2020年CFA考试《CFA二级》章节练习题精选

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、Assuming one option per share, an appropriate delta hedge for the GI stock would most likely be to:【单选题】

A.sell 168,010 calls.

B.sell 148,428 calls.

C.buy 40,100 puts.

正确答案:A

答案解析:A is correct. The call delta is 0.5952. The number of calls to hedge 100,000 shares is calculated as 1/0.5952 = 168,010. An appropriate hedge for 100,000 shares of stock with a delta of 1 would be to sell 168,010 calls.

2、Lee’s statement about the assumptions of the BSM model is accurate with regard to:【单选题】

A.interest rates but not continuous prices.

B.continuous prices but not the return distribution.

C.the stock return distribution but not the volatility.

正确答案:B

答案解析:B is correct. Although the BSM model assumes continuous stock prices, it also assumes that stock returns are lognormally distributed (not normally distributed).

3、Approach 1 to hedging the growth portfolio is most likely described:【单选题】

A.correctly.

B.incorrectly as AHI would need to enter as the floating rate receiver.

C.incorrectly as AHI would receive the floating rate plus the negative equity return.

正确答案:C

答案解析:To hedge the return on an equity portfolio, AHI would pay equity and receive the floating rate (LIBOR). However, if the return on the equity portfolio was negative, it would receive this return (i.e., "pay" a negative return) and also receive 90-day LIBOR.

4、The market value (HK$) of Grand Manufacturing's swap after 45 days is closest to:【单选题】

A.1,313,300.

B.35,402,000.

C.36,500,000.

正确答案:B

答案解析:Initially Grand receives €25,000,000 and pays HK$285,500,000 based on the current exchange rate of HK$11.42 per euro. We are told that Grand will pay an interest rate of 2.32% on the euro 

5、【单选题】

A.

B.long Dec 78 put.

C.long Dec 82 put.

正确答案:C

答案解析: