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、A trader takes a long position in 40 futures contracts on Day 1. The futures have a daily price limit of $5 and closes with a settlement price of $106. On Day 2, the futures trade at $111 and the bid and offer move to $113 and $115, respectively. The futures price remains at these price levels until the market closes. The marked-to-market amount the trader receives in his account at the end of Day 2 is closest to:【单选题】

A.$200.

B.$280.

C.$320.

正确答案:A

答案解析:“Futures Markets and Contracts,” Don M. Chance, CFA
2013 Modular Level I, Vol. 6, Reading 62, Section 3
Study Session 17-62-d
Describe price limits and the process of marking to market, and calculate and interpret the margin balance, given the previous day’s balance and the change in the futures price.
A is correct. Because the future has a daily price limit of $5, the highest possible settlement price on Day 2 is $111. Therefore, the marked to market value would be ($111-$106) x 40 = $200.

2、With respect to the underlying asset, which of the following derivatives providesthe least information about price volatility?【单选题】

A.Call.

B.Put.

C.FRA.

正确答案:C

答案解析:价格波动性会改变看涨期权或看跌期权的价值，所以期权价格可以提供更多关于价格波动性的信息，而不是远期利率协议（forward rate agreement，简称FRA）。

3、An analyst does research about an equity swap.An asset manager enters into aswap with a dealer.At the end of each quarter during the life of the swap, thedealer agrees to make a fixed-rate payment of $2 million, and the asset manageragrees to make an equity payment that is based on the return on a stock index forthat quarter.The swap agreement allows netting of payments.The value of thestock index is 278 at initiation of the swap and 259 at the end of the first quarter.The payment due from the dealer to the asset manager at the end of the first quarteris most likely :【单选题】

A.equal to $2million.

B.more than $2million.

C.less than $2million because the payments are netted.

正确答案:B

答案解析:因为股票下跌，资产管理人会从交易对手方那里收到固定收益$2million以及股票下跌的补偿，因为指数在这个季度下跌了，所以资产管理人得到的金额要大于$2million。

4、An analyst does research about unique risks of hedge funds.The risk for ahedge fund arising from the failure to deliver the specified security or moneyby one of the parties to the transaction on the closing day is most likely:【单选题】

A.pricing risk.

B.settlement risk.

C.financing squeeze.

正确答案:B

答案解析:价格风险是指每日盯市（或者保证金）需要对冲基金交易者补充抵押品而造成的风险，否则将会被强制平仓。结算风险是指结算日不能交付对方证券或钱的风险。财务挤出是指如果对冲基金达到或接近它的借款限制，它的借款能力将受到限制，对冲基金被迫降低其杠杆，此时对冲基金可能发生重大亏损，特别是在流动性比较差的市场中。

5、An analyst does research about put-call parity.Which of the following best representssynthetic put on a stock?【单选题】

A.Call - stock + risk-free bond.

B.Stock - call - risk-free bond.

C.Stock + call - risk-free bond.

正确答案:A

答案解析:对于欧式期权来说，同一行权日期和行权价格的看涨期权和看跌期权间存在以下等式：看涨期权价格（C) +行权价格现值[x/]=看跌期权价格（P）+股票价格(S)，可得：P = C+ X/-S。
其中，对于行权价格现值，我们可以用与之价值相等的无风险债券来代替。