CFA考試一級章節(jié)練習(xí)題精選0331-7(附詳解)

1、CFA考試一級章節(jié)練習(xí)題精選 0331-7 （附詳解）1、 A portfolio manager is required to sell 31,250 shares of XYZ Inc. in two months. She is concerned the price of XYZ shares will decline during the 2-month period, so she enters into a deliverable equity forward contract to sell 31,250 shares of XYZ in two months for EUR

2、160 per share. When the contract expires, XYZ is trading at EUR 138 per share. The portfolio manager will most likely: 【單選題】A. pay EUR 687,500 to the dealer.B. receive EUR 4,312,500 from the dealer.C. receive EUR 5,000,000 from the dealer.正確答案 :C” Don M. Chance, CFA答案解析 : “ Forward Markets and Contr

3、acts, 2013 Modular Level I, Vol. 6, Reading 61, Section 3.1.1Study Session 17-61-dDescribe the characteristics of equity forward contracts and forward contracts on zero-coupon and coupon bonds.C is correct because the portfolio manager entered into a contract to sell the stock to the dealer at $160

4、per share in 2 months time. 31,250 shares x EUR 160 =6EUR 5,000,000.1、 When the underlying stock price is $95, an investor pays $2 for a call option with an exercise price of $95. If the stock price moves to $96, the intrinsic valueof the call option would be closest to: 【單選題】A.-$1.B.$0.C.$1.正確答案 :C

5、答案解析 : “ Option Markets and Contracts” , Don M. Chance2010 Modular Level I, Vol. 6, pp. 98-101Study Session 17-70-gDefine intrinsic value and time value and explain their relationship.The intrinsic value of a call option is the stock price less thestrike price if that difference is positive, and zer

6、o otherwise. The stock trading at $96 can bepurchased for $95, so the intrinsic value is $1.1、 An analyst does research about an forward rate agreement (FRA).FRA 3X 12meaf單選題maturity is:A.3 month and is based on a 6-month underlying rate.B.3 month and is based on a 9-month underlying rate.C.9 month

7、and is based on a 3-month underlying rate.正確答案 :B答案解析 :FRA 3是指遠(yuǎn)期利率合約的期限是 3個月，針對的是9個月（12個月-3個月）的貸款利率。1 、 Which of the following statements most closely relates to the concept of moneyness?【單選題】A.The sum of money the option buyer pays the seller is called the premium.B.Both call and put option prices

8、decline as the time to expiration becomes shorter.C.One would never exercise a call option if the price of the underlying is below the strike price.正確答案 :C答案解析 : “ Option Markets and Contracts,” Don M. Chance2011 Modular Level I, Vol. 6, pp. 8586Study Session 17-63-cDefine the concept of moneyness o

9、f an option.C is correct because only an in-the-money option would be exercised. Moneyness describes the relationship between the price of the underlying and an optionexercise price.1、 Based on put-call parity for European options, a synthetic put is most likely equivalent to a:單選題】A.long call, shor

10、t underlying asset, long bond.B.long call, long underlying asset, short bond.C.short call, long underlying asset, short bond.” Don M. Chance正確答案 :A答案解析 :Derivative Markets and Instruments, 2011 Modular Level I, Vol. 6, pp 110-113Study Session 17-71-mExplain put-call parity for European options, and relate put-ca