2020年CFA考试《CFA二级》考试共题，分为。小编为您整理Derivatives5道练习题，附答案解析，供您备考练习。

1、From the bank’s perspective, using data from Exhibits 4 and 5, the fair value of the equity swap is closest to:【单选题】

A.–$1,139,425.

B.–$781,323.

C.–$181,323.

正确答案:B

答案解析:B is correct. The value of an equity swap is calculated as

2、Using a 360-day year, the current value of Manager A's short position in the stock forward contract is closest to:【单选题】

A.$4.72.

B.$4.86.

C.$3.84.

正确答案:C

答案解析:The value of a long position in a forward contract at any time is

3、The risk-neutral probability of the up move for the Alpha Company stock is closest to:【单选题】

A.0.06.

B.0.40.

C.0.65.

正确答案:C

答案解析:C is correct. For this approach, the risk-free rate is r = 0.05, the up factor is u = S

4、Which steps are required to implement Position 1?【单选题】

A.Buy call options and write put options.

B.Buy put options and write call options.

C.Write put options and write call options.

正确答案:B

答案解析:B is correct. Position 1, a synthetic short position, is the combination of a long put position and a short call position in options with the same strike price.

5、The price of the futures contract on the equity index as of the inception date, January 18, is closest to:【单选题】

A.1,064.

B.1,071.

C.1,078.

正确答案:A

答案解析: