CFA一级百题进阶：衍生

8.Derivatives

Q-1.

Aderivativeisbestdescribedasafinancialinstrumentthatderivesitsperformanceby:

A.passingthroughthereturnsoftheunderlying.

B.replicatingtheperformanceoftheunderlying.

C.transformingtheperformanceoftheunderlying.

Solution:C.

Aderivativeisafinancialinstrumentthattransformstheperformanceoftheunderlying.The

transformationofperformancefunctionofderivativesiswhatdistinguishesitfrommutualfunds

andexchangetradedfundsthatpassthroughthereturnsoftheunderlying.

Aisincorrectbecausederivatives,incontrasttomutualfundsandexchangetradedfunds,donot

simplypassthroughthereturnsoftheunderlyingatpayout.Bisincorrectbecauseaderivative

transformsratherthanreplicatestheperformanceoftheunderlying.

1-11

Q-2.

Keven,ahedgefundmanager,observesthatthespotgoldpriceisnegativelycorrelated

withinterestrate.Heintendstogetprofitfromtheshort-termpricemovement.Which

instrumentismostsuitabletohimtolong?

A.forward

B.future

C.swap

Solution:A.

Iffuturespricesarepositivelycorrelatedwithinterestrates,futurescontractsaremoredesirable

toholdersoflongpositionsthanareforwards.Anegativecorrelationbetweenfuturespricesand

interestratesleadstotheoppositeinterpretation,withforwardsbeingmoredesirablethan

futurestothelongposition.

Iffuturespricesandinterestratesareuncorrelated,forwardsandfuturespriceswillbethesame.

Iffuturespricesarepositivelycorrelatedwithinterestrates,futurescontractsaremoredesirable

toholdersoflongpositionsthanareforwards.

Anegativecorrelationbetweenfuturespricesandinterestratesleadstotheopposite

interpretation,withforwardsbeingmoredesirablethanfuturestothelongposition.

Themoredesirablecontractwilltendtohavethehigherprice.

2-11

Q-3.

Acreditderivativeisaderivativecontractinwhichthe:

A.clearinghouseprovidesacreditguaranteetoboththebuyerandtheseller.

B.sellerprovidesprotectiontothebuyeragainstthecreditriskofathirdparty.

C.thebuyerandsellerprovideaperformancebondatinitiationofthecontract.

Solution:B.

Acreditderivativeisaderivativecontractinwhichthecreditprotectionsellerprovides

protectiontothecreditprotectionbuyeragainstthecreditriskofathirdparty.

Aisincorrectbecausetheclearinghouseprovidesacreditguaranteetoboththebuyerandthe

sellerofafuturescontract,whereasacreditderivativeisbetweentwoparties,inwhichthe

creditprotectionsellerprovidesacreditguaranteetothecreditprotectionbuyer.Cisincorrect

becausefuturescontractsrequirethatboththebuyerandthesellerofthefuturescontract

provideacashdepositforaportionofthefuturestransactionintoamarginaccount,often

referredtoasaperformancebondorgoodfaithdeposit.

3-11

Q-4.

Bynature,margininfuturescontractscanbemostlikelyregardedasa:

A.Loangrantedbybrokers.

B.Advancepaymenttocarryouttheultimatesettlement.

C.Depositofcommissionforbrokers.

Solution:B.

Amargindepositinfuturescontractisinfactaguaranteeofdeliveryoftheunderlyingassets.

Thechangeintheamountofmarginisacurrentgainorlossofcounterpartiesoffutures

contracts.Ifaparticipanthasamargingreaterthanhismaintenancemargin,he/shecan

withdrawthepartabovethemaintenanceleveltorealizethegain.

Theloangrantedbybrokersisusedinapurchaseinmarginofstocks.Commissionsareafee

chargedbybrokers.Itisatransactioncostandhasnodirectrelationwithmargin.

4-11

Q-5.

CompareanAmericancallwithastrikeof50whichexpiresin90daystoanAmerican

callonthesameunderlyingassetwhichhasastrikeof60andexpiresin120days.The

underlyingassetissellingat55.Considerthefollowingstatements:

Statement1:"The50strikecallisin-the-moneyandthe60strikecallis

out-of-the-money."

Statement2:"Thetimevalueofthe60strikecall,asaproportionofthe60strikecall's

premium,exceedsthetimevalueofthe50strikecallasaproportionofthe50strike

call'spremium."

Arethestatementsmostlikelycorrectorincorrect?

A.Bothstatementsarecorrect

B.Statement1isincorrect,butStatement2iscorrect

C.Statement1iscorrect,butStatement2isincorrect

Solution:A.

Acallisin-the-moneywhentheunderlyingassetpriceexceedsthestrikeprice.Theentire

premiumofthe60strikecallreflectstimevalue;onlyapartofthe50strikecall'spremiumis

timevalue,therestwillbeintrinsicvalue.

5-11

Q-6.

Thegreaterofeitherzeroorthepresentvalueoftheexercisepriceminusthe

underlyingpriceismostlikelythelowerboundonthepriceofa(n):

A.Europeanputoption.

B.Americanputoption.

C.Americancalloption.

Solution:A.

ForaEuropeanput,theexercisepricemustbeadjustedtothepresentvaluebecausetheoption

canonlybeexercisedonexpiration.

Option

MinValue

MaxValue

Europeancall

Max[0,S－X/(1+RFR)T－t

]

]

St

t

Americancall

Europeanput

Americanput

Max[0,S－X/(1+RFR)T－t

St

t

Max[0,X/(1+RFR)T－t－S]

X/(1+RFR)T－t

X

t

P≥Max[0,X－S]

t.

t

6-11

Q-7.

WithrespecttoAmericancalls,whichofthefollowingstatementsismostaccurate?

A.Americancallsshouldbeexercisedearlyiftheunderlyinghasreacheditsexpected

maximumprice

B.Americancallsshouldbeexercisedearlyiftheunderlyinghasalowerexpectedreturnthan

therisk-freerate

C.Americancallsshouldbeexercisedearlyonlyifthereisadividendorothercashpaymenton

theunderlying

Solution:C.

CashpaymentsontheunderlyingaretheonlyreasontoexerciseAmericancallsearly.Interest

rates,theexpectedreturnontheunderlying,andanynotionofamaximumpriceisirrelevant.

Butnotethatadividenddoesnotmeanthatearlyexerciseshouldautomaticallybeconducted.A

dividendisonlyanecessaryconditiontojustifyearlyexerciseforcalls.

7-11

Q-8.

Assumetheprobabilityofbankruptcyfortheunderlyingassetishigh.Comparedtothe

priceofanAmericanputoptiononthesameunderlyingasset,thepriceofan

equivalentEuropeanputoptionwillmostlikelybe:

A.lower.

B.higher.

C.thesamebecausetheprobabilityofbankruptcydoesnotaffectpricing.

Solution:A.

Inbankruptcy,thepriceofthebankruptcompany'sstockfalls.Inthelimititfallstozero.Ata

priceofzero,thepricecannotgoanylower,anditwouldbeadvantageoustoexercisethe

Americanputatthatpointintimeratherthanbeforcedtowaituntiltheexpirationdate.

Therefore,theAmerican-styleputislikelytohaveahigherpricethananequivalent

European-styleput.

8-11

Q-9.

Assumeanassetpaysnodividendsorinterest,andalsoassumethattheassetdoesnot

yieldanynon-financialbenefitsorincuranycarryingcost.Atinitiation,thepriceofa

forwardcontractonthatassetis:

A.lowerthanthevalueofthecontract.

B.equaltothevalueofthecontract.

C.greaterthanthevalueofthecontract.

Solution:C.

Thepriceofaforwardcontractisacontractuallyfixedprice,establishedatinitiation,atwhichthe

underlyingwillbepurchased(orsold)atexpiration.Thevalueofaforwardcontractatinitiationis

zero;therefore,theforwardpriceisgreaterthanthevalueoftheforwardcontractatinitiation.

9-11

Q-10.

Whichofthefollowingconditionswillnotmakefuturesandforwardpricesequivalent?