frm真題的練習(xí)對于每一個備考生來說都是非 常重要的，尤其是臨近考試的時候，考生一定要做大量的真題練習(xí)。frm22年真題練習(xí)哪里有解析？

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Consider the following bearish option strategy of buying one at-the-money put with a strike price of$43 for$6,selling two puts with a strike price of$37 for$4 each and buying one put with a strike price of$32 for$1.If the stock price plummets to$19 at expiration,calculate the net profit/loss per share of the strategy.

A.-2.00 per share

B.Zero–no profit or loss

C.1.00 per share

D.2.00 per share

Solution:D

The easiest thing to do is to find the net profit or loss for each position and then add them together,recognizing whether a position is short or long.

For 1 long$43 strike put position:[1×(43–19)]–6=18

For 2 short$37 strike puts position:-[2×(37–19)]+(2×4)=-28

For 1 long$32 strike put position:[1×(32–19)]–1=12

The sum of these profit/loss numbers is a$2 gain

At the end of 2007, Chad & Co.’s pension had USD 350 million worth of assets that were fully invested in equities and USD 180 million in fixed-income liabilities with a modified duration of 14. In 2008, the wide spread effects of the subprime crisis hit the pension fund, causing its investment in equities to loss 50% of their market value. In addition, the immediate response from the government–cutting interest rates–to salvage the situation, caused bond yields to decline by 2%. What was the change in the pension fund’s surplus in 2008?

USD -55.4 million

USD -124.6 million

USD -225.4 million

USD -230.4 million

Answer: C

The change in the pension fund’s surplus for the year 2008 is equal to the initial surplus S0 at the end of 2007 less the ending surplus S1 at the end of 2008.

The initial surplus is calculated as S0 = 350–180 = 170.掃碼咨詢

Next we have to calculate the surplus at the end of 2008. Given the 50% decline in the equity market, the new level of assets A1 at the end of 2008 is equal to:

(1–0.5)×350 = 175

The new level of liabilities L1 can be calculated as:

L1 = (1–14×(-0.02))×180 = 230.4

Therefore the 2008 surplus S1 is equal to A1–L1 = 175–230.4 = -55.4 (which implies the pension fund is actually in a deficit situation at the end of 2008). The change in surplus for 2008 is hence S1–S0 = -55.4–170 = -225.4 million.

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