoff.AOutofthemoney:immediateexercisewouldgenerateanegativepayoff.MoneynessCalloptionPutoptionIn-the-moneyS>XS<XAt-the-moneyS=XS=XOut-of-the-moneys<xs>x8.9.1.3.IntrinsicValueandTimeValue>Theintrinsicvalueofanoptionistheamountthatitisinthemoney,andzerootherwise.Intrinsicvalueofcalloption:C=max0,S-XATimevalueThedifferencebetweenthepriceofanoption(calleditspremium)anditsintrinsicvalueisduetoitstimevalue.欧式看跌期权：timevaluecanbelargerthan,Smallerthanorequaltozero.Forothers,timevalueisnotlessthanzero.AOptionvalue=intrinsicvalue+timevalueBeforeexpiration:optionvalue>intrinsicvalueAtexpiration:optionvalue=intrinsicvalue8.9.1.4.ReplicationALongcall+shortput=longforward/longasset8.9.2.基础题Q-20.Atexpiration,anoptionthatisinthemoneywillmostlikelyhave:A.timevalue,butnoexercisevalue.B.exercisevalue,butnotimevalue.C.bothtimevalueandexercisevalue.Q-21.Whichofthefollowingstatementsmostcloselyrelatestotheconceptofmoneyness?A.ThesumofmoneytheoptionbuyerpaystheselleriscalledthepremiumB.BothcallandputoptionpricesdeclineasthetimetoexpirationbecomesshorterC.OnewouldneverexerciseacalloptionifthepriceoftheunderlyingisbelowthestrikepriceQ-22.TherecentpricepershareofHuaBig,Inc.is80pershare.SelinaWoodsbuys150sharesat80.Toprotectagainstafallingprice,Woodsbuysoneput,covering150sharesofHuaBig,withastrikepriceof70.Theputpremiumis1.5pershare.IfHuaBigclosesat76pershareattheexpirationoftheputandWoodssellshersharesat76,Woods*profitfromthestay/putisclosestto:A.-825.B.-600.C.375.Q-23.Foracalloption,iftheunderlyingassetsvalueislessthantheoption,sexerciseprice,theoptionissaidtobe:A.Atthemoney.B.Outofthemoney.C.Inthemoney.8.10.OptionSensitivity810.1.重要知识点8.10.1.1.影响OPtiOn价格的因素FactorEuropeancallEuropeanputAmericancallAmericanputUnderlyingassetprice+-+-Strikeprice-+-+Time+Risk-freerate+-+-Volatility+Paymentsontheunderlying=+Carryingcost+-+-ThereisanexceptiontothegeneralrulethatEuropeanputoptionthetasarenegative.Theputvaluemayincreasesastheoptionapproachesmaturityiftheoptionisdeepin-the-moneyandclosetomaturity.Thehighertherisk-freerate,thestrongerthenegativerelationship.8.10.2.基础题Q-24.Atthetimeofexpiration,theoptionvalueofashortpositiononanat-the-moneyputoptionwill:A.decreasesasunderlyingpricedecrease;B.decreasesasunderlyingpriceincreases;C.increasesasunderlyingpricedecreasesQ-25.Whichstatementbestdescribestheearlyexerciseofnon-dividendpayingAmericanoptions?Earlyexercisemaybeadvantageousfor:A.deep-in-the-moneycalls.B.bothdeep-in-the-moneycallsanddeep-in-the-moneyputs.C.deep-in-the-moneyputs.Q-26.Whichofthefollowingstatementsaboutputandcalloptionsisleastaccurate?A.Thepriceoftheoptionislessvolatilethanthepriceoftheunderlyingstock.B.OptionpricesaregenerallyhighertheIongerthetimeuntiltheoptionexpires.C.Forputoptions,thehigherthestrikepricerelativetothestock*sunderlyingprice,themoretheputisworth.Q-27.Iftherearetwocalloptionsfortwodifferentunderlyingassets,andrelatedinformationisshowninthetablebelow.Option1Option2PaymentsontheunderlyingPositiveZeroCarryingcostZeroPositiveBasedonthetable,whichoftheoptionismostlikelytohavehighervalue?A.Option1B.Option2C.ThesameQ-28.Thevalueofacalloptioncanbepositivelycorrelatedto