2025年CFA《衍生品》专项训练题库及解析.docxVIP

2025年CFA《衍生品》专项训练题库及解析

考试时间：______分钟总分：______分姓名：______

试题部分

1.DescribethefundamentaldifferencesbetweenaEuropeanoptionandanAmericanoption,includingtheimplicationsfortheirvaluationandpotentialstrategiesfortheholder.

2.Atraderentersintoashortpositioninasix-monthfuturescontractoncrudeoil.Thecontractsizeis1,000barrels.Theinitialfuturespriceis$75perbarrel,andtheinitialmarginrequirementis$15,000.Themaintenancemarginis75%oftheinitialmargin.Thesettlementpriceattheendofthefirstmonthis$72perbarrel.Calculatetheinitialmark-to-marketamount,themarginbalanceafterthefirstmonthssettlement,andthemargincallamount,ifany.

3.Explaintheconceptofthecostofcarryinthecontextoffuturespricing.Derivethetheoreticalfuturespriceformulabasedonthecostofcarrymodel,assumingnostoragecostsandnointerestratechangesoverthelifeofthecontract.

4.Aninvestorholdsacalloptionwithastrikepriceof$50andaputoptionwithastrikepriceof$50,bothexpiringinthreemonths.Thecurrentpriceoftheunderlyingassetis$55.Thepremiumpaidforthecalloptionis$3,andthepremiumpaidfortheputoptionis$1.Calculatetheinitialcostofthestraddlestrategy,theintrinsicvalueofthestraddleatthecurrentunderlyingprice,andthebreak-evenpointsforthisstrategy.

5.Discusstheroleofoptionsinportfoliomanagement.Explainhowputoptionscanbeusedfordownsideprotection,anddescribethepotentialdrawbacksofthisstrategy,suchasopportunitycostandthecostofthepremium.

6.Acompanyenteredintoaone-yearinterestrateswapwithabank.Thecompanypaysafixedinterestrateof4%perannumonanotionalamountof$10million,andreceivesafloatinginterestrate(basedonSOFR)perannum.Thefixedratewassetattheinitialswaprate,whichequatesthepresentvalueofthefixedcashflowstothepresentvalueofthe