LeaPrep · CFA Level I · Mock Test 1

Derivatives
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Topic 7

12 câu hỏi · 3 slide / câu · ~18 phút

Mock: 1
Subject: Derivatives
Câu hỏi: 12
Format: 3 lựa chọn A/B/C

Nội dung: câu hỏi · hướng dẫn tư duy · đáp án & giải thích

MOCK

Derivatives

Buổi học hôm nay

Derivatives
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Derivatives · Mock 1 01 / 12

Câu 1 / 12

An index of dividend-paying stocks has a value of 1,000. The risk-free interest rate is 4%. The no-arbitrage 1-year forward price of the index is:

(A)equal to 1,000e^0.04 .
(B)less than 1,000e^0.04 .
(C)greater than 1,000e^0.04 .

Derivatives · Mock 1 01 / 12

Hướng dẫn tư duy · Câu 1

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01Dividends are a benefit of holding the underlying index. If d is the continuously compounded dividend yield of the index, the no-arbitrage 1 year forward price of the index is $1, 000 e^{0.04 - d}$ , which is less than $1, 000 e^{0.04}$ .

Derivatives · Mock 1 01 / 12

Đáp án · Câu 1

Đáp án đúng

less than 1,000e^0.04 .

Giải thích

Dividends are a benefit of holding the underlying index. If d is the continuously compounded dividend yield of the index, the no-arbitrage 1 year forward price of the index is $1, 000 e^{0.04 - d}$ , which is less than $1, 000 e^{0.04}$ .

Derivatives · Mock 1 02 / 12

Câu 2 / 12

The primary difference between a fixed-for-floating interest rate swap and a series of forward rate agreements (FRAs) that is otherwise equivalent to the swap is that each FRA may have a different:

(A)fixed rate.
(B)value at initiation.
(C)notional principal.

Derivatives · Mock 1 02 / 12

Hướng dẫn tư duy · Câu 2

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01An interest rate swap is equivalent to a series of FRAs with the same fixed rate, reference rate, and notional principal.
02The series of FRAs would have values at initiation that sum to zero but their individual values at initiation may be positive or negative.

Derivatives · Mock 1 02 / 12

Đáp án · Câu 2

Đáp án đúng

value at initiation.

Giải thích

An interest rate swap is equivalent to a series of FRAs with the same fixed rate, reference rate, and notional principal. The series of FRAs would have values at initiation that sum to zero but their individual values at initiation may be positive or negative.

Derivatives · Mock 1 03 / 12

Câu 3 / 12

An investor with a need to hedge interest rate risk and a high requirement for liquidity should most appropriately hedge with:

(A)swaps.
(B)futures.
(C)forwards.

Derivatives · Mock 1 03 / 12

Hướng dẫn tư duy · Câu 3

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01The liquidity requirement makes futures the most appropriate instrument because they are standardized instruments and are traded on an exchange
02which is not the case for most swaps or forward contracts.

Derivatives · Mock 1 03 / 12

Đáp án · Câu 3

Đáp án đúng

futures.

Giải thích

The liquidity requirement makes futures the most appropriate instrument because they are standardized instruments and are traded on an exchange, which is not the case for most swaps or forward contracts.

Derivatives · Mock 1 04 / 12

Câu 4 / 12

A synthetic short position in a common stock can be created by combining a:

(A)long put position, a long T-bill position, and a short call position.
(B)short put position, a long T-bill position, and a long call position.
(C)long put position, a short T-bill position, and a short call position.

Derivatives · Mock 1 04 / 12

Hướng dẫn tư duy · Câu 4

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01The put-call parity condition is stock price − Present value of exercise price = Call price − Put price, or − Stock price = Put price − PV of exercise price − Call price.
02Remember that a negative sign indicates a short position and a positive sign indicates a long position.
03That means we can rewrite this equation as follows: Short stock position = Long put position + Short T-bill position + Short call position

Derivatives · Mock 1 04 / 12

Đáp án · Câu 4

Đáp án đúng

long put position, a short T-bill position, and a short call position.

Giải thích

The put-call parity condition is stock price − Present value of exercise price = Call price − Put price, or − Stock price = Put price − PV of exercise price − Call price. Remember that a negative sign indicates a short position and a positive sign indicates a long position. That means we can rewrite this equation as follows:

Short stock position = Long put position + Short T-bill position + Short call position

Derivatives · Mock 1 05 / 12

Câu 5 / 12

Question 131: Which of the following statements about derivatives is most accurate?

(A)Futures contracts are not forward commitments because the deposit of a margin account eliminates the obligation to cover losses incurred on the contract.
(B)Credit default swaps are contingent claims because payment by the protection seller is dependent on a future credit event.
(C)Call options that are purchased in the money are forward commitments because the seller is obligated to sell the asset upon exercise by the holder.

Derivatives · Mock 1 05 / 12

Hướng dẫn tư duy · Câu 5

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01Credit default swaps operate like insurance contracts.
02The protection buyer pays a fee (often quarterly) in return for a contingent payout if there is a credit event on the underlying asset.
03Futures contracts are commitments because the long is obligated to buy and the short is obligated to sell the underlying asset.

Derivatives · Mock 1 05 / 12

Đáp án · Câu 5

Đáp án đúng

Credit default swaps are contingent claims because payment by the protection seller is dependent on a future credit event.

Giải thích

Credit default swaps operate like insurance contracts. The protection buyer pays a fee (often quarterly) in return for a contingent payout if there is a credit event on the underlying asset. Futures contracts are commitments because the long is obligated to buy and the short is obligated to sell the underlying asset. Call options are contingent claims because the seller's obligation is contingent on the price of the underlying asset. Options may expire out of the money and expire unexercised.

Derivatives · Mock 1 06 / 12

Câu 6 / 12

When pricing European options with a binomial model, the expected payoff at expiration is discounted at an interest rate that:

(A)does not include a risk premium.
(B)depends on investor preferences.
(C)reflects the probabilities of up-moves and down-moves.

Derivatives · Mock 1 06 / 12

Hướng dẫn tư duy · Câu 6

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01Because binomial pricing models use the concepts of replication and risk neutrality
02the expected payoff is discounted at the risk-free rate.

Derivatives · Mock 1 06 / 12

Đáp án · Câu 6

Đáp án đúng

does not include a risk premium.

Giải thích

Because binomial pricing models use the concepts of replication and risk neutrality, the expected payoff is discounted at the risk-free rate.

Derivatives · Mock 1 07 / 12

Câu 7 / 12

Other things equal, an increase in the cash flows from an underlying asset during the life of a forward contract would result in a forward contract with a:

(A)lower price at initiation.
(B)lower value at initiation.
(C)higher price at initiation.

Derivatives · Mock 1 07 / 12

Hướng dẫn tư duy · Câu 7

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01Higher cash flows reduce the net cost of carry and reduce the forward price, other things equal.

Derivatives · Mock 1 07 / 12

Đáp án · Câu 7

Đáp án đúng

lower price at initiation.

Giải thích

Higher cash flows reduce the net cost of carry and reduce the forward price, other things equal.

Derivatives · Mock 1 08 / 12

Câu 8 / 12

Under hedge accounting rules for derivatives, an interest rate swap may be classified as:

(A)a fair value hedge or a cash flow hedge.
(B)a fair value hedge or a net investment hedge.
(C)a cash flow hedge or a net investment hedge.

Derivatives · Mock 1 08 / 12

Hướng dẫn tư duy · Câu 8

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01An issuer may account for a pay-fixed interest rate swap as a cash flow hedge if it converts a fixed-rate liability to a floating-rate liability.
02An issuer may account for a pay-floating interest rate swap as a fair value hedge if its purpose is to decrease the volatility in balance sheet values of a fixed-rate liability recognized at market value.

Derivatives · Mock 1 08 / 12

Đáp án · Câu 8

Đáp án đúng

a fair value hedge or a cash flow hedge.

Giải thích

An issuer may account for a pay-fixed interest rate swap as a cash flow hedge if it converts a fixed-rate liability to a floating-rate liability. An issuer may account for a pay-floating interest rate swap as a fair value hedge if its purpose is to decrease the volatility in balance sheet values of a fixed-rate liability recognized at market value.

Derivatives · Mock 1 09 / 12

Câu 9 / 12

An investor notes that the price for a futures contract on an asset is less than the price for an otherwise identical forward contract on the asset. It is most likely that interest rates are expected to be:

(A)constant.
(B)positively correlated with the price of the underlying asset.
(C)negatively correlated with the price of the underlying asset.

Derivatives · Mock 1 09 / 12

Hướng dẫn tư duy · Câu 9

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01When interest rates are negatively correlated with the price of the underlying asset
02the mark-to-market cash flows on the futures contract will require cash when interest rates are higher and provide cash when interest rates are lower.

Derivatives · Mock 1 09 / 12

Đáp án · Câu 9

Đáp án đúng

negatively correlated with the price of the underlying asset.

Giải thích

When interest rates are negatively correlated with the price of the underlying asset, the mark-to-market cash flows on the futures contract will require cash when interest rates are higher and provide cash when interest rates are lower.

Derivatives · Mock 1 10 / 12

Câu 10 / 12

Which of the following statements is least accurate regarding the use of derivative instruments?

(A)Short positions in derivatives can be used to reduce the risk of a portfolio.
(B)Derivative markets provide price information and can increase market efficiency.
(C)Derivative positions incur large transaction costs compared to direct investments in the underlying assets.

Derivatives · Mock 1 10 / 12

Hướng dẫn tư duy · Câu 10

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01Derivative contracts have low transaction costs compared to the purchase of the underlying assets, regardless of the leverage.
02Long or short positions may be used to hedge a portfolio.
03Derivative instruments provide price information and can help promote market efficiency.

Derivatives · Mock 1 10 / 12

Đáp án · Câu 10

Đáp án đúng

Derivative positions incur large transaction costs compared to direct investments in the underlying assets.

Giải thích

Derivative contracts have low transaction costs compared to the purchase of the underlying assets, regardless of the leverage. Long or short positions may be used to hedge a portfolio. Derivative instruments provide price information and can help promote market efficiency.

Derivatives · Mock 1 11 / 12

Câu 11 / 12

A decrease in the risk-free rate will decrease the value of a call option and increase the value of a put option.

	Value of a call option	Value of a put option
A.	Decrease	Increase
B.	Increase	Increase
C.	Increase	Decrease

(A)Answer A.
(B)Answer B.
(C)Answer C.

Derivatives · Mock 1 11 / 12

Hướng dẫn tư duy · Câu 11

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01A decrease in the risk-free rate will decrease the value of a call option and increase the value of a put option.

Derivatives · Mock 1 11 / 12

Đáp án · Câu 11

Đáp án đúng

Answer A.

Giải thích

A decrease in the risk-free rate will decrease the value of a call option and increase the value of a put option.

Derivatives · Mock 1 12 / 12

Câu 12 / 12

The price of an interest rate swap is equal to:

(A)zero at initiation.
(B)its par swap rate.
(C)its value to the fixed-rate payer.

Derivatives · Mock 1 12 / 12

Hướng dẫn tư duy · Câu 12

Đọc đề và định hướng phân tích.

Các bước suy luận then chốt trước khi chọn đáp án.

01or fixed rate specified in the contract
02is the price of an interest rate swap.

Derivatives · Mock 1 12 / 12

Đáp án · Câu 12

Đáp án đúng

its par swap rate.

Giải thích

The par swap rate, or fixed rate specified in the contract, is the price of an interest rate swap.

LeaPrep · CFA Level I

Done.
12 câu.

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Derivatives.

Derivatives.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Đọc đề và định hướng phân tích.

Done.12 câu.

Derivatives
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Derivatives
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Done.
12 câu.