新用戶掃碼下載
掃碼下載APP
及時接收最新考試資訊及
備考信息
"Derivative"exercise:Pricing of derivative products
學(xué)習是一個不斷積累的過程，每天學(xué)習一點，每天進步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網(wǎng)校每日為大家上新CFA習題供大家練習。讓網(wǎng)校與您一起高效備考2021年CFA考試，夢想成真！
Questions 1:
There are two forward contracts, contract 1 and contract 2, on the same underlying. The underlying makes no cash payments, does not yield any nonfinancial benefits, and does not incur any storage costs. Contract 1 expires in one year, and contract 2 expires in two years. It is most likely that the price of contract 1:
A、 is equal to the price of contract 2.
B 、is less than the price of contract 2.
C、 exceeds the price of contract 2
Questions 2:
Which of the following statements is least accurate concerning differences in the pricing of forwards and futures?
A、 Differences in the pattern of cash flows of forwards and futures can explain pricing differences.
B、 Pricing differences can arise if futures prices and interest rates are uncorrelated.
C、 Interest rate volatility can explain pricing differences
View answer resolution
【Answer to question 1】B
【analysis】
B is correct. The forward price is the spot price compounded at the risk-free rate over the life of the contract. Because contract 2 has the longer life, compounding will lead to a larger value.
A is incorrect. The price of contract 1 will be less than the price of contract 2.
C is incorrect. The price of contract 1 will be less than the price of contract 2.
【Answer to question 2】B
【analysis】
B is correct. If futures prices and interest rates are uncorrelated, the prices of forwards and futures will be identical.
A is incorrect. The statement is true.
C is incorrect. The statement is true.
成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習。而人們經(jīng)常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習，即使是一點點的進步，大家一定可以成為人人稱贊的“牛人”。
學(xué)員討論（0）
推薦閱讀
新用戶掃碼下載
京公網(wǎng)安備 11010802044457號
