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$100per

share.Overthenextyear,stockBWQisexpectedtogenerate

significantbenefitswhereasstockZERisnotexpectedtogenerate

anybenefits.Therearenocarryingcostsassociatedwithholding

eitherstockoverthenextyear.ComparedwithZER,theone-year

forwardpriceofBWQismostlikely:A.lower.

B.thesame.

C.higher.

正确答案：A

参考解析：Aiscorrect.Theforwardpriceofeachstockisfoundby

compoundingthespotpricebytherisk-freeratefortheperiodand

thensubtractingthefuturevalueofanybenefitsandaddingthe

futurevalueofanycosts.Intheabsenceofanybenefitsorcosts,

theone-yearforwardpricesofBWQandZERshouldbeequal.After

subtractingthebenefitsrelatedtoBWQ,theone-yearforwardprice

ofBWQislowerthantheone-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.Whichofthefollowingstatementsbestrepresents

informationdiscoveryinthefuturesmarket?

A.Thefuturespriceispredictive.

B.Informationflowsmoreslowlyintothefuturesmarketthanintothe

spotmarket.

C.Thefuturesmarketrevealsthepricethattheholderoftheasset

cantaketoavoiduncertainty.

正确答案：C

参考解析：：Ciscorrect.Thefuturesmarketrevealsthepricethat

theholderofanassetcouldtakeandavoidtheriskofuncertainty.

Aisincorrectbecausealthoughthefuturespriceissometimes

thoughtofaspredictive,itprovidesonlyalittlemoreinformation

thandoesaspotpriceandisnotreallyaforecastofthefutures

spotprice.Bisincorrectbecausebyvirtueofthefactthatthe

futuresmarketrequireslesscapital,informationcanflowintothe

futuresmarketbeforeitgetsintothespotmarket.：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,atraderwhocombinesalong

asset,alongput,andashortcallwillcreateasynthetic:

A.longbond.

B.fiduciarycall.

C.protectiveput.

正确答案：A

参考解析：Aiscorrect.Alongbondcanbesyntheticallycreatedby

combiningalongasset,alongput,andashortcall.Afiduciary

calliscreatedbycombiningalongcallwithariskfreebond.A

protectiveputiscreatedbycombiningalongassetwithalongput.

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.Whichofthefollowingstatementsabouttheshortposition

inadeliverableforwardcontractismostlikelyaccurate?

A.Itisobligatedtodeliverthespecifiedasset.

B.Itmakesacashpaymenttothelongatsettlement.

C.Ithasnodefaultrisk.

正确答案：A

参考解析：TheshortinaForwardcontractisobligatedtodeliverthe

specifiedassetatthecontractpriceonthesettlementdate.Either

partymayhavedefaultriskifthereisanyprobabilitythatthe

counterpartymaynotperformunderthetermsofthecontract.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.Somearbitrageopportunitiesrepresentsuch

smallpricediscrepanciesthattheyareonlyworthexploitingifthe

transactioncostsarelow.Anarbitrageopportunitymayrequire

short-sellingassetsatcoststhateliminateanyprofitpotential.If

thelawofonepriceholds,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.Whichofthefollowingstatementsregardingthesettlement

offorwardcontractsiscorrect?

A.Contractsettlementbycashhasdifferenteconomiceffectsfrom

thoseofasettlementbydelivery.

B.Non-deliverableforwardsandcontractsfordifferenceshave

distinctsettlementprocedures.

C.Atcashsettlement,whenthelongpartyacquirestheassetinthe

market,iteffectivelypaystheforwardprice.

正确答案：C

参考解析：：Ciscorrect.Inthecaseofcashsettlement,thelong

canacquiretheasset,effectivelypayingtheforwardprice,FO(T).A

isincorrectbecauseforwardcontractssettledbycashorbydelivery

havethesameeconomiceffect.Bisincorrectbecausebothnon-

deliverableforwardsandcontractsfordifferencescansettlebyan

exchangeofcash.：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.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.：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.Afuturescontractisastandardized

derivativecontract.Bisincorrectbecausethroughitsclearinghouse

thefuturesexchangeprovidesacreditguaranteethatitwillmakeup

alossintheeventalosingpartycannotpay.Cisincorrectbecause

afuturescontractismarkedtomarketattheendofeachday,a

processinwhichthefuturesclearinghousedeterminesanaverageof

thefinalfuturestradeofthedayanddesignatesthatpriceasthe

settlementprice.：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,aEuropeanputoptionwillbevaluableif

theexercisepriceis:

A.lessthantheunderlyingprice.

B.equaltotheunderlyingprice.

C.greaterthantheunderlyingprice.

正确答案：C

参考解析：Ciscorrect.AEuropeanputoptionwillbevaluableat

expirationiftheexercisepriceisgreaterthantheunderlyingprice.

Theholdercanput(deliver)theunderlyingandreceivetheexercise

pricewhichishigherthanthespotprice.AEuropeanputoption

wouldbeworthlessiftheexercisepricewasequaltoorlessthan

theunderlyingprice.：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,thebinomial

modelrequires:

A.sellingonepulandbuyingoneoffsettingcall.

B.buyingoneunitoftheunderlyingandsellingonematchingcall.

C.usingtherisk-freeratetodeterminetherequirednumberofunits

oftheunderlying.

正确答案：C

参考解析：Ciscorrect.Pricinganoptionreliesonthefactsthata

perfectlyhedgedinvestmentearnstherisk-freerateandthat,based

onthebinomialoptionpricingmodel,thesizeofthetwopossible

changesintheoptionprice(meaningthepotentialstepuporstep

downintheoptionvalue)afteroneperiodareequivalent.这道题目

问：要确定期权廿0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portfolioo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=l时刻投资

组合价值Vl=hSl-cl折现到0时间点是相等的YO=V1。回到题目：A不对。

call和put不能构成二叉树模型"binomialmodel"0B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.Whichofthefollowingstatementsregardingcommodity

derivativesiscorrect?

A.Theprimarycommodityderivativesarefutures.

B.Commoditiesaresubjecttoasetofwell-definedriskfactors.

C.Commoditytradersandfinancialtraderstodayaredistinctgroups

withinthefinancialworld.

正确答案：A

参考解析：：Aiscorrect.Theprimarycommodityderivativesare

futures,butforwards,swaps,andoptionsarealsoused.Bis

incorrectbecausethecommoditymarketisextremelylargeandsubject

toanalmostunimaginablearrayofrisks.Cisincorrectbecause

commodityandfinancialtradershavebecomerelativelyhomogeneous

sincethecreationoffinancialfutures.Historically,commodity

tradersandfinancialtraderswerequitedifferentgroups,andthere

usedtobeatendencytothinkofthecommodityworldassomewhat

separatefromthefinancialworld.：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-marketona

dailybasis.Theaccumulatedgainsandlossesfromthepreviousday'

stradingsessionaredeductedfromtheaccountsofthoseholding

losingpositionsandtransferredtotheaccountsofthoseholding

winningpositions.Futurescontractstradeonanexchange,forward

contractsareover-the-countertransactions.Typicallybothforward

andfuturescontractsareinitiatedatazerovalue.：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,thevaluesofAmericanand

Europeancalloptionsareeffectivelythesame;bothareworththe

greaterofzeroandtheexercisevalue.：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-derivativesmarketsare

customizedandmostlyunregulated.Asaresult,over-the-counter

marketsarelesstransparentincomparisonwiththehighdegreeof

transparencyandstandardizationassociatedwithexchange-traded

derivativemarkets.Aisincorrectbecauseexchange-traded

derivativesareslaiidaiclized,wheieasover-lliecounterderivatives

arecustomized.Cisincorrectbecauseexchange-tradedderivatives

arecharacterizedbyahighdegreeoftransparencybecauseall

transactionsaredisclosedtoexchangesandregulatoryagencies,

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.Holdinganassetandbuyingaputonthatassetis

equivalentto:

A.initiatingafiduciarycall.

B.buyingarisk-freezero-couponbondandsellingacalloption.

C.sellingarisk-freezero-couponbondandbuyingacalloption.

正确答案：A

参考解析：Aiscorrect.Underput-callparity,initiatinga

fiduciarycal1(buyingacalloptiononanassetthatexpiresattime

Ttogetherwitharisk-freezero-couponbondthatalsoexpiresat

timeT)isequivalenttoholdingthesameassetandinitiatinga

protectiveputonit(buyingaputoptionwithanexercisepriceofX

thatcanbeusedtoselltheassetforXattimeT).：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,whichofthe

followingtransactionsisriskfree:

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.Purchasingalongforwardcontractanda

risk-freebondcreatesasyntheticasset.Combiningalongsynthetic

asset,alongput,andashortcallisriskfreebecauseitspayoffs

produceaknowncashflowofthevalueoftheexerciseprice.：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.Combiningaprotectiveputwithaforward

conliacLgeiieiaLesequivalentoutcomesalexpiiciLionLollioseofa:

A.fiduciarycall.

B.longcallcombinedwithashortasset.

C.forwardcontractcombinedwitharisk-freebond.

正确答案：A

参考解析：Aiscorrect.Put-callforwardparitydemonstratesthatthe

outcomeofaprotectiveputwithaforwardcontract(longput,long

risk-freebond,longforwardcontract)equalstheoutcomeofa

fiduciarycall(longcall,longrisk-freebond).Theoutcomeofa

protectiveputwithaforwardcontractisalsoequaltotheoutcome

ofaprotectiveputwithasset(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.Ifacalloptionispricedhigherthanthebinomialmodel

predicts,investorscanearnareturninexcessoftherisk-freerate

by：

A.investingattherisk-freerate,sellingacall,andsellingthe

underlying.

B.borrowingattherisk-freerate,buyingacall,andbuyingthe

underlying.

C.borrowingattherisk-freerate,sellingacall,andbuyingthe

underlying.

正确答案：C

参考解析：Ciscorrect.Ifanoptionistradingabovethevalue

predictedbythebinomialmodel,investorscanengageinarbitrageby

sellingacall,buyingsharesoftheunderlying,andfundingthe

transactionbyborrowingattherisk-freerate.Thiswillearna

returninexcessoftherisk-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.Abeneficialopportunitycreatedbythederivativesmarket

istheabilityto:

A.adjustriskexposurestodesiredlevels.

B.generatereturnsproportionaltomovementsintheunderlying.

C.simultaneouslytakelongpositionsinmultiplehighlyliquidfixed-

incomesecurilies.

正确答案：A

参考解析：：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.：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.provideonepartytherighttoengageinfuturetransactionson

termsagreedoninadvance.

正确答案：A

参考解析：：Aiscorrectbecauseforwardcommitmentsprovidelinear

payoffs.Bisincorrectbecauseforwardcommitmentsdependonthe

outcomeorpayoffofanunderlyingasset.Cisincorrectbecause

forwardcommitmentsobligatepartiestomake(notprovidetheright

toengage)afinalpaymentcontingentontheperformanceofthe

underlying.：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.Whichofthefollowingcombinationsreplicatesalong

derivativeposition?

A.Ashortderivativeandalongasset

B.Alongassetandashortrisk-freebond

C.Ashortderivativeandashortrisk-freebond

正确答案：B

参考解析：Biscorrect.Alongassetandashortrisk-freeasset

(meaningtoborrowattherisk-freerate)canbecombinedtoproduce

alongderivativeposition.Aisincorrectbecauseashortderivative

andalongassetcombinetoproduceapositionequivalenttoalong

risk-freebond,notalongderivative.Cisincorrectbecauseashort

derivativeandashortrisk-freebondcombinetoproduceaposition

equivalenttoashortasset,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,derivative

marketsaremorelikelytohave:

A.greaterliquidity.

B.highertransactioncosts.

C.highercapitalrequirements.

正确答案：A

参考角星析：：Aiscorrect.Derivativemarketstypicallyhavegreater

liquiditythantheunderlyingspotmarketasaresultofthelower

capitalrequiredtotradederivativescomparedwiththeunderlying.

Derivativesalsohavelowertransactioncostsandlowercapital

requirementsthantheunderlying.Bisincorrectbecausetransaction

costsforderivativesarelowerthantheunderlyingspotmarket.Cis

incorrectbecausederivativesmarketshavelowercapitalrequirements

thantheunderlyingspotmarket.：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.Whichofthefollowingderivativesprovidepayoffsthat

arenon-linearlyrelatedtothepayoffsoftheunderlying?

A.Options

B.Forwards

C.InLeresl-ialeswaps

正确答案：A

参考解析：：Aiscorrect.Optionsareclassifiedasacontingent

claimwhichprovidespayoffsthatarenon-linearlyrelatedtothe

performanceoftheunderlying.Bisincorrectbecauseforwardsare

classifiedasaforwardcommitment,whichprovidespayoffsthatare

linearlyrelatedtotheperformanceoftheunderlying.Cisincorrect

becauseinterest-rateswapsareclassifiedasaforwardcommitment,

whichprovidespayoffsthatarelinearlyrelatedtotheperformance

oftheunderlying.：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.AEuropeancalloptionandaEuropeanputoptionare

writtenonthesameunderlying,andbothoptionshavethesame

expirationdateandexerciseprice.Atexpiration,itispossible

thatbothoptionswillhave:

A.negativevalues.

B.thesamevalue.

C.positivevalues.

正确答案：B

参考解析：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.期权到期，说明Timevalue=0()ptionvalue(OV)=intrinsic

value(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:0V=IV=Max［0,X-ST］假设ST>X,此时

call的OV大于0,put的0V=0,两个value不相等假设ST<X,此时call的

0V=0,put的0V大于0,两个value不相等假设ST=X,此时call的0V=0,put

的0V=0,两个value相等所以选B

［单选题］27.Inadeclininginterestrateenvironment,comparedwitha

sequential-payCMO'sClassAtranche,itsClassCtranchewillbe

lepaid：

A.earlier.

B.atthesamepace.

C.later.

正确答案：C

参考解析：Ciscorrect.Lowerinterestratesenticehomeownerstopay

offtheirmortgagesearlybecausetheycanrefinanceatlowerrates.

Withasequential-paystructure,theAtrancheinaCMOwillbearthe

firstwaveofprepaymentsuntilthattranchehasbeencompletely

repaiditsfullprincipalinvestment.Atthatpoint,thenexttranche

(B)willbearprepaymentsuntilthattranchehasbeenfullyrepaid,

andsoon.Therefore,theClassCtrancheofthisCMOwillberepaid

last,afterboththeClassAandBtranches.Basedonthe2022CFA

ProgramCFALevelIErrata,Solutionhasbeenupdatedtolatest

version.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，

CM0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CM0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“https://wAvw.cfainstitute.org/en/programs/submit-errata

［单选题］28.Basedonthebinomialmodel,anincreaseintheactual

probabilityofanupwardmoveintheunderlyingwillresultinthe

optionprice:

A.decreasing.

B.remainingthesame.

C.increasing.

正确答案：B

参考解析：Biscorrect.Thebinomialmodeldoesnotconsiderthe

actualprobabilitiesofupwardanddownwardmovementsindetermining

theoptionvalue.Thus,achangeinthisprobabilityhasnoeffecton

thecalculatedoptionprice.：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,aswapiscomparableto

aseriesofforwardcontractswhen:

A.theswappaymentsarevariable.

B.thecombinedvalueofalltheforwaidconlracLsiszeio.

C.alltheforwardcontractshavethesameagreed-onprice.

正确答案：B

参考解析：Biscorrect.Whentwopartiesengageinaseriesof

forwardcontractsandinitiallyagreeonapriceofFSO(T),someof

theforwardcontractshavepositivevaluesandsomehavenegative

values,buttheircombinedvalueequalszero.Aisincorrectbecause

foraswap,allpaymentsarefixedandequal,notvariable.Cis

incorrectbecauseforwardpricesaredeterminedbythespotpriceand

thenetcostofcarry,meaningthatforwardcontractsexpiringat

differenttimeswillhavedifferentprices,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FSO(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木决定的，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,asmarketconditions

change:

A.onlythepricefluctuates.

B.onlythevaluefluctuates.

C.boththepriceandthevaluefluctuate.

正确答案：B

参考角星析：Biscorrect.Thevalueoftheforwardcontract,unlikeits

price,willadjustasmarketconditionschange.Theforwardpriceis

fixedatinitiation.：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-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.：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.Forwardcoirmitmentssubjecttodefaultare:

A.forwardsandfutures.

B.futuresandinterestrateswaps.

C.interestrateswapsandforwards.

正确答案：C

参考解析：：Ciscorrect.Interestrateswapsandforwardsareover-

the-countercontractsthatareprivatelynegotiatedandareboth

subjecttodefault.Futurescontractsaretradedonanexchange,

whichprovidesacreditguaranteeandprotectionagainstdefault.A

isincorrectbecausefuturesareexchange-tradedcontractswhich

providedailysettlementofgainsandlossesandacreditguarantee

bytheexchangethroughitsclearinghouse.Bisincorrectbecause

futuresareexchange-tradedcontr