CFA备考典型例题_Derivative-2017.pdf

Derivatives 1. In contrast to over-the-counter options, futures contracts: A. are not exposed to default risk. B. are private, customized transactions. C. represent a right ratherthan a commitment. Answer:A A is correct. Over-the counter options are exposed to default risk but futures contracts are standardized transactions that take place onfutures exchanges and are not exposed to default risk. 2. Which of the following best describes how derivatives are priced? A. A hedge portfolio is used that eliminated arbitrage opportunities. B.The payoff of the underlying is adjusted downward by the derivative value. C.The expected future payoff of the derivative is discounted at the risk-free rate plus a risk premium. Answer:A A is correct. A hedge portfolio is formed that eliminated arbitrage opportunities and implies a unique price for the derivative. The other answers are incorrect because the underlying payoff if not adjusted by the derivative value and the discount rate of the derivative does not include a risk premium. 3. Which of the following factors does not affect the forward price? A.The cost of holding the underlying. B. Dividends or interest paid by the underlying. C. Whetherthe investor is risk averse, risk seeking, or risk neutral. Answer: C C is correct. The costs of holding the underlying, known as carrying costs, and the dividends and interest paid by the underlying are extremely relevant to the forward price. How the investor feels about risk is irrelevant, because the forward price is determined by arbitrage. 4. Which of the following best describes the forward rate of an FRA? A.The spot rate implied by the term structure B.The forward rate implied by the term structure C.The rate on a zero-coupon bond of maturity equal to that of the forward contract 1