CFA考试一级章节练习题精选0329-4(附详解)

CFA考试一级章节练习题精选0329-4（附详解）

1、An analyst does research about derivative products.Which ofthe following will mostlikely decrease in value if the price of the underlying asset increases in value?【单选题】

A.A long position in put contract.

B.A long position in future contract.

C.A long position in call contract.

正确答案:A

答案解析:本题考查基本定义。关于期货合约多头，如果标的资产价格上升，其价值会增加。看跌期权的多头会由于标的资产价格的上升而价值降低，看涨期权的多头则会由于标的资产价格的上升而价值增加。

2、Which statement best describes the early exercise of American options? Early exercise may beadvantageous for:【单选题】

A.both deep-in-the-money calls and deep-in-the-money puts.

B.deep-in-the-money puts.

C.deep-in-the-money calls.

正确答案:B

答案解析:Only deep-in-the-money put options may be exercised early. The price cannot fall below zero andthus the additional upside of such an option is

limited.

CFA Level I

"Basics of Derivative Pricing and Valuation," Don M. Chance

Section 4.3

3、An analyst does research about impact to option due to interest rate and volatilityof the underlying.Which of the following statements best describes the effect ofthe level of interest rates and volatility of the underlying on the price of options?All else being equal, prices for:【单选题】

A.put options are positively related to the level of interest rates.

B.call options are positively related to the level of interest rates.

C.put options are negatively related to the volatility of the underlying.

正确答案:B

答案解析:当利率越高时，更多的人会选择投资看涨期权，因为可以延后购买资产的时间，即现在只要付一部分期权费就可以买入将来购买这项资产的权利，所以看涨期权与利率正相关。相反地，当利率越高时，更多的人会选择卖出看跌期权，导致看跌期权价格下跌，所以看跌期权与利率负相关。资产的波动性与看涨期权及看跌期权的价格都是正相关。

4、An analyst does research about Eurodollar futures.Which of the following statementsis NOT accurate?【单选题】

A.Prices are quotedas 100 minus the rate priced into the contract.

B.The official Eurodollar rate is compiled by the British Bankers Association.

C.Contracts are paid off based on Euribor on a given day.

正确答案:C

答案解析:欧洲美元期货基于90日伦敦银行同业拆借利率（London Interbank Offer Rate，简称LIBOR)，是在美国以外的国家制定的美元资产的短期借贷利率，该利率由英国银行家协会（British Bankers Association，简称BBA）制定，标价方式为100-LIBOR，即百分比年化利率。在题目中，欧洲美元期货合约是基于LIBOR，而不是欧洲银行间同业拆借利率（Euribor）。

5、In comparison to a forward contract, a futures contract is most likely to be less:【单选题】

A.liquid.

B.publicized.

C.customized.

正确答案:C

答案解析:“Futures Markets and Contracts”, Don M. Chance

2010 Modular Level I, Vol. 6, pp. 51-53

Study Session 17-69-b

Distinguish between futures contracts and forward contracts.

The terms of a forward contract are customized to meet the needs of both parties. A futures contract is not customized rather, the exchange establishes the terms.