Lecture 1

Derivative in General

Source: CFA L1 2013 Reading Book 6 + CFA L1 013 Notes Book 5

14. Which of the following most accurately describes a derivative security?

A derivative:
A. always increases risk.
B. has no expiration date.
C. has a payoff based on another asset.
15. Which of the following statements about exchange-traded derivatives is least
accurate?
A. They are liquid.
B. They are standardized contracts.
C. They carry significant default risk.
16. AcustomizedagreementtopurchaseacertainT-bondnextThursdayfor$1,000 is:
A. an option.

Source: CFA L1 2013 Reading Book 6 + CFA L1 013 Notes Book 5

B. a futures contract.
C. a forward commitment.
17. A swap is:
A. highly regulated.
B. a series of forward contracts.
C. the exchange of one asset for another.
18. A call option gives the holder:
A. the right to sell at a specific price.
B. the right to buy at a specific price.
C. an obligation to sell at a certain price.
19. Arbitrage prevents:
A. market efficiency.
B. profit higher than the risk-free rate of return.
C. two assets with identical payoffs from selling at different prices.
20. Derivatives are least likely to provide or improve:
A. liquidity.
B. price information.
C. inflation reduction.

Source: CFA L1 2013 Reading Book 6 + CFA L1 013 Notes Book 5

Lecture 2

Forward Contracts

Source: CFA L2 2014 Reading Book 6 + CFA L2 2013 Notes Book 5

8.

9.

10.

11.

12.

13.

Source: CFA L2 2014 Reading Book 6 + CFA L2 2013 Notes Book 5

14.

(Based on data from Question 13.)

15.

16.

(Based on data from Question 15.)

17.

Source: CFA L2 2014 Reading Book 6 + CFA L2 2013 Notes Book 5

18.

Source: CFA L2 2014 Reading Book 6 + CFA L2 2013 Notes Book 5

Lecture 3

Fixed Income Forwards

3.

4.

7. A Eurodollar time deposit:

A. is priced on a discount basis.
B. maybe issued by a Japanese bank.
C. is a certificate of deposit denominated in Euros.
8. One difference between LIBOR and Euribor is that:
A. LIBOR is for London deposits.
B. they are for different currencies.
C. LIBOR is slightly higher due to default risk.
Sources: CFA L2 2014 Reading Book 6 + CFA L2 2013 Notes Book 5

Sources: CFA L2 2014 Reading Book 6 + CFA L2 2013 Notes Book 5

15.

16.

Sources: CFA L2 2014 Reading Book 6 + CFA L2 2013 Notes Book 5

Lecture 4

Futures Contracts and Hedging

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

6.

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

10.

11.

12.

13.

14.

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

Lecture 5

Discount Instruments and Treasury Futures

4.

Source: CFA L2 2014 Reading Book 6 + CFA L1 2013 Notes Book 5

Source: CFA L2 2014 Reading Book 6 + CFA L1 2013 Notes Book 5

12.

13.

14.

15.

Source: CFA L2 2014 Reading Book 6 + CFA L1 2013 Notes Book 5

Lecture 6

Introduction to Options

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

18.

19.

20.

21.

22.

23.

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

24.

25.

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

26.

27.

Source: CFA L1 2013 Reading Book 6 + CFA L1 2013 Notes Book 5

Lecture 7

Option Pricing

Source: CFA L2 2013 Notes Book 5

15.

16.

17.

18.

19.

Source: CFA L2 2013 Notes Book 5