《CFA一级百题预测_衍生（打印版）.docx》由会员分享，可在线阅读，更多相关《CFA一级百题预测_衍生（打印版）.docx（37页珍藏版）》请在课桌文档上搜索。
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
