CFA特许金融分析师-CFA一级-衍生

CFA特许金融分析师-CFA一级-衍生[单选题]1.StocksBWQandZERareeachcurrentlypricedat$100pershare.Overthenext（江南博哥）year,stockBWQisexpectedtogeneratesignificantbenefitswhereasstockZERisnotexpectedtogenerateanybenefits.Therearenocarryingcostsassociatedwithholdingeitherstockoverthenextyear.ComparedwithZER,theone-yearforwardpriceofBWQismostlikely:A.lower.B.thesame.C.higher.正确答案：A参考解析：Aiscorrect.Theforwardpriceofeachstockisfoundbycompoundingthespotpricebytherisk-freeratefortheperiodandthensubtractingthefuturevalueofanybenefitsandaddingthefuturevalueofanycosts.Intheabsenceofanybenefitsorcosts,theone-yearforwardpricesofBWQandZERshouldbeequal.AftersubtractingthebenefitsrelatedtoBWQ,theone-yearforwardpriceofBWQislowerthantheone-yearforwardpriceofZER.：这道题目问的是BWQ和ZER的股票目前每股定价为100美元。在接下来的一年中，股票BWQ预计将产生重大效益，而股票ZER预计不会产生任何效益。在未来一年内持有任何一种股票都没有相关的成本。与ZER相比，BWQ的一年期远期价格最有可能是：A是正确的。每只股票的远期价格是通过将现货价格与该期间的无风险利率复合，然后减去任何收益的未来价值，再加上任何成本的未来价值而得出的。在没有任何收益或成本的情况下，BWQ和ZER的一年期远期价格应相等。扣除与BWQ相关的收益后，BWQ的一年期远期价格低于ZER的一年期远期价格。[单选题]2.Whichofthefollowingstatementsbestrepresentsinformationdiscoveryinthefuturesmarket?A.Thefuturespriceispredictive.B.Informationflowsmoreslowlyintothefuturesmarketthanintothespotmarket.C.Thefuturesmarketrevealsthepricethattheholderoftheassetcantaketoavoiduncertainty.正确答案：C参考解析：：Ciscorrect.Thefuturesmarketrevealsthepricethattheholderofanassetcouldtakeandavoidtheriskofuncertainty.Aisincorrectbecausealthoughthefuturespriceissometimesthoughtofaspredictive,itprovidesonlyalittlemoreinformationthandoesaspotpriceandisnotreallyaforecastofthefuturesspotprice.Bisincorrectbecausebyvirtueofthefactthatthefuturesmarketrequireslesscapital,informationcanflowintothefuturesmarketbeforeitgetsintothespotmarket.：这道题目问的是以下哪项陈述最能代表期货市场的信息发现？C是正确的。期货市场揭示了资产持有者可以承受的价格，避免了不确定性风险。A是不正确的，因为尽管期货价格有时被认为是可预测的，但它提供的信息只比现货价格多一点，并不是对期货即期价格的真正预测。B是不正确的，因为期货市场需要较少的资本，信息可以在进入现货市场之前流入期货市场。[单选题]3.Basedonput-callparity,atraderwhocombinesalongasset,alongput,andashortcallwillcreateasynthetic:A.longbond.B.fiduciarycall.C.protectiveput.正确答案：A参考解析：Aiscorrect.Alongbondcanbesyntheticallycreatedbycombiningalongasset,alongput,andashortcall.Afiduciarycalliscreatedbycombiningalongcallwithariskfreebond.Aprotectiveputiscreatedbycombiningalongassetwithalongput.这道题目问的是基于买卖权平价，将持有资产、持有看跌期权和卖出看涨期权组合在一起的交易者将合成什么？A是正确的。持有一个债券可以通过持有资产、持有看跌期权和卖出看涨期权组合来合成。信用买权是通过持有看涨期权与无风险债券相结合而产生的。保护性看跌期权是通过将持有资产与持有看跌期权相结合而产生的。[单选题]4.Whichofthefollowingstatementsabouttheshortpositioninadeliverableforwardcontractismostlikelyaccurate?A.Itisobligatedtodeliverthespecifiedasset.B.Itmakesacashpaymenttothelongatsettlement.C.Ithasnodefaultrisk.正确答案：A参考解析：TheshortinaForwardcontractisobligatedtodeliverthespecifiedassetatthecontractpriceonthesettlementdate.Eitherpartymayhavedefaultriskifthereisanyprobabilitythatthecounterpartymaynotperformunderthetermsofthecontract.远期合同中的空头有义务在结算日按合同价格交付指定资产。如果对方有任何可能不履行合同条款，任何一方都可能有违约风险。[单选题]5.Anarbitrageurwillmostlikelyexecuteatradewhen:A.transactioncostsarelow.B.costsofshort-sellingarehigh.C.pricesareconsistentwiththelawofoneprice.正确答案：A参考解析：Aiscorrect.Somearbitrageopportunitiesrepresentsuchsmallpricediscrepanciesthattheyareonlyworthexploitingifthetransactioncostsarelow.Anarbitrageopportunitymayrequireshort-sellingassetsatcoststhateliminateanyprofitpotential.Ifthelawofonepriceholds,thereisnoarbitrageopportunity.：这道题目问的是套利者最有可能在哪一个情况下进行交易？A是正确的。一些套利机会是由于出现一个比较小的价格差异，只有在交易成本较低的情况下才值得利用。套利机会需要卖空的成本较小。如果一价定律成立，就没有套利机会。[单选题]6.Whichofthefollowingstatementsregardingthesettlementofforwardcontractsiscorrect?A.Contractsettlementbycashhasdifferenteconomiceffectsfromthoseofasettlementbydelivery.B.Non-deliverableforwardsandcontractsfordifferenceshavedistinctsettlementprocedures.C.Atcashsettlement,whenthelongpartyacquirestheassetinthemarket,iteffectivelypaystheforwardprice.正确答案：C参考解析：：Ciscorrect.Inthecaseofcashsettlement,thelongcanacquiretheasset,effectivelypayingtheforwardprice,F0(T).Aisincorrectbecauseforwardcontractssettledbycashorbydeliveryhavethesameeconomiceffect.Bisincorrectbecausebothnon-deliverableforwardsandcontractsfordifferencescansettlebyanexchangeofcash.：这道题目问的是下列关于远期合约结算正确的是哪一项？C是正确的。在现金结算下，多头支付远期价格就可以获得资产。[单选题]7.Incontrasttogambling,derivativesspeculation:A.hasapositivepublicimage.B.isaformoffinancialrisktaking.C.benefitsthefinancialmarketsandthussociety.正确答案：C参考解析：：Ciscorrect.Derivativestradingbringsextensivebenefitstofinancialmarkets(lowcosts,lowcapitalrequirements,easeofgoingshort,etc.)andthusbenefitssocietyasawhole.Gambling,ontheotherhand,typicallybenefitsonlyalimitednumberofparticipants.Aisincorrectbecausethegeneralimageofspeculatorsisnotagoodone.Speculatorsareoftenthoughttobeshort-termtraderswhoattempttoexploittemporaryinefficiencies,caringlittleaboutlong-termfundamentalvalues.Bisincorrectbecausespeculationandgamblingarebothformsoffinancialrisktaking.：这道题目问的是与赌博相比、衍生品投机是怎么样的？C是正确的。衍生品交易给金融市场带来了广泛的利益（低成本、低资本要求、易于做空等），从而使整个社会受益。而赌博通常只给有限的参与者带来好处。A是不正确的，因为投机者的总体形象并不好。投机者通常被认为是短期交易者，他们试图寻找利用暂时的市场无效性，很少关心长期的基本价值。B是不正确的，因为投机和赌博都是承担金融风险的。[单选题]8.Totheholderofalongposition,itismoredesirabletoownaforwardcontractthanafuturescontractwheninterestratesandfuturespricesare:A.negativelycorrelated.B.uncorrelated.C.positivelycorrelated.正确答案：A参考解析：Aiscorrect.Iffuturespricesandinterestratesarenegativelycorrelated,forwardsaremoredesirabletoholdersoflongpositionsthanarefutures.Thisisbecauserisingpricesleadtofuturesprofitsthatarereinvestedinperiodsoffallinginterestrates.Itisbettertoreceiveallofthecashatexpirationundersuchconditions.Iffuturespricesandinterestratesareuncorrelated,forwardandfuturespriceswillbethesame.Iffuturespricesarepositivelycorrelatedwithinterestrates,futurescontractsaremoredesirabletoholdersoflongpositionsthanareforwards.：这道题目问的是对于持有多头头寸的人，当利率和期货价格什么关系下，远期合约更受欢迎？A是正确的。如果期货价格和利率呈负相关，那么远期比期货更适合持有多头头寸的人。这是因为价格上涨会导致期货利润在利率下降的时期被重新投资。在这种情况下，最好在到期时收到全部现金。如果期货价格和利率不相关，远期和期货价格将相同。如果期货价格与利率正相关，那么持有多头头寸的期货合约比远期合约更受欢迎。[单选题]9.Thebuyerofanoptionhasacontingentclaiminthesensethattheoptioncreates:A.aright.B.anobligation.C.alinearpayoffwithrespecttogainsandlossesoftheunderlying.正确答案：A参考解析：：Aiscorrect.Acontingentclaim,aderivativeinwhichtheoutcomeorpayoffdependsontheoutcomeorpayoffofanunderlyingasset,hascometobeassociatedwitharight,butnotanobligation,tomakeafinalpaymentcontingentontheperformanceoftheunderlying.Bisincorrectbecauseanoption,asacontingentclaim,grantstherightbutnottheobligationtobuyorselltheunderlyingatalaterdate.Cisincorrectbecausetheholderofanoptionhasachoiceofwhethertoexercisetheoption.Thischoicecreatesapayoffthattransformstheunderlyingpayoffinamorepronouncedmannerthandoesaforward,futures,orswap,whichprovidelinearpayoffs.Optionsaredifferentinthattheylimitlossesinonedirection.：这道题目问的是期权的买方有一项或有权益，即期权产生：A是正确的。期权的买方是被赋予在日后购买或出售标的资产的权利，而非义务，所以B错误。C是不正确的，因为期权买方有权选择是否行权。这种选择下它的收益跟基础资产的关系是非线性的。[单选题]10.Afuturescontractisbestdescribedasacontractthatis:A.standardized.B.subjecttocreditrisk.C.markedtomarketthroughoutthetradingday.正确答案：A参考解析：：Aiscorrect.Afuturescontractisastandardizedderivativecontract.Bisincorrectbecausethroughitsclearinghousethefuturesexchangeprovidesacreditguaranteethatitwillmakeupalossintheeventalosingpartycannotpay.Cisincorrectbecauseafuturescontractismarkedtomarketattheendofeachday,aprocessinwhichthefuturesclearinghousedeterminesanaverageofthefinalfuturestradeofthedayanddesignatesthatpriceasthesettlementprice.：这道题目问的是期货合约是一个什么样的合约？A是正确的。期货合约是一种标准化的衍生合约。[单选题]11.Atexpiration,aEuropeanputoptionwillbevaluableiftheexercisepriceis:A.lessthantheunderlyingprice.B.equaltotheunderlyingprice.C.greaterthantheunderlyingprice.正确答案：C参考解析：Ciscorrect.AEuropeanputoptionwillbevaluableatexpirationiftheexercisepriceisgreaterthantheunderlyingprice.Theholdercanput(deliver)theunderlyingandreceivetheexercisepricewhichishigherthanthespotprice.AEuropeanputoptionwouldbeworthlessiftheexercisepricewasequaltoorlessthantheunderlyingprice.：这道题目问的是到期时，一个欧式看跌期权是有价值的时候，行权价格为？C是正确的。如果行权价格高于标的价格，欧式看跌期权在到期时将是有价值的。持有人可以卖出标的证券，并获得高于现货价格的行权价格。如果行权价格等于或低于标的价格，欧式看跌期权将没有价值。[单选题]12.Todeterminethepriceofanoptiontoday,thebinomialmodelrequires:A.sellingoneputandbuyingoneoffsettingcall.B.buyingoneunitoftheunderlyingandsellingonematchingcall.C.usingtherisk-freeratetodeterminetherequirednumberofunitsoftheunderlying.正确答案：C参考解析：Ciscorrect.Pricinganoptionreliesonthefactsthataperfectlyhedgedinvestmentearnstherisk-freerateandthat,basedonthebinomialoptionpricingmodel,thesizeofthetwopossiblechangesintheoptionprice(meaningthepotentialstepuporstepdownintheoptionvalue)afteroneperiodareequivalent.这道题目问：要确定期权t=0的价格，二叉树模型要求：这里补充说明“二叉树模型”是什么？如附图：买入long“h”份股票S，并且卖出short“1”份看涨期权，此时构建了一个投资组合portfolio。经过①至④可以构建一个价值不变的投资组合。此时t=0时刻的投资组合价值V0=hS0-c0，应该和t=1时刻投资组合价值V1=hS1-c1折现到0时间点是相等的V0=V1。回到题目：A不对。call和put不能构成二叉树模型“binomialmodel”。B不正确。一比一的关系是不对的，应该是h比1的关系。C是正确的。期权定价依赖于无风险利率，而不是真实的市场利率。这个问题在一级中考查有点难，主要是涉及了二级衍生的知识。以下图形可以方便理解。[单选题]13.Whichofthefollowingstatementsregardingcommodityderivativesiscorrect?A.Theprimarycommodityderivativesarefutures.B.Commoditiesaresubjecttoasetofwell-definedriskfactors.C.Commoditytradersandfinancialtraderstodayaredistinctgroupswithinthefinancialworld.正确答案：A参考解析：：Aiscorrect.Theprimarycommodityderivativesarefutures,butforwards,swaps,andoptionsarealsoused.Bisincorrectbecausethecommoditymarketisextremelylargeandsubjecttoanalmostunimaginablearrayofrisks.Cisincorrectbecausecommodityandfinancialtradershavebecomerelativelyhomogeneoussincethecreationoffinancialfutures.Historically,commoditytradersandfinancialtraderswerequitedifferentgroups,andthereusedtobeatendencytothinkofthecommodityworldassomewhatseparatefromthefinancialworld.：这道题目问的是下列关于大宗商品衍生品的陈述中哪一项是正确的？A是正确的。主要的大宗商品衍生品是期货，但是也有远期、互换和期权。B是不正确的，因为大宗商品市场非常大，面临着几乎难以想象的一系列风险。C是不正确的，现在大宗商品交易商和金融交易员变得相对同质。过去人们往往认为大宗商品世界与金融世界有些不同。[单选题]14.Incontrasttoaforwardcontract,afuturescontract:A.tradesover-the-counter.B.isinitiatedatazerovalue.C.ismarked-to-marketdaily.正确答案：C参考解析：Ciscorrect.Futurescontractsaremarked-to-marketonadailybasis.Theaccumulatedgainsandlossesfromthepreviousday’stradingsessionaredeductedfromtheaccountsofthoseholdinglosingpositionsandtransferredtotheaccountsofthoseholdingwinningpositions.Futurescontractstradeonanexchange,forwardcontractsareover-the-countertransactions.Typicallybothforwardandfuturescontractsareinitiatedatazerovalue.：这道题目问的是与远期合约相比，期货合约是？C是正确的。期货合约每天按市价结算，逐日盯市制度。期货合约在交易所交易，远期合约是场外交易。远期合约和期货合约的价值都是以零开始的。[单选题]15.Atexpiration,Americancalloptionsareworth:A.lessthanEuropeancalloptions.B.thesameasEuropeancalloptions.C.morethanEuropeancalloptions.正确答案：B参考解析：Biscorrect.Atexpiration,thevaluesofAmericanandEuropeancalloptionsareeffectivelythesame;bothareworththegreaterofzeroandtheexercisevalue.：这道题目问的是在到期时，美式看涨期权的价值是：B是正确的。到期时，美式和欧式看涨期权的价值实际上是相同的。[单选题]16.Comparedwithexchange-tradedderivatives,over-the-counterderivativeswouldmostlikelybedescribedas:A.standardized.B.lesstransparent.C.moretransparent.正确答案：B参考解析：：Biscorrect.Over-thecounter-derivativesmarketsarecustomizedandmostlyunregulated.Asaresult,over-the-countermarketsarelesstransparentincomparisonwiththehighdegreeoftransparencyandstandardizationassociatedwithexchange-tradedderivativemarkets.Aisincorrectbecauseexchange-tradedderivativesarestandardized,whereasover-thecounterderivativesarecustomized.Cisincorrectbecauseexchange-tradedderivativesarecharacterizedbyahighdegreeoftransparencybecausealltransactionsaredisclosedtoexchangesandregulatoryagencies,whereasover-the-counterderivativesarerelativelyopaque.：这道题目问的是与场内衍生品相比，场外衍生品最有可能被描述为：场外衍生品市场是定制的大多不受监管。因此，与场内衍生品市场的高度透明度和标准化相比，场外市场的透明度较低。B正确。[单选题]17.Holdinganassetandbuyingaputonthatassetisequivalentto:A.initiatingafiduciarycall.B.buyingarisk-freezero-couponbondandsellingacalloption.C.sellingarisk-freezero-couponbondandbuyingacalloption.正确答案：A参考解析：Aiscorrect.Underput–callparity,initiatingafiduciarycall(buyingacalloptiononanassetthatexpiresattimeTtogetherwitharisk-freezero-couponbondthatalsoexpiresattimeT)isequivalenttoholdingthesameassetandinitiatingaprotectiveputonit(buyingaputoptionwithanexercisepriceofXthatcanbeusedtoselltheassetforXattimeT).：这道题目问的是持有资产并购买该资产的看跌期权相当于：A是正确的。在买卖权平价公式下，一个信托看涨期权（购买在时间T到期的资产的看涨期权和在时间T到期的无风险零息债券）相当于持有同一资产和一个保护看跌期权（购买一个行权价格为X的看跌期权，可用于以X出售该资产在时间T）。[单选题]18.Underput–call–forwardparity,whichofthefollowingtransactionsisriskfree:A.Shortcall,longput,longforwardcontract,long\nrisk-freebond.B.Longcall,shortput,longforwardcontract,short\nrisk-freebond.C.Longcall,longput,shortforwardcontract,short\nrisk-freebond.正确答案：A参考解析：Aiscorrect.Purchasingalongforwardcontractandarisk-freebondcreatesasyntheticasset.Combiningalongsyntheticasset,alongput,andashortcallisriskfreebecauseitspayoffsproduceaknowncashflowofthevalueoftheexerciseprice.：这道题目问的是根据远期买卖权平价公式，以下哪项交易是无风险的？A是正确的。购买远期合约和无风险债券合成了一项资产。将持有一个资产、一个看跌期权和卖出一个看涨期权组合起来是无风险的，因为其收益就是行权价格。[单选题]19.Combiningaprotectiveputwithaforwardcontractgeneratesequivalentoutcomesatexpirationtothoseofa:A.fiduciarycall.B.longcallcombinedwithashortasset.C.forwardcontractcombinedwitharisk-freebond.正确答案：A参考解析：Aiscorrect.Put-callforwardparitydemonstratesthattheoutcomeofaprotectiveputwithaforwardcontract(longput,longrisk-freebond,longforwardcontract)equalstheoutcomeofafiduciarycall(longcall,longrisk-freebond).Theoutcomeofaprotectiveputwithaforwardcontractisalsoequaltotheoutcomeofaprotectiveputwithasset(longput,longasset).：这道题目问的是将保护性看跌期权与远期合约相结合，可在到期时产生与下列哪一个有相同的结果？A是正确的。根据远期买卖权平价公式：带有远期合约的保护性看跌期权等于信托看涨期权。[单选题]20.Ifacalloptionispricedhigherthanthebinomialmodelpredicts,investorscanearnareturninexcessoftherisk-freerateby:A.investingattherisk-freerate,sellingacall,andsellingtheunderlying.B.borrowingattherisk-freerate,buyingacall,andbuyingtheunderlying.C.borrowingattherisk-freerate,sellingacall,andbuyingtheunderlying.正确答案：C参考解析：Ciscorrect.Ifanoptionistradingabovethevaluepredictedbythebinomialmodel,investorscanengageinarbitragebysellingacall,buyingsharesoftheunderlying,andfundingthetransactionbyborrowingattherisk-freerate.Thiswillearnareturninexcessoftherisk-freerate.：这道题目问的是如果看涨期权的定价高于二项式模型的预测，投资者可以通过以下哪个方式获得超过无风险利率的回报？C是正确的。如果期权的交易高于二项式模型预测的价值，投资者可以通过卖出看涨期权、购买标的股票以及以无风险利率借贷来为交易提供资金，从而进行套利。这将获得超过无风险利率的回报。[单选题]21.Abeneficialopportunitycreatedbythederivativesmarketistheabilityto:A.adjustriskexposurestodesiredlevels.B.generatereturnsproportionaltomovementsintheunderlying.C.simultaneouslytakelongpositionsinmultiplehighlyliquidfixed-incomesecurities.正确答案：A参考解析：：Aiscorrect.Derivativesallowmarketparticipantstopracticemoreeffectiveriskmanagement,aprocessbywhichanorganization,orindividual,definesthelevelofriskitwishestotake,measuresthelevelofriskitistaking,andadjuststhelattertoequaltheformer.Bisincorrectbecausederivativesarecharacterizedbyarelativelyhighdegreeofleverage,meaningthatparticipantsinderivativestransactionsusuallyhavetoinvestonlyasmallamount,asopposedtoalargeamount,oftheirowncapitalrelativetothevalueoftheunderlying.Thisallowsparticipantstogeneratereturnsthataredisproportional,asopposedtoproportional,tomovementsintheunderlying.Cisincorrectbecausederivativesarenotneededtocopystrategiesthatcanbeimplementedwiththeunderlyingonastandalonebasis.Rather,derivativescanbeusedtocreatestrategiesthatcannotbeimplementedwiththeunderlyingalone.Simultaneouslytakinglongpositionsinmultiplehighlyliquidfixed-incomesecuritiesisastrategythatcanbeimplementedwiththeunderlyingsecuritiesonastandalonebasis.：这道题目问的是衍生品市场创造的一个有利机会是：A.可以将风险敞口调整到期望水平。A正确B.可以产生与标的资产变动成比例的回报。错误，它允许产生与标的资产的波动不相称的回报，而不是成比例的回报。C.可以同时持有多种高流动性固定收益证券。这个说法错误，因为衍生工具不需要复制就可以单独实施标的资产的策略。[单选题]22.Acharacteristicofforwardcommitmentsisthatthey:A.providelinearpayoffs.B.donotdependontheoutcomeorpayoffofanunderlyingasset.C.provideonepartytherighttoengageinfuturetransactionsontermsagreedoninadvance.正确答案：A参考解析：：Aiscorrectbecauseforwardcommitmentsprovidelinearpayoffs.Bisincorrectbecauseforwardcommitmentsdependontheoutcomeorpayoffofanunderlyingasset.Cisincorrectbecauseforwardcommitmentsobligatepartiestomake(notprovidetherighttoengage)afinalpaymentcontingentontheperformanceoftheunderlying.：这道题目问的是远期承诺的一个特点是：A是正确的，因为远期承诺提供线性回报。B是不正确的，因为远期承诺取决于标的资产的结果或收益。C是不正确的，因为远期承诺使双方都有义务根据标的资产的情况做出最终付款。[单选题]23.Whichofthefollowingcombinationsreplicatesalongderivativeposition?A.AshortderivativeandalongassetB.Alongassetandashortrisk-freebondC.Ashortderivativeandashortrisk-freebond正确答案：B参考解析：Biscorrect.Alongassetandashortrisk-freeasset(meaningtoborrowattherisk-freerate)canbecombinedtoproducealongderivativeposition.Aisincorrectbecauseashortderivativeandalongassetcombinetoproduceapositionequivalenttoalongrisk-freebond,notalongderivative.Cisincorrectbecauseashortderivativeandashortrisk-freebondcombinetoproduceapositionequivalenttoashortasset,notalongderivative.：这道题目问的是以下哪种组合复制了一个持有衍生品头寸？B是正确的。持有一个资产和卖出一个无风险资产（即以无风险利率借款）可以组合起来产生一个持有衍生品头寸。[单选题]24.Comparedwiththeunderlyingspotmarket,derivativemarketsaremorelikelytohave:A.greaterliquidity.B.highertransactioncosts.C.highercapitalrequirements.正确答案：A参考解析：：Aiscorrect.Derivativemarketstypicallyhavegreaterliquiditythantheunderlyingspotmarketasaresultofthelowercapitalrequiredtotradederivativescomparedwiththeunderlying.Derivativesalsohavelowertransactioncostsandlowercapitalrequirementsthantheunderlying.Bisincorrectbecausetransactioncostsforderivativesarelowerthantheunderlyingspotmarket.Cisincorrectbecausederivativesmarketshavelowercapitalrequirementsthantheunderlyingspotmarket.：这道题目问的是与基础现货市场相比，衍生品市场更有可能：A是正确的。衍生品市场的流动性通常高于基础现货市场，因为与基础现货市场相比，交易衍生品所需的资本较低。衍生品的交易成本和资本要求也低于基础资产。[单选题]25.Whichofthefollowingderivativesprovidepayoffsthatarenon-linearlyrelatedtothepayoffsoftheunderlying?A.OptionsB.ForwardsC.Interest-rateswaps正确答案：A参考解析：：Aiscorrect.Optionsareclassifiedasacontingentclaimwhichprovidespayoffsthatarenon-linearlyrelatedtotheperformanceoftheunderlying.Bisincorrectbecauseforwardsareclassifiedasaforwardcommitment,whichprovidespayoffsthatarelinearlyrelatedtotheperformanceoftheunderlying.Cisincorrectbecauseinterest-rateswapsareclassifiedasaforwardcommitment,whichprovidespayoffsthatarelinearlyrelatedtotheperformanceoftheunderlying.：这道题目问的是下列哪种衍生品的收益与标的资产的收益是呈非线性关系的？A是正确的。期权它是一种或有权益，它的收益与标的资产的收益表现的是一个非线性的关系。而远期和互换的收益与标的资产的收益是呈线性关系的。[单选题]26.AEuropeancalloptionandaEuropeanputoptionarewrittenonthesameunderlying,andbothoptionshavethesameexpirationdateandexerciseprice.Atexpiration,itispossiblethatbothoptionswillhave:A.negativevalues.B.thesamevalue.C.positivevalues.正确答案：B参考解析：Biscorrect.Iftheunderlyinghasavalueequaltotheexercisepriceatexpiration,bothoptionswillhavezerovaluesincetheybothhavethesameexerciseprice.Forexample,iftheexercisepriceis$25andatexpirationtheunderlyingpriceis$25,boththecalloptionandtheputoptionwillhaveavalueofzero.Thevalueofanoptioncannotfallbelowzero.Theholderofanoptionisnotobligatedtoexercisetheoption;therefore,theoptionseachhaveaminimumvalueofzero.Ifthecallhasapositivevalue,theput,bydefinition,musthaveazerovalueandviceversa.Bothcannothaveapositivevalue.期权到期，说明Timevalue=0Optionvalue(OV)=intrinsicvalue(TV)timevalue=intrinsicvalue(IV)写出在T时刻，两个期权的内在价值:call:OV=IV=Max[0,ST-X]put:OV=IV=Max[0,X-ST]假设ST＞X，此时call的OV大于0，put的OV=0，两个value不相等假设ST＜X，此时call的OV=0，put的OV大于0，两个value不相等假设ST=X，此时call的OV=0，put的OV=0，两个value相等所以选B[单选题]27.Inadeclininginterestrateenvironment,comparedwithasequential-payCMO'sClassAtranche,itsClassCtranchewillberepaid：A.earlier.B.atthesamepace.C.later.正确答案：C参考解析：Ciscorrect.Lowerinterestratesenticehomeownerstopayofftheirmortgagesearlybecausetheycanrefinanceatlowerrates.Withasequential-paystructure,theAtrancheinaCMOwillbearthefirstwaveofprepaymentsuntilthattranchehasbeencompletelyrepaiditsfullprincipalinvestment.Atthatpoint,thenexttranche(B)willbearprepaymentsuntilthattranchehasbeenfullyrepaid,andsoon.Therefore,theClassCtrancheofthisCMOwillberepaidlast,afterboththeClassAandBtranches.Basedonthe2022CFAProgramCFALevelIErrata,Solutionhasbeenupdatedtolatestversion.请（做了原版书课后题的同学）注意：2022年原版书课后题错误，CFA协会发布的勘误已更新在本题（英文/中文/视频），C是正确。较低的利率使房主提前还款，因为可在市场以较低的利率再融资。按照顺序支付结构，CMO中的A层级将承担第一波预付款，直到该部分完全偿还掉。如果还有多余的CF，下一批B层级将继续承担预付款，直到还完B层级为止，依此类推。因此，本CMO的C层级将在A和B层级贷款之后，最后得到偿还。CFA协会勘误链接“/en/programs/submit-errata”[单选题]28.Basedonthebinomialmodel,anincreaseintheactualprobabilityofanupwardmoveintheunderlyingwillresultintheoptionprice:A.decreasing.B.remainingthesame.C.increasing.正确答案：B参考解析：Biscorrect.Thebinomialmodeldoesnotconsidertheactualprobabilitiesofupwardanddownwardmovementsindeterminingtheoptionvalue.Thus,achangeinthisprobabilityhasnoeffectonthecalculatedoptionprice.：这道题目问的是根据二项式模型，标的资产向上移动的实际概率增加将导致期权价格：B是正确的。二项式模型在确定期权价值时不考虑实际的上下波动概率。因此，该概率的变化对计算出的期权价格没有影响。[单选题]29.Ifnocashisinitiallyexchanged,aswapiscomparabletoaseriesofforwardcontractswhen:A.theswappaymentsarevariable.B.thecombinedvalueofalltheforwardcontractsiszero.C.alltheforwardcontractshavethesameagreed-onprice.正确答案：B参考解析：Biscorrect.WhentwopartiesengageinaseriesofforwardcontractsandinitiallyagreeonapriceofFS0(T),someoftheforwardcontractshavepositivevaluesandsomehavenegativevalues,buttheircombinedvalueequalszero.Aisincorrectbecauseforaswap,allpaymentsarefixedandequal,notvariable.Cisincorrectbecauseforwardpricesaredeterminedbythespotpriceandthenetcostofcarry,meaningthatforwardcontractsexpiringatdifferenttimeswillhavedifferentprices,notthesameprice.：这道题目问的是如果最初没有交换现金，互换相当于怎样的一系列远期合约？B是正确的。当双方签订一系列远期合约并初步商定FS0（T）的价格时，有些远期合约为正值，有些远期合约为负值，但其总价值为零。A不正确，因为对于互换，所有付款都是固定相等的，而不是可变的。C不正确，因为远期价格是由现货价格和持有成本决定的，这意味着在不同时间到期的远期合同将有不同的价格，而不是相同的价格。[单选题]30.Withrespecttoaforwardcontract,asmarketconditionschange:A.onlythepricefluctuates.B.onlythevaluefluctuates.C.boththepriceandthevaluefluctuate.正确答案：B参考解析：Biscorrect.Thevalueoftheforwardcontract,unlikeitsprice,willadjustasmarketconditionschange.Theforwardpriceisfixedatinitiation.：这道题目问的是对于远期合约，随着市场条件的变化会发生什么？B是正确的。远期合约的价值不同于其价格，将随着市场条件的变化而调整。远期价格在开始时就是固定的。[单选题]31.Thejuniorandseniortranchesofanasset-backedsecurity:A.haveequivalentexpectedreturns.B.haveclaimsonseparateunderlyingportfolios.C.maybedifferentiallyimpactedbyprepaymentsorcreditlosses.正确答案：C参考解析：：Ciscorrect.Anasset-backedsecurityisaderivativecontractinwhichaportfolioofdebtinstrumentsisassembledandclaimsareissuedontheportfoliointheformoftranches,whichhavedifferentprioritiesofclaimsonthepaymentsmadebythedebtsecuritiessuchthatprepaymentsorcreditlossesareallocatedtothemostjuniortranchesfirstandthemostseniortrancheslast.Aisincorrectbecausetheexpectedreturnsofthetranchesvaryaccordingtotheperceivedcreditrisk,withtheseniortrancheshavingthehighestcreditqualityandthejuniortranchesthelowest.Thus,theseniortrancheshavethelowestexpectedreturnsandthejuniortrancheshavethehighest.Notably,inabondmutualfundoranETF,allinvestorsinthefundhaveequalclaims,andsotherateofreturnearnedbyeachinvestoristhesame.Bisincorrectbecauseanasset-backedsecurityisaderivativecontractinwhichasingleportfolioofsecuritiesisassembledandclaimsareissuedontheportfoliointheformoftranches.：这道题目问的是资产支持证券的初级和高级层级是怎样的？C是正确的。资产支持证券的层级不同，会有不同的优先权，预付款或信贷损失被首先分配给最初级的层级，大多数高级层级在之后被分配。[单选题]32.Forwardcommitmentssubjecttodefaultare:A.forwardsandfutures.B.futuresandinterestrateswaps.C.interestrateswapsandforwards.正确答案：C参考解析：：Ciscorrect.Interestrateswapsandforwardsareover-the-countercontractsthatareprivatelynegotiatedandarebothsubjecttodefault.Futurescontractsaretradedonanexchange,whichprovidesacreditguaranteeandprotectionagainstdefault.Aisincorrectbecausefuturesareexchange-tradedcontractswhichprovidedailysettlementofgainsandlossesandacreditguaranteebytheexchangethroughitsclearinghouse.Bisincorrectbecausefuturesareexchange-tradedcontractswhichprovidedailysettlementofgainsandlossesandacreditguaranteebytheexchangethroughitsclearinghouse.：这道题目问的是以下哪一个选项里的远期承诺都有可能违约。C是正确的。利率互换和远期合约都是场外交易，都可能会违约。而期货合约在交易所交易，交易所提供信用担保和违约保护。[单选题]33.ThevalueofaEuropeancallopt