你所在的位置>首页>备考经验>CFA

六月备考|CFA三级考试“最难”题目解析

来源:财萃网 | 更新:2016-05-13 16:41:08 | 关键词:CFA三级考试

摘要:2016年6月份的CFA考试只有20多天就到了,你是否还在努力做题呢?财萃小编给你推荐CFA三级考试几道经典例题及解析,希望帮助你从中掌握出题方式和答题技巧,顺利通过六月份的考试。

2016年6月份的CFA考试只有20多天就到了,你是否还在努力做题呢?财萃小编给你推荐CFA三级考试几道经典例题及解析,希望帮助你从中掌握出题方式和答题技巧,顺利通过六月份的考试。

 

CFA三级试题

1.A German portfolio manager entered a 3-month forward contract with a U.S. bank to deliver $10,000,000 for euros at a forward rate of €0.8135/$. One month into the contract, the spot rate is €0.8170/$, the euro rate is 3.5%, and the U.S. rate is 4.0%. Determine the value and direction of any credit risk.

 

答案及解析:

The German manager (short position) has contracted with a U.S. bank to sell dollars at €0.8135, and the dollar has strengthened to €0.8170. The manager would be better off in the spot market than under the contract, so the bank faces the credit risk (the manager could default). From the perspective of the U.S. bank (the long position), the amount of the credit risk is:

 

Vbank (long) = €8,170,000 / (1.04)2/12 ? €8,135,000 / (1.035)2/12 = €28,278

 

(The positive sign indicates the bank faces the credit risk that the German manager might default.)”

 

2. Within the ‘Option Strategies’ section

 

Option       Strike                    Premium

 

Call            1X1 = 20              c1 = 6

 

Call             2X2 = 30             c2 = 4

 

Put             1X1 = 20               p1 = 0.604

 

Put             2X2 = 30               p2 = 8.001

 

Risk-free rate continuously compounded: 4% annual

 

Option expiry: 6 months

 

Using the above data for a box spread, calculate what arbitrage profit can be achieved at the end of 6 months.

 

答案及解析:

First, work out the cost of the box spread. Combine the two call options into a bull spread (buy the low strike call and sell the high strike call), and the two put options into a bear spread (buy the high strike put and sell the low strike put). Combining those two gives a box spread. To calculate the initial cost, work out the net premia:

 

Cost = c1 – c2 + p2 – p1 = 6 – 4 + 8.001 – 0.604 = $9.397

 

The payoff from the box spread will be the difference between the strike levels, ie 30 – 20 = $10.

 

If you borrowed $9.397 at the beginning in order to enter the box spread, how much would you have to pay back after 6 months? You need to compound the cost at the risk-free rate:

 

$9.397 x e0.04 x 0.5 = $9.58683

 

So the arbitrage profit would be the difference between the payoff and what you have to pay back on the loan, ie $10 – $9.58683 = $0.41317”

 

3. Assume Felix Burrow is a US investor, holding some euro-denominated assets. Given the information below, calculate the domestic return for Burrow over the year.

 

六月备考|CFA三级考试“最难”题目解析

 

答案及解析:

The domestic return (return in USD terms) depends on the EUR-return of the asset,as well as on the change in exchange rates:

 

RDC = (1+RFC) (1+RFX) -1

 

where RFX is the change in spot rates, using the domestic currency as the price currency (ie we require a USD/EUR quote). In this example, the exchange rate is quoted as such, so we can use the quote provided (otherwise, if the domestic currency was the base currency, we would need to invert the quote first).

 

RFC = -1 = 0.0078 = 0.78%

 

RFX = -1 = 0.0261 = 2.61%

 

RDC = (1 + 0.78%)(1 + 2.61%) – 1 = 3.41%

 

Burrow’s domestic currency return was higher than the underlying asset return, because he further benefits from the appreciation of the Euro (depreciation of the USD).”

 

|本文转载自网络,版权归原作者所有,财萃网精心推荐。

 

财萃网温馨提醒:

时间过得好快,五月已经到来。你是否为了目标为了梦想,每一天都在进步。2016年,财 萃网一如既往给大家提供陪伴和服务,财萃学习中心,陪伴大家学习每一天;财萃财题库,为大家备战考试保驾护航;188位经验丰富的老师随时准备答疑解惑, 全天候学服不间断解决各种问题。在财萃,你会看到更清晰的未来。


财萃网小编推荐阅读:

6月冲刺|CFA一级试题及答案解析

六月备考|CFA一级考试“最难”题目解析

六月备考|CFA二级考试“最难”题目解析