2020年CFA考试《CFA一级》考试共240题，分为单选题。小编为您整理Derivative Investments5道练习题，附答案解析，供您备考练习。

1、An analyst does research about moneyness of stock options.With respect to stockoptions, the potential for an infinite loss exists for an investor who:【单选题】

A.sells a put option.

B.buys a put option.

C.sells a call option.

正确答案:C

答案解析:卖出一个看涨期权，从理论上来讲，当股票价格上升无穷大时，该卖方的损失也会无穷大；而卖出一个看跌期权，因为股票价格最低也就跌到零，所以该卖方的损失是有限的。对于看涨期权和看跌期权的买方来讲，当不考虑期权成本时，不会发生亏损。

2、An investor who holds a long position in a futures contract will most likely receive a margin call if the ending balance in his margin account falls below the:【单选题】

A.variation margin.

B.initial margin requirement.

C.maintenance margin requirement.

正确答案:C

答案解析:A margin call is due whenever the ending balance in the margin account falls below the maintenance margin requirement.
2014 CFA Level I
"Futures Markets and Contracts," by Don M. Chance
Section 3

3、Which of the following statements best describes changes in the value of a long forward positionduring its life?【单选题】

A.As interest rates go down, the value of the position goes up.

B.As the time to maturity goes down, the value of the position goes up.

C.As the price of the underlying goes up, the value of the position goes up.

正确答案:C

答案解析:Given the formula for the value of a forward contract:

it follows that the value of the contract goes up as the price of the underlying goes up.
CFA Level I
"Basics of Derivative Pricing and Valuation, Don M. Chance, CFA
Section 3.1.3

4、Which of these is best classified as a forward commitment?【单选题】

A.A swap agreement

B.A convertible bond

C.An asset-backed security

正确答案:A

答案解析:2010 Modular Level I, Vol. 6, pp. 7-10
Study Session 17-67-b
Define a forward commitment and a contingent claim
A swap agreement is equivalent to a series of forward agreements, which are described as forward commitments.

5、An analyst does research about option moneyness.An investor paid $5 for a putoption that was in-the-money $3.If the price of the underlying was $59 at thetime the investor purchased the put option, the exercise price of that put optionwas closest to :【单选题】

A.$51

B.$56

C.$62

正确答案:C

答案解析:因为是看跌期权，只有当前价格低于行权价格，该看跌期权才是价内的，并且与期权成本无关。题目中，期权当前价格是$59，只有当行权价为$62时，该看跌期权才是价内$3。