CFA课后习题：衍生.docx

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1、438PRACTICEPROBLEMS1Aderivativeisbestdescribedasafinancialinstrumentthatderivesitsperformanceby：ApassingthroughthereturnsOftheunderlying.Breplicatingtheperformanceoftheunderlying.Ctransformingtheperformanceoftheunderlying.2Derivativesaresimilartoinsuranceinthatboth:Ahaveanindefinitelifespan.Ballowfo

2、rthetransferofriskfromonepartytoanother.(allowforthetransformationoftheunderlyingriskitself.3Abeneficialopportunitycreatedbythederivativesmarketistheabilityto:Aadjustriskexposurestodesiredlevels.Bgeneratereturnsproportionaltomovementsintheunderlying.Csimultaneouslytakelongpositionsinmultiplehighlyli

3、quidfixed-incomesecurities.4Comparedwithexchange-tradedderivatives,over-the-counterderivativeswouldmostlikelybedescribedas:Astandardized.Blesstransparent.Cmoretransparent.5Exchange-tradedderivativesare:Alargelyunregulated.Btradedthroughaninformalnetwork.Cguaranteedbyaclearinghouseagainstdefault.6The

4、clearingandsettlementprocessofanexchange-tradedderivativesmarket:Aprovidesacreditguarantee.Bprovidestransparencyandflexibility*(takeslongerthanthatofmostsecuritiesexchanges.7Whichofthefollowingstatementsbestportraysthefullimplementationofpost-financial-crisisregulationsintheOTCderivativesmarket?ATra

5、nsactionsarenolongerprivate.BMosttransactionsneedtobereportedtoregulators.IAlltransactionsmustbeclearedthroughcentralclearingagencies.8Acharacteristicofforwardcommitmentsisthatthey:Aprovidelinearpayoffs.Bdonotdependontheoutcomeorpayoffofanunderlyingasset.Cprovideonepartytherighttoengageinfuturetrans

6、actionsontermsagreedoninadvance.9Incontrasttocontingentclaims,forwardcontracts:Rhavetheirpriceschosenbytheparticipants.Bcouldendindefaultbyeitherparty.2019CFAInstitute.Allrightsreserved.(canbeexercisedbyphysicalorcashdelivery.10Whichofthefollowingstatementsbestdescribesthepayofffromaforwardcontract?

7、AThebuyerhasmoretogaingoinglongthanthesellerhastolosegoingshort.BThebuyerprofitsifthepriceoftheunderlyingatexpirationexceedstheforwardprice.(Thegainsfromowningtheunderlyingversusowningtheforwardcontractareequivalent.11WhiChofthefollowingstatementsregardingthesettlementofforwardcontractsiscorrect?ACo

8、ntractsettlementbycashhasdifferenteconomiceffectsfromthoseofasettlementbydelivery.BNon-deliverableforwardsandcontractsfordifferenceshavedistinctsettlementprocedures.(Atcashsettlement,whenthelongPartyacquirestheassetinthemarket,iteffectivelypaystheforwardprice.12Afuturescontractisbestdescribedasacont

9、ractthatis:Astandardized.Bsubjecttocreditrisk.(markedtomarketthroughoutthetradingday.13Whichofthefollowingstatementsexplainsacharacteristicoffuturespricelimits?Pricelimits:Ahelptheclearinghousemanageitscreditexposure.Bcantypicallybeexpandedintra-daybywillingtraders.Cestablishabandaroundthefinaltrade

10、ofthepreviousday.14Whichofthefollowingstatementsdescribesanaspectofmarginaccountsforfutures?AJhemaintenancemarginisalwayslessthantheinitialmargin,BTheinitialmarginrequiredistypicallyatleast10%ofthefuturesprice.(Amargincallrequiresadepositsufficienttoraisetheaccountbalancetothemaintenancemargin.15Whi

11、chofthefollowingfactorsissharedbyforwardsandfuturescontracts?ATimingofprofitsBFlexiblesettlementarrangements(Nearlyequivalentprofitsbyexpiration16WhiChofthefollowingderivativesisclassifiedasacontingentclaim?AFuturescontractsBInterestrateswaps(Creditdefaultswaps17Incontrasttocontingentclaims,forwardc

12、ommitmentsprovidethe:Arighttobuyorselltheunderlyingassetinthefuture,Bobligationtobuyorselltheunderlyingassetinthefuture.Cpromisetoprovidecreditprotectionintheeventofdefault.18WhiChofthefollowingderivativesprovidepayoffsthatarenon-linearlyrelatedtothepayoflfcoftheunderlying?AOptionsBForwardsCInterest

13、-rateswaps19Aninterestrateswapisaderivativecontractinwhich:Atwopartiesagreetoexchangeaseriesofcashflows.Bthecreditsellerprovidesprotectiontothecreditbuyer.Ithebuyerhastherighttopurchasetheunderlyingfromtheseller.20Forwardcommitmentssubjecttodefaultare：Afb11rardsandfutures.Bfuturesandinterestrateswap

14、s.Cinterestrateswapsandforwards.21Aswapis:Amorelikeaforwardthanafuturescontract.Bsubjecttosimultaneousdefaultbybothparties.(basedonanexchangeoftwoseriesofftxedcashflows.22Aplainvanillainterestrateswapisalsoknownas：Aabasisswap.Bafixed-for-floatingswap.(anovernightindexedswap.23Thenotionalprincipalofa

15、swapis:Anotexchangedinthecaseofaninterestrateswap.Bafixedamountwheneveritismatchedwithaloan.(equaltotheamountowedbyoneswappartytotheother.24Whichofthefollowingderivativesisleastlikelytohaveavalueofzeroatinitiationofthecontract?AFuturesBOptions(Forwards25fhebuyerofanoptionhasacontingentclaiminthesensethattheoptioncreates:Aaright.Banobligation.(alinearpayoffwithrespecttogainsandlossesoftheunderlying.26Wliichofthefollowingoptionsgrantstheholdertherighttopurchasetheunderlyingpriortoexpiration?AAmerican-StyleputoptionBEuropean-Stylecalloption(American-Stylecalloption27Acreditder