2020年CFA考试《CFA二级》考试共240题，分为单选题。小编为您整理精选模拟习题10道，附答案解析，供您考前自测提升！

1、Based on Exhibit 1, the maximum gain per share that could be earned if Strategy 7 is implemented is:【单选题】

A.€5.74.

B.€5.76.

C.unlimited.

正确答案:B

答案解析:B is correct. Strategy 7 describes a short straddle, which is a combination of a short put option and a short call option, both with the same strike price. The maximum gain is €5.76 per share, which represents the sum of the two option premiums, or c0 + p0 = €2.54 + €3.22 = €5.76. The maximum gain per share is realized if both options expire worthless, which would happen if the share price of XDF at expiration is €75.00.

2、Using the data in Exhibit 4, Bourne's calculation of TCC's firm value ($ millions) is closest to:【单选题】

A.10,127.

B.9,892.

C.9,639. 

正确答案:A

答案解析:Because of the three different growth periods, it is necessary to use the three-stage FCFF model and calculate the FCFF for each of Years 1 to 4 and a terminal value at the end of Year 4.

3、Which factor considered by Marchand and Palmeiro best justifies the use of the five-year forecast horizon in the Darwin model?【单选题】

A.Factor 2

B.Factor 1

C.

正确答案:A

答案解析:A is correct. Industry cyclicality can influence the analyst’s choice of timeframe because the forecast period should be long enough to allow the business to reach an expected mid-cycle level of sales and profitability. Factor 2 best justifies the use of a five-year forecast horizon given that the industry’s performance is closely tied to the business cycle.

4、Which of Gasfs comments about the PEG ratio comparison is the most accurate?【单选题】

A.

B.

C.The comment about non-linearity.

正确答案:A

答案解析:A is correct. Gast is correct about the risk differences. PEG does not factor in differences in risk, an important determinant of P/E.

5、The Standard least likely to provide guidance for Telline when working with the clients’ investment policy statements would be the Standard relating to:【单选题】

A.suitability.

B.fair dealing.

C.loyalty, prudence, and care.

正确答案:B

答案解析:B is correct. Telline is not likely to receive appropriate guidance on developing or revising investment policy statements from the Standard relating to Fair Dealing. Standard III(B) provides members with guidance on treating clients fairly when making investment recommendations, providing investment analysis, or taking investment action. Telline could obtain guidance from the Standards relating to Loyalty, Prudence, and Care and Suitability. Both Standard III(A) and (C) provide guidance for members in determining client objectives and the suitability of investments.

6、Based on Exhibit 3 and Exhibit 4 and the reported Durbin Watson statistic, the most appropriate conclusion is:【单选题】

A.Serial correlation is not significant, and the standard errors are unbiased.

B.Significant serial correlation is present, and the standard errors are likely to be overestimated.

C.Significant serial correlation is present, and the standard errors are likely to be underestimated.

正确答案:A

答案解析:The value of the Durbin Watson statistic exceeds the upper critical value (1.9566 > 1.73). We fail to reject the null hypothesis of no positive serial correlation. The value of the DW statistic is less than the value (4 - 1.59) = 2.41. Thus, we also fail to reject the null hypothesis regarding negative serial correlation.

7、Which of the statements regarding Monte Carlo simulation is correct?【单选题】

A.Only Statement 4 is correct.

B.Only Statement 5 is correct.

C.Both Statement 4 and Statement 5 are correct.

正确答案:A

答案解析:A is correct. Increasing the number of paths using the Monte Carlo method does increase the estimate’s statistical accuracy. It does not, however, provide a value that is closer to the bond’s true fundamental value.

8、Is Petsas' response to Moyle regarding an interest rate swap most likely correct?【单选题】

A.No, he is incorrect about the combination of calls and puts

B.Yes

C.No, he is incorrect about the pricing of FRAs

正确答案:A

答案解析:Petsas is incorrect in stating that an interest rate swap is a combination of a long interest rate call option and a long interest rate put option. A combination of the purchase of an interest rate call option and the sale of an interest rate put option is equivalent to a plain vanilla interest rate swap payment. Thus, if the underlying variable rate is below the exercise rate, the call is worthless and the short put will require a net payment to the holder of the put. This scenario replicates the situation in an interest rate swap in which the fixed payment (exercise rate) exceeds the variable rate resulting in a net payment by the buyer of the swap.

9、A two-year fixed-for-floating Libor swap is 1.00% and the two-year US Treasury bond is yielding 0.63%. The swap spread is closest to:【单选题】

A.37 bps.

B.100 bps.

C.163 bps.

正确答案:A

答案解析:A is correct. The swap spread = 1.00% ? 0.63% = 0.37% or 37 bps.

10、Is his response to Scahill’s question regarding the impact of changes in interest rate volatility on the OAS of callable and putable bonds, Morgan is most likely:【单选题】

A.incorrect about callable and putable bonds.

B.correct about callable bonds and incorrect about putable bonds.

C.correct about putable bonds and incorrect about callable bonds.

正确答案:A

答案解析:A is correct. Morgan’s response to Scahill is incorrect. As interest rate volatility declines, the embedded call option becomes cheaper; thus, the higher the arbitrage-free value (or model value) of the callable bond.