CFA特許金融分析師-CFA一級(jí)-衍生

CFA特許金融分析師-CFA一級(jí)-衍生

［單選題］1.StocksBWQandZERareeachcurrentlypricedat$100per

share.Overthenextyear,stockBWQisexpectedtogenerate

significantbenefitswhereasstockZERisnotexpectedtogenerate

anybenefits.Therearenocarryingcostsassociatedwithholding

eitherstockoverthenextyear.ComparedwithZER,theone-year

forwardpriceofBWQismostlikely:A.lower.

B.thesame.

C.higher.

正確答案：A

參考解析：Aiscorrect.Theforwardpriceofeachstockisfoundby

compoundingthespotpricebytherisk-freeratefortheperiodand

thensubtractingthefuturevalueofanybenefitsandaddingthe

futurevalueofanycosts.Intheabsenceofanybenefitsorcosts,

theone-yearforwardpricesofBWQandZERshouldbeequal.After

subtractingthebenefitsrelatedtoBWQ,theone-yearforwardprice

ofBWQislowerthantheone-yearforwardpriceofZER.：這道題目問

的是BWQ和ZER的股票目前每股定價(jià)為100美元。在接下來的一年中，股票BWQ

預(yù)計(jì)將產(chǎn)生重大效益，而股票ZER預(yù)計(jì)不會(huì)產(chǎn)生任何效益。在未來一年內(nèi)持有

任何一種股票都沒有相關(guān)的成本。與ZER相比，BWQ的一年期遠(yuǎn)期價(jià)格最有可能

是：A是正確的。每只股票的遠(yuǎn)期價(jià)格是通過將現(xiàn)貨價(jià)格與該期間的無風(fēng)險(xiǎn)利

率復(fù)合，然后減去任何收益的未來價(jià)值，再加上任何成本的未來價(jià)值而得出

的。在沒有任何收益或成本的情況下，BWQ和ZER的一年期遠(yuǎn)期價(jià)格應(yīng)相等?？?/p>

除與BWQ相關(guān)的收益后，BWQ的一年期遠(yuǎn)期價(jià)格低于ZER的一年期遠(yuǎn)期價(jià)格。

［單選題］2.Whichofthefollowingstatementsbestrepresents

informationdiscoveryinthefuturesmarket?

A.Thefuturespriceispredictive.

B.Informationflowsmoreslowlyintothefuturesmarketthanintothe

spotmarket.

C.Thefuturesmarketrevealsthepricethattheholderoftheasset

cantaketoavoiduncertainty.

正確答案：C

參考解析：：Ciscorrect.Thefuturesmarketrevealsthepricethat

theholderofanassetcouldtakeandavoidtheriskofuncertainty.

Aisincorrectbecausealthoughthefuturespriceissometimes

thoughtofaspredictive,itprovidesonlyalittlemoreinformation

thandoesaspotpriceandisnotreallyaforecastofthefutures

spotprice.Bisincorrectbecausebyvirtueofthefactthatthe

futuresmarketrequireslesscapital,informationcanflowintothe

futuresmarketbeforeitgetsintothespotmarket.：這道題目問的是

以下哪項(xiàng)陳述最能代表期貨市場(chǎng)的信息發(fā)現(xiàn)？C是正確的。期貨市場(chǎng)揭示了資

產(chǎn)持有者可以承受的價(jià)格，避免了不確定性風(fēng)險(xiǎn)。A是不正確的，因?yàn)楸M管期

貨價(jià)格有時(shí)被認(rèn)為是可預(yù)測(cè)的，但它提供的信息只比現(xiàn)貨價(jià)格多一點(diǎn)，并不是

對(duì)期貨即期價(jià)格的真正預(yù)測(cè)。B是不正確的，因?yàn)槠谪浭袌?chǎng)需要較少的資本，

信息可以在進(jìn)入現(xiàn)貨市場(chǎng)之前流入期貨市場(chǎng)。

［單選題］3.Basedonput-callparity,atraderwhocombinesalong

asset,alongput,andashortcallwillcreateasynthetic:

A.longbond.

B.fiduciarycall.

C.protectiveput.

正確答案：A

參考解析：Aiscorrect.Alongbondcanbesyntheticallycreatedby

combiningalongasset,alongput,andashortcall.Afiduciary

calliscreatedbycombiningalongcallwithariskfreebond.A

protectiveputiscreatedbycombiningalongassetwithalongput.

這道題目問的是基于買賣權(quán)平價(jià)，將持有資產(chǎn)、持有看跌期權(quán)和賣出看漲期權(quán)

組合在一起的交易者將合成什么？A是正確的。持有一個(gè)債券可以通過持有資

產(chǎn)、持有看跌期權(quán)和賣出看漲期權(quán)組合來合成。信用買權(quán)是通過持有看漲期權(quán)

與無風(fēng)險(xiǎn)債券相結(jié)合而產(chǎn)生的。保護(hù)性看跌期權(quán)是通過將持有資產(chǎn)與持有看跌

期權(quán)相結(jié)合而產(chǎn)生的。

［單選題］4.Whichofthefollowingstatementsabouttheshortposition

inadeliverableforwardcontractismostlikelyaccurate?

A.Itisobligatedtodeliverthespecifiedasset.

B.Itmakesacashpaymenttothelongatsettlement.

C.Ithasnodefaultrisk.

正確答案：A

參考解析：TheshortinaForwardcontractisobligatedtodeliverthe

specifiedassetatthecontractpriceonthesettlementdate.Either

partymayhavedefaultriskifthereisanyprobabilitythatthe

counterpartymaynotperformunderthetermsofthecontract.遠(yuǎn)期合同

中的空頭有義務(wù)在結(jié)算日按合同價(jià)格交付指定資產(chǎn)。如果對(duì)方有任何可能不履

行合同條款，任何一方都可能有違約風(fēng)險(xiǎn)。

［單選題］5.Anarbitrageurwillmostlikelyexecuteatradewhen:

A.transactioncostsarelow.

B.costsofshort-sellingarehigh.

C.pricesareconsistentwiththelawofoneprice.

正確答案：A

參考解析：Aiscorrect.Somearbitrageopportunitiesrepresentsuch

smallpricediscrepanciesthattheyareonlyworthexploitingifthe

transactioncostsarelow.Anarbitrageopportunitymayrequire

short-sellingassetsatcoststhateliminateanyprofitpotential.If

thelawofonepriceholds,thereisnoarbitrageopportunity.：這

道題目問的是套利者最有可能在哪一個(gè)情況下進(jìn)行交易？A是正確的。一些套

利機(jī)會(huì)是由于出現(xiàn)一個(gè)比較小的價(jià)格差異，只有在交易成本較低的情況下才值

得利用。套利機(jī)會(huì)需要賣空的成本較小。如果一價(jià)定律成立，就沒有套利機(jī)

會(huì)。

［單選題］6.Whichofthefollowingstatementsregardingthesettlement

offorwardcontractsiscorrect?

A.Contractsettlementbycashhasdifferenteconomiceffectsfrom

thoseofasettlementbydelivery.

B.Non-deliverableforwardsandcontractsfordifferenceshave

distinctsettlementprocedures.

C.Atcashsettlement,whenthelongpartyacquirestheassetinthe

market,iteffectivelypaystheforwardprice.

正確答案：C

參考解析：：Ciscorrect.Inthecaseofcashsettlement,thelong

canacquiretheasset,effectivelypayingtheforwardprice,FO(T).A

isincorrectbecauseforwardcontractssettledbycashorbydelivery

havethesameeconomiceffect.Bisincorrectbecausebothnon-

deliverableforwardsandcontractsfordifferencescansettlebyan

exchangeofcash.：這道題目問的是下列關(guān)于遠(yuǎn)期合約結(jié)算正確的是哪一

項(xiàng)？C是正確的。在現(xiàn)金結(jié)算下，多頭支付遠(yuǎn)期價(jià)格就可以獲得資產(chǎn)。

［單選題］7.Incontrasttogambling,derivativesspeculation:

A.hasapositivepublicimage.

B.isaformoffinancialrisktaking.

C.benefitsthefinancialmarketsandthussociety.

正確答案：C

參考解析：：Ciscorrect.Derivativestradingbringsextensive

benefitstofinancialmarkets(lowcosts,lowcapitalrequirements,

easeofgoingshort,etc.)andthusbenefitssocietyasawhole.

Gambling,ontheotherhand,typicallybenefitsonlyalimitednumber

ofparticipants.Aisincorrectbecausethegeneralimageof

speculatorsisnotagoodone.Speculatorsareoftenthoughttobe

theoutcomeorpayoffdependsontheoutcomeorpayoffofan

underlyingasset,hascometobeassociatedwitharight,butnotan

obligation,tomakeafinalpaymentcontingentontheperformanceof

theunderlying.Bisincorrectbecauseanoption,asacontingent

claim,grantstherightbutnottheobligationtobuyorsellthe

underlyingatalaterdate.Cisincorrectbecausetheholderofan

optionhasachoiceofwhethertoexercisetheoption.Thischoice

createsapayoffLhaLLictnsformstheunderlyingpayoffinauioie

pronouncedmannerthandoesaforward,futures,orswap,which

providelinearpayoffs.Optionsaredifferentinthattheylimit

lossesinonedirection.：這道題目問的是期權(quán)的買方有一項(xiàng)或有權(quán)益，

即期權(quán)產(chǎn)生：A是正確的。期權(quán)的買方是被賦予在日后購(gòu)買或出售標(biāo)的資產(chǎn)的

權(quán)利，而非義務(wù)，所以B錯(cuò)誤。C是不正確的，因?yàn)槠跈?quán)買方有權(quán)選擇是否行

權(quán)。這種選擇下它的收益跟基礎(chǔ)資產(chǎn)的關(guān)系是非線性的。

［單選題］10.Afuturescontractisbestdescribedasacontractthatis:

A.standardized.

B.subjecttocreditrisk.

C.markedtomarketthroughoutthetradingday.

正確答案：A

參考解析：：Aiscorrect.Afuturescontractisastandardized

derivativecontract.Bisincorrectbecausethroughitsclearinghouse

thefuturesexchangeprovidesacreditguaranteethatitwillmakeup

alossintheeventalosingpartycannotpay.Cisincorrectbecause

afuturescontractismarkedtomarketattheendofeachday,a

processinwhichthefuturesclearinghousedeterminesanaverageof

thefinalfuturestradeofthedayanddesignatesthatpriceasthe

settlementprice.：這道題目問的是期貨合約是一個(gè)什么樣的合約？A是正

確的。期貨合約是一種標(biāo)準(zhǔn)化的衍生合約。

［單選題］11.Atexpiration,aEuropeanputoptionwillbevaluableif

theexercisepriceis:

A.lessthantheunderlyingprice.

B.equaltotheunderlyingprice.

C.greaterthantheunderlyingprice.

正確答案：C

參考解析：Ciscorrect.AEuropeanputoptionwillbevaluableat

expirationiftheexercisepriceisgreaterthantheunderlyingprice.

Theholdercanput(deliver)theunderlyingandreceivetheexercise

pricewhichishigherthanthespotprice.AEuropeanputoption

wouldbeworthlessiftheexercisepricewasequaltoorlessthan

theunderlyingprice.：這道題目問的是到期時(shí)，一個(gè)歐式看跌期權(quán)是有價(jià)

值的時(shí)候，行權(quán)價(jià)格為？C是正確的。如果行權(quán)價(jià)格高于標(biāo)的價(jià)格，歐式看跌

期權(quán)在到期時(shí)將是有價(jià)值的。持有人可以賣出標(biāo)的證券，并獲得高于現(xiàn)貨價(jià)格

的行權(quán)價(jià)格。如果行權(quán)價(jià)格等于或低于標(biāo)的價(jià)格，歐式看跌期權(quán)將沒有價(jià)值。

［單選題］12.Todeterminethepriceofanoptiontoday,thebinomial

modelrequires:

A.sellingonepulandbuyingoneoffsettingcall.

B.buyingoneunitoftheunderlyingandsellingonematchingcall.

C.usingtherisk-freeratetodeterminetherequirednumberofunits

oftheunderlying.

正確答案：C

參考解析：Ciscorrect.Pricinganoptionreliesonthefactsthata

perfectlyhedgedinvestmentearnstherisk-freerateandthat,based

onthebinomialoptionpricingmodel,thesizeofthetwopossible

changesintheoptionprice(meaningthepotentialstepuporstep

downintheoptionvalue)afteroneperiodareequivalent.這道題目

問：要確定期權(quán)廿0的價(jià)格，二叉樹模型要求：這里補(bǔ)充說明“二叉樹模型”

是什么？如附圖：買入long“h”份股票S,并且賣出short"1”份看漲期

權(quán)，此時(shí)構(gòu)建了一個(gè)投資組合portfolioo經(jīng)過①至④可以構(gòu)建一個(gè)價(jià)值不變

的投資組合。此時(shí)t=0時(shí)刻的投資組合價(jià)值V0=hS0-c0,應(yīng)該和t=l時(shí)刻投資

組合價(jià)值Vl=hSl-cl折現(xiàn)到0時(shí)間點(diǎn)是相等的YO=V1?；氐筋}目：A不對(duì)。

call和put不能構(gòu)成二叉樹模型"binomialmodel"0B不正確。一比一的關(guān)

系是不對(duì)的，應(yīng)該是h比1的關(guān)系。C是正確的。期權(quán)定價(jià)依賴于無風(fēng)險(xiǎn)利

率，而不是真實(shí)的市場(chǎng)利率。這個(gè)問題在一級(jí)中考查有點(diǎn)難，主要是涉及了二

級(jí)衍生的知識(shí)。以下圖形可以方便理解。

［單選題］13.Whichofthefollowingstatementsregardingcommodity

derivativesiscorrect?

A.Theprimarycommodityderivativesarefutures.

B.Commoditiesaresubjecttoasetofwell-definedriskfactors.

C.Commoditytradersandfinancialtraderstodayaredistinctgroups

withinthefinancialworld.

正確答案：A

參考解析：：Aiscorrect.Theprimarycommodityderivativesare

futures,butforwards,swaps,andoptionsarealsoused.Bis

incorrectbecausethecommoditymarketisextremelylargeandsubject

toanalmostunimaginablearrayofrisks.Cisincorrectbecause

commodityandfinancialtradershavebecomerelativelyhomogeneous

sincethecreationoffinancialfutures.Historically,commodity

tradersandfinancialtraderswerequitedifferentgroups,andthere

usedtobeatendencytothinkofthecommodityworldassomewhat

separatefromthefinancialworld.：這道題目問的是下列關(guān)于大宗商品

衍生品的陳述中哪一項(xiàng)是正確的？A是正確的。主要的大宗商品衍生品是期

貨，但是也有遠(yuǎn)期、互換和期權(quán)。B是不正確的，因?yàn)榇笞谏唐肥袌?chǎng)非常大，

面臨著幾乎難以想象的一系列風(fēng)險(xiǎn)。C是不正確的，現(xiàn)在大宗商品交易商和金

融交易員變得相對(duì)同質(zhì)。過去人們往往認(rèn)為大宗商品世界與金融世界有些不

同。

［單選題］14.Incontrasttoaforwardcontract,afuturescontract:

A.tradesover-the-counter.

B.isinitiatedatazerovalue.

C.ismarked-to-marketdaily.

正確答案：C

參考解析：Ciscorrect.Futurescontractsaremarked-to-marketona

dailybasis.Theaccumulatedgainsandlossesfromthepreviousday'

stradingsessionaredeductedfromtheaccountsofthoseholding

losingpositionsandtransferredtotheaccountsofthoseholding

winningpositions.Futurescontractstradeonanexchange,forward

contractsareover-the-countertransactions.Typicallybothforward

andfuturescontractsareinitiatedatazerovalue.：這道題目問的

是與遠(yuǎn)期合約相比，期貨合約是？C是正確的。期貨合約每天按市價(jià)結(jié)算，逐

日盯市制度。期貨合約在交易所交易，遠(yuǎn)期合約是場(chǎng)外交易.遠(yuǎn)期合約和期貨

合約的價(jià)值都是以零開始的。

［單選題］15.Atexpiration,Americancalloptionsareworth:

A.lessthanEuropeancalloptions.

B.thesameasEuropeancalloptions.

C.morethanEuropeancalloptions.

正確答案：B

參考解析：Biscorrect.Atexpiration,thevaluesofAmericanand

Europeancalloptionsareeffectivelythesame;bothareworththe

greaterofzeroandtheexercisevalue.：這道題目問的是在到期時(shí)，美

式看漲期權(quán)的價(jià)值是：B是正確的。到期時(shí)，美式和歐式看漲期權(quán)的價(jià)值實(shí)際

上是相同的。

［單選題］16.Comparedwithexchange-tradedderivatives,over-the-

counterderivativeswouldmostlikelybedescribedas:

A.standardized.

B.lesstransparent.

C.moretransparent.

正確答案：B

參考解析：：Biscorrect.Over-thecounter-derivativesmarketsare

customizedandmostlyunregulated.Asaresult,over-the-counter

marketsarelesstransparentincomparisonwiththehighdegreeof

transparencyandstandardizationassociatedwithexchange-traded

derivativemarkets.Aisincorrectbecauseexchange-traded

derivativesareslaiidaiclized,wheieasover-lliecounterderivatives

arecustomized.Cisincorrectbecauseexchange-tradedderivatives

arecharacterizedbyahighdegreeoftransparencybecauseall

transactionsaredisclosedtoexchangesandregulatoryagencies,

whereasover-the-counterderivativesarerelativelyopaque.：這道題

目問的是與場(chǎng)內(nèi)衍生品相比，場(chǎng)外衍生品最有可能被描述為：場(chǎng)外衍生品市場(chǎng)

是定制的大多不受監(jiān)管。因此，與場(chǎng)內(nèi)衍生品市場(chǎng)的高度透明度和標(biāo)準(zhǔn)化相

比，場(chǎng)外市場(chǎng)的透明度較低。B正確。

［單選題］17.Holdinganassetandbuyingaputonthatassetis

equivalentto:

A.initiatingafiduciarycall.

B.buyingarisk-freezero-couponbondandsellingacalloption.

C.sellingarisk-freezero-couponbondandbuyingacalloption.

正確答案：A

參考解析：Aiscorrect.Underput-callparity,initiatinga

fiduciarycal1(buyingacalloptiononanassetthatexpiresattime

Ttogetherwitharisk-freezero-couponbondthatalsoexpiresat

timeT)isequivalenttoholdingthesameassetandinitiatinga

protectiveputonit(buyingaputoptionwithanexercisepriceofX

thatcanbeusedtoselltheassetforXattimeT).：這道題目問的

是持有資產(chǎn)并購(gòu)買該資產(chǎn)的看跌期權(quán)相當(dāng)于：A是正確的。在買賣權(quán)平價(jià)公式

下，一個(gè)信托看漲期權(quán)(購(gòu)買在時(shí)間T到期的資產(chǎn)的看漲期權(quán)和在時(shí)間T到期

的無風(fēng)險(xiǎn)零息債券)相當(dāng)于持有同一資產(chǎn)和一個(gè)保護(hù)看跌期權(quán)(購(gòu)買一個(gè)行權(quán)

價(jià)格為X的看跌期權(quán)，可用于以X出售該資產(chǎn)在時(shí)間T)。

［單選題］18.Underput-call-forwardparity,whichofthe

followingtransactionsisriskfree:

A.Shortcall,longput,longforwardcontract,long\nrisk-freebond.

B.Longcall,shortput,longforwardcontract,short\nrisk-freebond.

C.Longcall,longput,shortforwardcontract,short\nrisk-freebond.

正確答案：A

參考解析：Aiscorrect.Purchasingalongforwardcontractanda

risk-freebondcreatesasyntheticasset.Combiningalongsynthetic

asset,alongput,andashortcallisriskfreebecauseitspayoffs

produceaknowncashflowofthevalueoftheexerciseprice.：這道

題目問的是根據(jù)遠(yuǎn)期買賣權(quán)平價(jià)公式，以下哪項(xiàng)交易是無風(fēng)險(xiǎn)的？A是正確

的。購(gòu)買遠(yuǎn)期合約和無風(fēng)險(xiǎn)債券合成了一項(xiàng)資產(chǎn)。將持有一個(gè)資產(chǎn)、一個(gè)看跌

期權(quán)和賣出一個(gè)看漲期權(quán)組合起來是無風(fēng)險(xiǎn)的，因?yàn)槠涫找婢褪切袡?quán)價(jià)格。

［單選題］19.Combiningaprotectiveputwithaforward

conliacLgeiieiaLesequivalentoutcomesalexpiiciLionLollioseofa:

A.fiduciarycall.

B.longcallcombinedwithashortasset.

C.forwardcontractcombinedwitharisk-freebond.

正確答案：A

參考解析：Aiscorrect.Put-callforwardparitydemonstratesthatthe

outcomeofaprotectiveputwithaforwardcontract(longput,long

risk-freebond,longforwardcontract)equalstheoutcomeofa

fiduciarycall(longcall,longrisk-freebond).Theoutcomeofa

protectiveputwithaforwardcontractisalsoequaltotheoutcome

ofaprotectiveputwithasset(longput,longasset).：這道題目問

的是將保護(hù)性看跌期權(quán)與遠(yuǎn)期合約相結(jié)合，可在到期時(shí)產(chǎn)生與下列哪一個(gè)有相

同的結(jié)果？A是正確的。根據(jù)遠(yuǎn)期買賣權(quán)平價(jià)公式：帶有遠(yuǎn)期合約的保護(hù)性看

跌期權(quán)等于信托看漲期權(quán)。

［單選題］20.Ifacalloptionispricedhigherthanthebinomialmodel

predicts,investorscanearnareturninexcessoftherisk-freerate

by：

A.investingattherisk-freerate,sellingacall,andsellingthe

underlying.

B.borrowingattherisk-freerate,buyingacall,andbuyingthe

underlying.

C.borrowingattherisk-freerate,sellingacall,andbuyingthe

underlying.

正確答案：C

參考解析：Ciscorrect.Ifanoptionistradingabovethevalue

predictedbythebinomialmodel,investorscanengageinarbitrageby

sellingacall,buyingsharesoftheunderlying,andfundingthe

transactionbyborrowingattherisk-freerate.Thiswillearna

returninexcessoftherisk-freerate.：這道題目問的是如果看漲期權(quán)

的定價(jià)高于二項(xiàng)式模型的預(yù)測(cè)，投資者可以通過以下哪個(gè)方式獲得超過無風(fēng)險(xiǎn)

利率的回報(bào)？C是正確的。如果期權(quán)的交易高于二項(xiàng)式模型預(yù)測(cè)的價(jià)值，投資

者可以通過賣出看漲期權(quán)、購(gòu)買標(biāo)的股票以及以無風(fēng)險(xiǎn)利率借貸來為交易提供

資金，從而進(jìn)行套利。這將獲得超過無風(fēng)險(xiǎn)利率的回報(bào)。

［單選題］21.Abeneficialopportunitycreatedbythederivativesmarket

istheabilityto:

A.adjustriskexposurestodesiredlevels.

B.generatereturnsproportionaltomovementsintheunderlying.

C.simultaneouslytakelongpositionsinmultiplehighlyliquidfixed-

incomesecurilies.

正確答案：A

參考解析：：Aiscorrect.Derivativesallowmarketparticipantsto

practicemoreeffectiveriskmanagement,aprocessbywhichan

organization,orindividual,definesthelevelofriskitwishesto

take,measuresthelevelofriskitistaking,andadjuststhelatter

toequaltheformer.Bisincorrectbecausederivativesare

characterizedbyarelativelyhighdegreeofleverage,meaningthat

participantsinderivativestransactionsusuallyhavetoinvestonly

asmallamount,asopposedtoalargeamount,oftheirowncapital

relativetothevalueoftheunderlying.Thisallowsparticipantsto

generatereturnsthataredisproportional.asopposedtoproportional,

tomovementsintheunderlying.Cisincorrectbecausederivatives

arenotneededtocopystrategiesthatcanbeimplementedwiththe

underlyingonastandalonebasis.Rather,derivativescanbeusedto

createstrategiesthatcannotbeimplementedwiththeunderlying

alone.Simultaneouslytakinglongpositionsinmultiplehighlyliquid

fixed-incomesecuritiesisastrategythatcanbeimplementedwith

theunderlyingsecuritiesonastandalonebasis.：這道題目問的是衍

生品市場(chǎng)創(chuàng)造的一個(gè)有利機(jī)會(huì)是：A.可以將風(fēng)險(xiǎn)敞口調(diào)整到期望水平,A正確

B.可以產(chǎn)生與標(biāo)的資產(chǎn)變動(dòng)成比例的回報(bào)。錯(cuò)誤，它允許產(chǎn)生與標(biāo)的資產(chǎn)的波

動(dòng)不相稱的回報(bào)，而不是成比例的回報(bào)。C.可以同時(shí)持有多種高流動(dòng)性固定收

益證券。這個(gè)說法錯(cuò)誤，因?yàn)檠苌ぞ卟恍枰獜?fù)制就可以單獨(dú)實(shí)施標(biāo)的資產(chǎn)的

策略。

［單選題］22.Acharacteristicofforwardcommitmentsisthatthey:

A.providelinearpayoffs.

B.donotdependontheoutcomeorpayoffofanunderlyingasset.

C.provideonepartytherighttoengageinfuturetransactionson

termsagreedoninadvance.

正確答案：A

參考解析：：Aiscorrectbecauseforwardcommitmentsprovidelinear

payoffs.Bisincorrectbecauseforwardcommitmentsdependonthe

outcomeorpayoffofanunderlyingasset.Cisincorrectbecause

forwardcommitmentsobligatepartiestomake(notprovidetheright

toengage)afinalpaymentcontingentontheperformanceofthe

underlying.：這道題目問的是遠(yuǎn)期承諾的一個(gè)特點(diǎn)是：A是正確的，因?yàn)檫h(yuǎn)

期承諾提供線性回報(bào)。B是不正確的，因?yàn)檫h(yuǎn)期承諾取決于標(biāo)的資產(chǎn)的結(jié)果或

收益。C是不正確的，因?yàn)檫h(yuǎn)期承諾使雙方都有義務(wù)根據(jù)標(biāo)的資產(chǎn)的情況做出

最終付款。

［單選題］23.Whichofthefollowingcombinationsreplicatesalong

derivativeposition?

A.Ashortderivativeandalongasset

B.Alongassetandashortrisk-freebond

C.Ashortderivativeandashortrisk-freebond

正確答案：B

參考解析：Biscorrect.Alongassetandashortrisk-freeasset

(meaningtoborrowattherisk-freerate)canbecombinedtoproduce

alongderivativeposition.Aisincorrectbecauseashortderivative

andalongassetcombinetoproduceapositionequivalenttoalong

risk-freebond,notalongderivative.Cisincorrectbecauseashort

derivativeandashortrisk-freebondcombinetoproduceaposition

equivalenttoashortasset,notalongderivative.：這道題目問的是

以下哪種組合復(fù)制了一個(gè)持有衍生品頭寸？B是正確的。持有一個(gè)資產(chǎn)和賣出

一個(gè)無風(fēng)險(xiǎn)資產(chǎn)(即以無風(fēng)險(xiǎn)利率借款)可以組合起來產(chǎn)生一個(gè)持有衍生品頭

寸。

［單選題］24.Comparedwiththeunderlyingspotmarket,derivative

marketsaremorelikelytohave:

A.greaterliquidity.

B.highertransactioncosts.

C.highercapitalrequirements.

正確答案：A

參考角星析：：Aiscorrect.Derivativemarketstypicallyhavegreater

liquiditythantheunderlyingspotmarketasaresultofthelower

capitalrequiredtotradederivativescomparedwiththeunderlying.

Derivativesalsohavelowertransactioncostsandlowercapital

requirementsthantheunderlying.Bisincorrectbecausetransaction

costsforderivativesarelowerthantheunderlyingspotmarket.Cis

incorrectbecausederivativesmarketshavelowercapitalrequirements

thantheunderlyingspotmarket.：這道題目問的是與基礎(chǔ)現(xiàn)貨市場(chǎng)相

比，衍生品市場(chǎng)更有可能：A是正確的。衍生品市場(chǎng)的流動(dòng)性通常高于基礎(chǔ)現(xiàn)

貨市場(chǎng)，因?yàn)榕c基礎(chǔ)現(xiàn)貨市場(chǎng)相比，交易衍生品所需的資本較低。衍生品的交

易成本和資本要求也低于基礎(chǔ)資產(chǎn)。

［單選題］25.Whichofthefollowingderivativesprovidepayoffsthat

arenon-linearlyrelatedtothepayoffsoftheunderlying?

A.Options

B.Forwards

C.InLeresl-ialeswaps

正確答案：A

參考解析：：Aiscorrect.Optionsareclassifiedasacontingent

claimwhichprovidespayoffsthatarenon-linearlyrelatedtothe

performanceoftheunderlying.Bisincorrectbecauseforwardsare

classifiedasaforwardcommitment,whichprovidespayoffsthatare

linearlyrelatedtotheperformanceoftheunderlying.Cisincorrect

becauseinterest-rateswapsareclassifiedasaforwardcommitment,

whichprovidespayoffsthatarelinearlyrelatedtotheperformance

oftheunderlying.：這道題目問的是下列哪種衍生品的收益與標(biāo)的資產(chǎn)的

收益是呈非線性關(guān)系的？A是正確的。期權(quán)它是一種或有權(quán)益，它的收益與標(biāo)

的資產(chǎn)的收益表現(xiàn)的是一個(gè)非線性的關(guān)系。而遠(yuǎn)期和互換的收益與標(biāo)的資產(chǎn)的

收益是呈線性關(guān)系的。

［單選題］26.AEuropeancalloptionandaEuropeanputoptionare

writtenonthesameunderlying,andbothoptionshavethesame

expirationdateandexerciseprice.Atexpiration,itispossible

thatbothoptionswillhave:

A.negativevalues.

B.thesamevalue.

C.positivevalues.

正確答案：B

參考解析：Biscorrect.Iftheunderlyinghasavalueequaltothe

exercisepriceatexpiration,bothoptionswillhavezerovaluesince

theybothhavethesameexerciseprice.Forexample,iftheexercise

priceis$25andatexpirationtheunderlyingpriceis$25,boththe

calloptionandtheputoptionwillhaveavalueofzero.Thevalue

ofanoptioncannotfallbelowzero.Theholderofanoptionisnot

obligatedtoexercisetheoption;therefore,theoptionseachhavea

minimumvalueofzero.Ifthecallhasapositivevalue,theput,by

definition,musthaveazerovalueandviceversa.Bothcannothavea

positivevalue.期權(quán)到期，說明Timevalue=0()ptionvalue(OV)=intrinsic

value(TV)timevalue=intrinsicvalue(IV)寫出在T時(shí)刻,兩個(gè)期權(quán)的內(nèi)在

價(jià)值:call:OV=IV=Max［0,ST-X］put:0V=IV=Max［0,X-ST］假設(shè)ST>X,此時(shí)

call的OV大于0,put的0V=0,兩個(gè)value不相等假設(shè)ST<X,此時(shí)call的

0V=0,put的0V大于0,兩個(gè)value不相等假設(shè)ST=X,此時(shí)call的0V=0,put

的0V=0,兩個(gè)value相等所以選B

［單選題］27.Inadeclininginterestrateenvironment,comparedwitha

sequential-payCMO'sClassAtranche,itsClassCtranchewillbe

lepaid：

A.earlier.

B.atthesamepace.

C.later.

正確答案：C

參考解析：Ciscorrect.Lowerinterestratesenticehomeownerstopay

offtheirmortgagesearlybecausetheycanrefinanceatlowerrates.

Withasequential-paystructure,theAtrancheinaCMOwillbearthe

firstwaveofprepaymentsuntilthattranchehasbeencompletely

repaiditsfullprincipalinvestment.Atthatpoint,thenexttranche

(B)willbearprepaymentsuntilthattranchehasbeenfullyrepaid,

andsoon.Therefore,theClassCtrancheofthisCMOwillberepaid

last,afterboththeClassAandBtranches.Basedonthe2022CFA

ProgramCFALevelIErrata,Solutionhasbeenupdatedtolatest

version.請(qǐng)(做了原版書課后題的同學(xué))注意：2022年原版書課后題錯(cuò)誤，

CFA協(xié)會(huì)發(fā)布的勘誤已更新在本題(英文/中文/視頻)，C是正確。較低的利

率使房主提前還款，因?yàn)榭稍谑袌?chǎng)以較低的利率再融資。按照順序支付結(jié)構(gòu)，

CM0中的A層級(jí)將承擔(dān)第一波預(yù)付款，直到該部分完全償還掉。如果還有多余的

CF,下一批B層級(jí)將繼續(xù)承擔(dān)預(yù)付款，直到還完B層級(jí)為止，依此類推。因

此，本CM0的C層級(jí)將在A和B層級(jí)貸款之后，最后得到償還。CFA協(xié)會(huì)勘誤

鏈接“https://wAvw.cfainstitute.org/en/programs/submit-errata

［單選題］28.Basedonthebinomialmodel,anincreaseintheactual

probabilityofanupwardmoveintheunderlyingwillresultinthe

optionprice:

A.decreasing.

B.remainingthesame.

C.increasing.

正確答案：B

參考解析：Biscorrect.Thebinomialmodeldoesnotconsiderthe

actualprobabilitiesofupwardanddownwardmovementsindetermining

theoptionvalue.Thus,achangeinthisprobabilityhasnoeffecton

thecalculatedoptionprice.：這道題目問的是根據(jù)二項(xiàng)式模型，標(biāo)的資

產(chǎn)向上移動(dòng)的實(shí)際概率增加將導(dǎo)致期權(quán)價(jià)格：B是正確的。二項(xiàng)式模型在確定

期權(quán)價(jià)值時(shí)不考慮實(shí)際的上下波動(dòng)概率。因此，該概率的變化對(duì)計(jì)算出的期權(quán)

價(jià)格沒有影響。

［單選題］29.Ifnocashisinitiallyexchanged,aswapiscomparableto

aseriesofforwardcontractswhen:

A.theswappaymentsarevariable.

B.thecombinedvalueofalltheforwaidconlracLsiszeio.

C.alltheforwardcontractshavethesameagreed-onprice.

正確答案：B

參考解析：Biscorrect.Whentwopartiesengageinaseriesof

forwardcontractsandinitiallyagreeonapriceofFSO(T),someof

theforwardcontractshavepositivevaluesandsomehavenegative

values,buttheircombinedvalueequalszero.Aisincorrectbecause

foraswap,allpaymentsarefixedandequal,notvariable.Cis

incorrectbecauseforwardpricesaredeterminedbythespotpriceand

thenetcostofcarry,meaningthatforwardcontractsexpiringat

differenttimeswillhavedifferentprices,notthesameprice.：這

道題目問的是如果最初沒有交換現(xiàn)金，互換相當(dāng)于怎樣的一系列遠(yuǎn)期合約？B

是正確的。當(dāng)雙方簽訂一系列遠(yuǎn)期合約并初步商定FSO(T)的價(jià)格時(shí)，有些遠(yuǎn)

期合約為正值，有些遠(yuǎn)期合約為負(fù)值，但其總價(jià)值為零。A不正確，因?yàn)閷?duì)于

互換，所有付款都是固定相等的，而不是可變的。C不正確，因?yàn)檫h(yuǎn)期價(jià)格是

由現(xiàn)貨價(jià)格和持有成木決定的，這意味著在不同時(shí)間到期的遠(yuǎn)期合同將有不同

的價(jià)格，而不是相同的價(jià)格。

［單選題］30.Withrespecttoaforwardcontract,asmarketconditions

change:

A.onlythepricefluctuates.

B.onlythevaluefluctuates.

C.boththepriceandthevaluefluctuate.

正確答案：B

參考角星析：Biscorrect.Thevalueoftheforwardcontract,unlikeits

price,willadjustasmarketconditionschange.Theforwardpriceis

fixedatinitiation.：這道題目問的是對(duì)于遠(yuǎn)期合約，隨著市場(chǎng)條件的變

化會(huì)發(fā)生什么？B是正確的。遠(yuǎn)期合約的價(jià)值不同于其價(jià)格，將隨著市場(chǎng)條件

的變化而調(diào)整。遠(yuǎn)期價(jià)格在開始時(shí)就是固定的。

［單選題］31.Thejuniorandseniortranchesofanasset-backedsecurity:

A.haveequivalentexpectedreturns.

B.haveclaimsonseparateunderlyingportfolios.

C.maybedifferentiallyimpactedbyprepaymentsorcreditlosses.

正確答案：C

參考解析：：Ciscorrect.Anasset-backedsecurityisaderivative

contractinwhichaportfolioofdebtinstrumentsisassembledand

claimsareissuedontheportfoliointheformoftranches,which

havedifferentprioritiesofclaimsonthepaymentsmadebythedebt

securitiessuchthatprepaymentsorcreditlossesareallocatedto

IlieinosLjuniorlianchesfiislandLhemosIseniortrancheslasL.A

isincorrectbecausetheexpectedreturnsofthetranchesvary

accordingtotheperceivedcreditrisk,withtheseniortranches

havingthehighestcreditqualityandthejuniortranchesthelowest.

Thus,theseniortrancheshavethelowestexpectedreturnsandthe

juniortrancheshavethehighest.Notably,inabondmutualfundor

anETF,allinvestorsinthefundhaveequalclaims,andsotherate

ofreturnearnedbyeachinvestoristhesame.Bisincorrectbecause

anasset-backedsecurityisaderivativecontractinwhichasingle

portfolioofsecuritiesisassembledandclaimsareissuedonthe

portfoliointheformoftranches.：這道題目問的是資產(chǎn)支持證券的初

級(jí)和高級(jí)層級(jí)是怎樣的？C是正確的。資產(chǎn)支持證券的層級(jí)不同，會(huì)有不同的

優(yōu)先權(quán)，預(yù)付款或信貸損失被首先分配給最初級(jí)的層級(jí)，大多數(shù)高級(jí)層級(jí)在之

后被分配。

［單選題］32.Forwardcoirmitmentssubjecttodefaultare:

A.forwardsandfutures.

B.futuresandinterestrateswaps.

C.interestrateswapsandforwards.

正確答案：C

參考解析：：Ciscorrect.Interestrateswapsandforwardsareover-

the-countercontractsthatareprivatelynegotiatedandareboth

subjecttodefault.Futurescontractsaretradedonanexchange,

whichprovidesacreditguaranteeandprotectionagainstdefault.A

isincorrectbecausefuturesareexchange-tradedcontractswhich

providedailysettlementofgainsandlossesandacreditguarantee

bytheexchangethroughitsclearinghouse.Bisincorrectbecause

futuresareexchange-tradedcontr