R67 练习: 远期承诺和或有索取权的特征与工具
考纲范围
- define forward contracts, futures contracts, swaps, options (calls and puts), and credit derivatives and compare their basic characteristics
- determine the value at expiration and profit from a long or a short position in a call or put option
- contrast forward commitments with contingent claims
Q1.
South Air, an airline company, enters a forward contract to buy crude oil in 3 months. The contract:
A. provides non-linear payoffs related to the payoffs of the underlying.
B. can only be settled by physical delivery.
C. is an over-the-counter contract.
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答案：C
解析：远期合约（forward contract）是场外交易（OTC）合约，由双方协商定制。远期合约提供线性收益，可以通过实物交割或现金结算。
选项 判断 解析 A ✗ 远期合约提供的是线性（linear）收益，非线性收益是期权的特征 B ✗ 远期合约既可以实物交割也可以现金结算 C ✓ 正确。远期合约是OTC合约，由交易双方私下协商 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q2.
Regarding futures contracts, which of the following statements is least accurate?
A. The maintenance margin is less than the initial margin.
B. Upon receiving a margin call, an investor is required to bring the account balance back to the maintenance margin.
C. Some futures contracts contain a price limit provision which establishes the price band based on previous day’s settlement price.
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答案：B
解析：收到追加保证金通知（margin call）后，投资者需要将账户余额补充到初始保证金（initial margin）水平，而非维持保证金（maintenance margin）水平。
选项 判断 解析 A ✓ 正确。维持保证金低于初始保证金 B ✗ 错误。收到margin call后应补充到初始保证金水平，而非维持保证金水平 C ✓ 正确。部分期货合约有涨跌停板（price limit），基于前一日结算价设定 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q3.
Two parties in an interest rate swap are:
A. agree to exchange a series of cash flows.
B. agree to exchange the principal in the initiation.
C. agree to provide protections to each other.
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答案：A
解析：利率互换（interest rate swap）中，双方同意在未来交换一系列现金流（通常是固定利率与浮动利率的交换）。利率互换不涉及本金的实际交换。
选项 判断 解析 A ✓ 正确。互换的核心是交换一系列现金流 B ✗ 利率互换中不交换本金，只交换利息差额（净额结算） C ✗ 提供保护是CDS（信用违约互换）的特征，不是利率互换的特征 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q4.
Options are financial derivatives that give the buyer the right to buy or sell the underlying asset at a stated price within a specified period. Which of the following statements regarding options is incorrect?
A. The exercise price is the price at which an underlying asset can be purchased or sold when trading a call or put option, respectively.
B. The difference between the exercise price and the underlying asset’s price determines if an option is “in the money” or “out of the money.”
C. The exercise price represents the income received by the seller of an option contract from the buyer of the option.
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答案：C
解析：行权价（exercise price）是期权合约中约定的买卖标的资产的价格。期权卖方从买方收到的是期权费（premium），而非行权价。
选项 判断 解析 A ✓ 正确。行权价是行使期权时买入（call）或卖出（put）标的资产的价格 B ✓ 正确。行权价与标的资产价格的差异决定了期权是实值还是虚值 C ✗ 错误。卖方收到的是期权费（premium），不是行权价（exercise price） 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q5.
Which of the following statements is correct about default risk in derivative markets?
A. As both parties are obligated to conduct settlement, forward contracts are free from default risk.
B. The default risk is taken by the option sellers.
C. In futures markets, the clearing house provides credit guarantee.
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答案：C
解析：期货市场中，清算所（clearing house）作为所有交易的中央对手方，提供信用担保，有效消除了对手方违约风险。
选项 判断 解析 A ✗ 远期合约存在违约风险，双方都有义务不意味着没有违约风险 B ✗ 期权的违约风险主要由买方承担（卖方可能不履行义务），而非卖方 C ✓ 正确。期货市场的清算所提供信用担保 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q6.
An investor holds an option which brings her a maximum loss when the price of the underlying stock drops to zero and a limited profit no matter how much the price of the underlying rises by. Which of the following best portrays the investors exposure on this option?
A. Short call
B. Long put
C. Short put
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答案：C
解析：卖出看跌期权（short put）的最大损失发生在标的资产价格跌至零时（损失 = 行权价 - 期权费），最大收益有限（仅为收到的期权费）。
选项 判断 解析 A ✗ Short call的最大损失发生在标的价格无限上涨时，不是跌至零时 B ✗ Long put的最大收益发生在标的价格跌至零时（获利），而非最大损失 C ✓ Short put：标的价格跌至零时损失最大，上涨时收益有限（仅为premium） 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q7.
Consider a call option selling for $4 in which the exercise price is $100 and the price of the underlying is $105. What are the value at expiration and the profit for a call seller if the price of the underlying at expiration is $92?
A. The value at expiration is $0 and the profit is $4 B. The value at expiration is -$8 and the profit is -$4 C. The value at expiration is -$8 and the profit is -$4
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答案：A
计算过程：
- 到期时标的价格 ，行权价
- 对于 call seller，到期价值
- 利润
选项 判断 解析 A ✓ 到期价值为$0（期权未被行使），利润为收到的期权费$4 B ✗ 到期价值不是-$8 C ✗ 到期价值不是-$8 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q8.
Consider a put option selling for $3 in which the exercise price is $50 and the price of the underlying is $48. What are the value at expiration and the profit for a put seller if the price of the underlying at expiration is $45?
A. The value at expiration is $0 and the profit is $3 B. The value at expiration is -$5 and the profit is -$2 C. The value at expiration is -$5 and the profit is -$2
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答案：B
计算过程：
- 到期时标的价格 ，行权价 ，期权费
- 对于 put seller，到期价值
- 利润
选项 判断 解析 A ✗ 对于put seller，到期价值应为负数（亏损方） B ✓ 到期价值-$5，加上收到的期权费$3，利润为-$2 C ✗ 利润计算有误 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q9.
The contingent claims most likely include:
A. equity forwards.
B. currency swaps.
C. stock options.
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答案：C
解析：或有索取权（contingent claims）指的是一方有权但无义务执行的合约，主要包括期权和CDS。远期和互换属于远期承诺（forward commitments）。
选项 判断 解析 A ✗ 股权远期属于远期承诺（forward commitment），不是或有索取权 B ✗ 货币互换属于远期承诺（forward commitment），不是或有索取权 C ✓ 股票期权属于或有索取权（contingent claim） 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q10.
Which of the following combinations belongs to contingent claim?
Combination 1: Currency swap and stock option.
Combination 2: Forward rate agreement and CDS.
Combination 3: CDS and stock option.
A. Combination 1.
B. Combination 2.
C. Combination 3.
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答案：C
解析：或有索取权包括期权和信用违约互换（CDS）。CDS虽然名字中有”swap”，但它是单务合同（买方支付保费，卖方仅在信用事件发生时赔付），本质上是或有索取权。
选项 判断 解析 A ✗ 货币互换（currency swap）属于远期承诺，不属于或有索取权 B ✗ 远期利率协议（FRA）属于远期承诺，不属于或有索取权 C ✓ CDS和股票期权都属于或有索取权 关联：R67: Forward Commitment and Contingent Claim Features and Instruments
Q11.
Which of the following is the characteristic of contingent claims?
A. The buy or sell action will depend on a particular outcome in the future.
B. The long is obligated to sell the underlying to the short when the contract expires.
C. Both two parties will transact in the future.
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答案：A
解析：或有索取权的核心特征是买卖行为取决于未来的特定结果，即一方有权利但无义务。远期承诺则是双方都有义务在未来交易。
选项 判断 解析 A ✓ 正确。或有索取权的行使取决于未来特定结果（如标的价格是否超过行权价） B ✗ 这描述的是远期承诺的特征，不是或有索取权 C ✗ 双方都必须在未来交易是远期承诺的特征 关联：R67: Forward Commitment and Contingent Claim Features and Instruments