CFA一级百题预测_衍生（打印版）.docx

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1、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：Aderivativeisafinancialin

2、strument(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,anunderlyingassetatafuturedateatapriceestablishedat

3、thestartforward,futuresandswapcontractsContingentclaim:isderivativeinwhichthepayoffsoccurifaspecificeventhappens-optioncontractsCreditdefaultswaps(CDS)isessentiallyaninsurancecontractforthereference,thereferenceobligationisthefixedincomesecurityonwhichtheswapiswritten-usuallyabondbutpotentiallyalsoa

4、loan.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(AClearinghouseB)OTCt

5、raded:没有固定交易场所，多空双方直接交易。(A-B)Exchange-tradedOver-the-counterStandardizedLiquidCustomized/SpecificneedsBackedbyaclearinghouseTradewithcounterparty(defaultrisk)TradeintheaphysicalexchangeNottradeinorganizedmarketsRegulatedUnregulatedMarketmakers:buyatoneprice(thebid)zsellatahigherprice(theask).8.1.2.基

6、础题Q-l.Whichofthefollowingderivativesisleastlikelytobeclassifiedasacontingentclaim?A.AfuturescontractB.AcalloptioncontractC.AcreditdefaultswapQ-2.Whichofthefollowingstatementsistrueaboutcontingentclaims?A.EitherpartycandefaulttotheotherB.ThepayoffsarelinearlyrelatedtotheperformanceoftheunderlyingC.Th

7、emostthelongcanloseistheamountpaidforthecontingentclaimQ-3.Incontrasttoover-the-counteroptions,futurescontractsmostlikely:A.arenotexposedtodefaultrisk.B.representarightratherthanacommitment.C.areprivate,customizedtransactionsQ-4.WhichofthefollowingisleastIikelytobeanexampleofaderivative?A.Anexchange

8、-tradedfundB.AcontracttosellAlphabetlncssharesatafixedpriceC.AcontracttobuyAustraliandollarsatapredeterminedexchangerate8.2.Advantages&DisadvantagesofDerivatives8.2.1.重要知识点8211Advantages&disadvantagesofderivativesAAdvantagePricediscoveryRiskmanagement:hedgeandspeculationLoweringtransactioncostsLowca

9、pitalrequirementGreaterliquidityEaseofgoingshortEnhancemarketefficiencyDisadvantageTriskyandHighleverageComplexinstrumentsSometimeslikenedtogambling8.2.2.基础题Q-5.Whichofthefollowingisnotanadvantageofderivativemarkets?A.TheyarelessvolatilethanspotmarketsB.TheyfacilitatetheallocationofriskinthemarketC.

10、TheyincurlowertransactioncoststhanspotmarketsQ-6.Whichofthefollowingisleastlikelyoneofthemainbenefitsofderivativemarkets?Derivativemarkets:A.exhibitlowervolatilitycomparedwiththespotmarket.B.enablecompaniestomoreeasilypracticeriskmanagement.C.revealpricesandvolatilityoftheunderlyingassets.83.Forward

11、Contract8.3.1.重要知识点8.3.1.1.ClassificationofforwardcontractACommodityforwardcontractAFinancialforwardcontract8312CharacteristicsforwardcontractsAEachpartyareexposedtodefaultrisk(orcounterpartyrisk)AZero-sumgame8.3.2.基础题Q-7.Theusefulnessofaforwardcontractislimitedbysomeproblems.Whichofthefollowingismo

12、stlikelyoneofthoseproblems?A.Onceyouhaveenteredintoaforwardcontract,itisdifficulttoexitfromthecontractB.EnteringintoaforwardcontractrequiresthelongpartytodepositaninitialamountwiththeshortpartyC.Ifthepriceoftheunderlyingassetmovesadverselyfromtheperspectiveofthelongparty,periodicpaymentsmustbemadeto

13、theshortpartyQ-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:viewedas

14、aforwardcontractforthelongtogetaloanfromtheshortataspecificfuturedateatafixedrateinthecontract.AAforwardrateagreement(FRA)isaforwardcontractonaninterestrate(LIBOR).AQuotation:A60-dayFRAon90-dayLIBOR(25FRA)means：Settlementorexpirationis60daysfromnowandthepaymentatsettlementisbasedon90-dayLIBOR60daysf

15、romnow.8.4.1.2.LIBORandEuriborALIBORUSDinterestrates.Quotedasanannualizedratesbasedona360-dayayearAdd-onrateSingleinterestAEuriborisasimilarrateforborrowingandlendinginEuros.8.4.1.3.SeHlementASettleincash,butnoactualloanismadeatthesettlementdate.PayoffIfthereferencerateattheexpirationdateisabovethes

16、pecifiedcontractrate,thelongwillreceivecashpaymentfromtheshort;Ifthereferencerateattheexpirationdateisbelowthecontractrate,theshortwillreceivecashpaymentfromthelong8.4.1.4.SyntheticFRA:1.ong27O-dyEunxioIUrShort90-dy=Synthetklong90dFRAEurodollaron180-dayLIBOR8.4.2.基础题Q-9.A90-dayFRAon180-dayLIBORisquo

17、tedas:A.3x6FRAB.93FRAC.39FRAQ-10.Forwardrateagreementsaremostlikelyusedtohedgeanexposureinthe:A.foreignexchangemarket.B.moneymarket.C.equitymarket.Q-ll.Conceptually,aFRAmostlikelyallowsacompanythatwantstoinvestmoneyinthefuturetolockinaratebymakinga:A.variablepaymentandreceivingafixedpayment.B.fixedp

18、aymentandreceivingadifferentfixedpayment.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:istheamountofmoneythateachpa

19、rticipantmustmaintainintheaccountafterthetradeisinitiated.Ifthemarginbalanceislowerthanthemaintenancemargin,thetraderwillgetamargincall;Variationmargin:usedtobringthemarginbalancebackuptotheinitialmarginlevel.Dailypricelimit:pricelimitsareechanged-imposedlimitsonhowmuchthecontractpricecanchangefromt

20、hepreviousdayssettlementprice.Markingtomarket:themarginrequirementofafuturescontractislowbecauseattheendofeverydaythereisadailysettlementprocesscalledmarkingtomarket.ADifferencebetweenforwardandfuturesForwardsFuturesPrivatecontractsExchange-tradedUniquecustomizedcontractsStandardizedcontractsLittleo

21、rnoregulationRegulatedDefaultriskispresentGuaranteedbyclearinghouseSettlementatmaturityDailysettlement(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maintenancema

22、rginClearinghouseEachexchangehasaclearinghousewhichisathirdparticipantguaranteeingtoeachpartythatitensuresagainsttheotherpartydefaulting.Aclearinghouseactsasthecounterpartytoeachparticipant.Theclearinghouseisthebuyertothesellerandthesellertothebuyerbycreditinggainstothewinnersandcharginglossestothel

23、osers.Thereisnoneedtoworryaboutthecounterpartydefaultrisk.Eachparticipantsareallowedbytheclearinghousetoreversetheirpositionsinthefuture.8.5.2.基础题Q-12.futurescontractsoncommoditiesandislearningmoreaboutthem.WhichofthefollowingisHarrisleastlikelytofindassociatedwithafuturescontract?A.ExistenceOfcount

24、erpartyriskB.StandardizedcontractualtermsC.PaymentofaninitialmargintoenterintoacontractQ13.Whenreceiveamargincall,aninvestormustdepositmoremoneytomeettheinthefuturesmarket,whereastomeettheinthestockmarket:Initial marginInitial marginMaintenance marginMaintenance marginInitial marginMaintenance margi

25、nQ-14.Infuturesmarkets,contractperformanceismostlikelyguaranteedby:A.Clearinghouses.B.Thefuturesexchanges.C.RegulatoryagenciesQ-15.Afuturestradertakesalongpositionof10contracts.Theinitialmarginrequirementis$15percontract,andthemaintenancemarginrequirementis$12percontract.Shedepositstherequiredinitia

26、lmarginonthetradedate.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:AswapcontractobligatestwopartiestoexchangeaseriesofcashflowsonperiodicsettlementdatesoveracertaintimeperiodThreekindsofswapsInterestrateswa

27、psInterestrateswapinwhichonepartypaysafixedrateandtheotherpaysafloatingrate.Currencyswaps双方互换不同国家货币Notionalprinciplewillbechangedinacurrencyswap.EquitySW叩SPermitinvestorstopaythereturnononestockindexandreceivethereturnonanotherindexorafixedrate.8.6.1.2.与forward相似点ANopaymentrequiredbyeitherpartyatini

28、tiationexcepttheprincipalvaluesexchangedincurrencyswaps.ACustominstruments.Nottradedinanyorganizedsecondarymarket.ALargelyunregulated.ADefaultriskisacriticalaspectofthecontracts.AInstitutionsdominate.8.6.1.3.Plainvanillainterestrateswap:involvestradingfixedinterestratepaymentsforfloating-ratepayment

29、(payingfixedandreceivingfloating).Counterparties:ThepartiesinvolvedinanyswapagreementarecalledthecounterpartiesPay-fixedside:Thecounterpartythatmakesfixed-rateinterestpaymentinexchangeforvariableinterestrate.APay-floatingside:Thecounterpartythatmakesvariable-rateinterestpaymentinexchangeforfixedpaym

30、ent.8.6.2.基础题Q-16.Inacurrencyswap,theunderlyingprincipalamountisexchanged：A.onlyatthestartoftheswap.B.onlyattheendoftheswap.C.bothatthestartandattheendoftheswap.Q-17.Acorporationissuesfive-yearfixed-ratebonds.Itstreasurerexpectsinterestratestodeclineforallmaturitiesforatleastthenextyear.Sheentersint

31、oaone-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

32、)ADefinitionofoptionAderivativecontractinwhichoneparty,thebuyer,paysasumofmoneytotheotherparty,thesellerorwriter,andreceivestherighttoeitherbuyorsellanunderlyingassetatafixedpriceeitheronaspecificexpirationdateoratanytimepriortotheexpirationdate.A分类CaHOPtion看涨期权：longcallandshortcallPUtoPtion看跌期权：lon

33、gputandshortputA价格期权费optionpremium:paidbythebuyerofoption行权价格exerciseprice:representtheexercisepricespecifiedinthecontract.AnoptiontobuyanassetataparticularpriceistermedacalloptionBuyerofacallRighttobuySellerofacallObligationtosellAnoptiontosellanassetataparticularpriceistermedaputoptionBuyerofaputR

34、ighttosellSellerofaputObligationtobuyPayoffPayoffPayoffShortPayoffPayoff 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-neutralinvestorsarewillingtobuyriskyinvestm

35、entsforwhichtheyexpecttoearnonlytherisk-freerate.Theydonotexpecttoearnapremiumforbearingrisk.8.8.1.2.Theexpectedpayoffofthederivativecanbediscountedattherisk-freerate.AndshouldyieldtheIriSk-freeateOfreturn,ifitgeneratescertainpayoffs.882基础题Q-19.Aninvestorwhorequiresnopremiumtocompensatefortheassumpt

36、ionofriskissaidtobewhichofthefollowing?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AFinancialoptionEquityoptionsInterestoptionsForeigncurrencyoptionsBondoptionsIndexoptionsCommodityoption8.9.1.2.Moneyness（价值状态）：定性看long是否赚钱Inthemoney:immed

37、iateexercisewouldgenerateaDOSitiVeDaVoffAAtthemoney:immediateexercisewouldgeneratenopayoff.AOutofthemoney:immediateexercisewouldgenerateanegativepayoff.MoneynessCalloptionPutoptionIn-the-moneySXSXAt-the-moneyS=XS=XOut-of-the-moneysx8.9.1.3.IntrinsicValueandTimeValueTheintrinsicvalueofanoptionistheam

38、ountthatitisinthemoney,andzerootherwise.Intrinsicvalueofcalloption:C=max0,S-XATimevalueThedifferencebetweenthepriceofanoption(calleditspremium)anditsintrinsicvalueisduetoitstimevalue.欧式看跌期权：timevaluecanbelargerthan,Smallerthanorequaltozero.Forothers,timevalueisnotlessthanzero.AOptionvalue=intrinsicv

39、alue+timevalueBeforeexpiration:optionvalueintrinsicvalueAtexpiration: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.bothtimevalu

40、eandexercisevalue.Q-21.Whichofthefollowingstatementsmostcloselyrelatestotheconceptofmoneyness?A.ThesumofmoneytheoptionbuyerpaystheselleriscalledthepremiumB.BothcallandputoptionpricesdeclineasthetimetoexpirationbecomesshorterC.Onewouldneverexerciseacalloptionifthepriceoftheunderlyingisbelowthestrikep

41、riceQ-22.TherecentpricepershareofHuaBig,Inc.is80pershare.SelinaWoodsbuys150sharesat80.Toprotectagainstafallingprice,Woodsbuysoneput,covering150sharesofHuaBig,withastrikepriceof70.Theputpremiumis1.5pershare.IfHuaBigclosesat76pershareattheexpirationoftheputandWoodssellshersharesat76,Woods*profitfromth

42、estay/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FactorEuropeancallEuropeanputAmericancallAmericanputUnderlyin

43、gassetprice+-+-Strikeprice-+-+Time+Risk-freerate+-+-Volatility+Paymentsontheunderlying=+Carryingcost+-+-ThereisanexceptiontothegeneralrulethatEuropeanputoptionthetasarenegative.Theputvaluemayincreasesastheoptionapproachesmaturityiftheoptionisdeepin-the-moneyandclosetomaturity.Thehighertherisk-freera

44、te,thestrongerthenegativerelationship.8.10.2.基础题Q-24.Atthetimeofexpiration,theoptionvalueofashortpositiononanat-the-moneyputoptionwill:A.decreasesasunderlyingpricedecrease;B.decreasesasunderlyingpriceincreases;C.increasesasunderlyingpricedecreasesQ-25.Whichstatementbestdescribestheearlyexerciseofnon

45、-dividendpayingAmericanoptions?Earlyexercisemaybeadvantageousfor:A.deep-in-the-moneycalls.B.bothdeep-in-the-moneycallsanddeep-in-the-moneyputs.C.deep-in-the-moneyputs.Q-26.Whichofthefollowingstatementsaboutputandcalloptionsisleastaccurate?A.Thepriceoftheoptionislessvolatilethanthepriceoftheunderlyin

46、gstock.B.OptionpricesaregenerallyhighertheIongerthetimeuntiltheoptionexpires.C.Forputoptions,thehigherthestrikepricerelativetothestock*sunderlyingprice,themoretheputisworth.Q-27.Iftherearetwocalloptionsfortwodifferentunderlyingassets,andrelatedinformationisshowninthetablebelow.Option1Option2PaymentsontheunderlyingPositiveZeroCarryingcostZeroPositiveBasedonthetable,whichoftheoptionismostlikelytohavehighervalue?A.Option1B.Option2C.ThesameQ-28.Thevalueofacalloptioncanbepositivelycorrelatedto