CFA课后习题：衍生.docx

438PRACTICEPROBLEMS1Aderivativeisbestdescribedasafinancialinstrumentthatderivesitsperformanceby：ApassingthroughthereturnsOftheunderlying.Breplicatingtheperformanceoftheunderlying.Ctransformingtheperformanceoftheunderlying.2Derivativesaresimilartoinsuranceinthatboth:Ahaveanindefinitelifespan.Ballowforthetransferofriskfromonepartytoanother.(allowforthetransformationoftheunderlyingriskitself.3Abeneficialopportunitycreatedbythederivativesmarketistheabilityto:Aadjustriskexposurestodesiredlevels.Bgeneratereturnsproportionaltomovementsintheunderlying.Csimultaneouslytakelongpositionsinmultiplehighlyliquidfixed-incomesecurities.4Comparedwithexchange-tradedderivatives,over-the-counterderivativeswouldmostlikelybedescribedas:Astandardized.Blesstransparent.Cmoretransparent.5Exchange-tradedderivativesare:Alargelyunregulated.Btradedthroughaninformalnetwork.Cguaranteedbyaclearinghouseagainstdefault.6Theclearingandsettlementprocessofanexchange-tradedderivativesmarket:Aprovidesacreditguarantee.Bprovidestransparencyandflexibility*(takeslongerthanthatofmostsecuritiesexchanges.7Whichofthefollowingstatementsbestportraysthefullimplementationofpost-financial-crisisregulationsintheOTCderivativesmarket?ATransactionsarenolongerprivate.BMosttransactionsneedtobereportedtoregulators.IAlltransactionsmustbeclearedthroughcentralclearingagencies.8Acharacteristicofforwardcommitmentsisthatthey:Aprovidelinearpayoffs.Bdonotdependontheoutcomeorpayoffofanunderlyingasset.Cprovideonepartytherighttoengageinfuturetransactionsontermsagreedoninadvance.9Incontrasttocontingentclaims,forwardcontracts:Rhavetheirpriceschosenbytheparticipants.Bcouldendindefaultbyeitherparty.©2019CFAInstitute.Allrightsreserved.(canbeexercisedbyphysicalorcashdelivery.10Whichofthefollowingstatementsbestdescribesthepayofffromaforwardcontract?AThebuyerhasmoretogaingoinglongthanthesellerhastolosegoingshort.BThebuyerprofitsifthepriceoftheunderlyingatexpirationexceedstheforwardprice.(Thegainsfromowningtheunderlyingversusowningtheforwardcontractareequivalent.11WhiChofthefollowingstatementsregardingthesettlementofforwardcontractsiscorrect?AContractsettlementbycashhasdifferenteconomiceffectsfromthoseofasettlementbydelivery.BNon-deliverableforwardsandcontractsfordifferenceshavedistinctsettlementprocedures.(Atcashsettlement,whenthelongPartyacquirestheassetinthemarket,iteffectivelypaystheforwardprice.12Afuturescontractisbestdescribedasacontractthatis:Astandardized.Bsubjecttocreditrisk.(markedtomarketthroughoutthetradingday.13Whichofthefollowingstatementsexplainsacharacteristicoffuturespricelimits?Pricelimits:Ahelptheclearinghousemanageitscreditexposure.Bcantypicallybeexpandedintra-daybywillingtraders.Cestablishabandaroundthefinaltradeofthepreviousday.14Whichofthefollowingstatementsdescribesanaspectofmarginaccountsforfutures?AJhemaintenancemarginisalwayslessthantheinitialmargin,BTheinitialmarginrequiredistypicallyatleast10%ofthefuturesprice.(Amargincallrequiresadepositsufficienttoraisetheaccountbalancetothemaintenancemargin.15Whichofthefollowingfactorsissharedbyforwardsandfuturescontracts?ATimingofprofitsBFlexiblesettlementarrangements(Nearlyequivalentprofitsbyexpiration16WhiChofthefollowingderivativesisclassifiedasacontingentclaim?AFuturescontractsBInterestrateswaps(Creditdefaultswaps17Incontrasttocontingentclaims,forwardcommitmentsprovidethe:Arighttobuyorselltheunderlyingassetinthefuture,Bobligationtobuyorselltheunderlyingassetinthefuture.Cpromisetoprovidecreditprotectionintheeventofdefault.18WhiChofthefollowingderivativesprovidepayoffsthatarenon-linearlyrelatedtothepayoflfcoftheunderlying?AOptionsBForwardsCInterest-rateswaps19Aninterestrateswapisaderivativecontractinwhich:Atwopartiesagreetoexchangeaseriesofcashflows.Bthecreditsellerprovidesprotectiontothecreditbuyer.Ithebuyerhastherighttopurchasetheunderlyingfromtheseller.20Forwardcommitmentssubjecttodefaultare：Afb11rardsandfutures.Bfuturesandinterestrateswaps.Cinterestrateswapsandforwards.21Aswapis:Amorelikeaforwardthanafuturescontract.Bsubjecttosimultaneousdefaultbybothparties.(basedonanexchangeoftwoseriesofftxedcashflows.22Aplainvanillainterestrateswapisalsoknownas：Aabasisswap.Bafixed-for-floatingswap.(anovernightindexedswap.23Thenotionalprincipalofaswapis:Anotexchangedinthecaseofaninterestrateswap.Bafixedamountwheneveritismatchedwithaloan.(equaltotheamountowedbyoneswappartytotheother.24Whichofthefollowingderivativesisleastlikelytohaveavalueofzeroatinitiationofthecontract?AFuturesBOptions(Forwards25fhebuyerofanoptionhasacontingentclaiminthesensethattheoptioncreates:Aaright.Banobligation.(alinearpayoffwithrespecttogainsandlossesoftheunderlying.26Wliichofthefollowingoptionsgrantstheholdertherighttopurchasetheunderlyingpriortoexpiration?AAmerican-StyleputoptionBEuropean-Stylecalloption(American-Stylecalloption27Acreditder