CFA_1级_07_衍生品_2023最新

CFA，1级，衍生品，2023最新，内容有： M1:Derivative instrument and derivative market features M2:Forward commitment and contingent claims features and instruments M3:derivative benefits,risks and issuer and investor uses M4:Arbitrage,Replication and the cost of carry in pricing derivatives M5:Pricing and valuation of forward contracts M6:Pricing and valuation of futures contracts M7:Pricing and valuation of interest rates and other swaps M8:Pricing and valuation of options M9:Option replication using put-call

Derivatives

M1: Derivative instrument and derivative market features

Types

Forward contracts

Futures contracts

Swaps

Options

Credit derivatives

Derivative markets

Exchange-traded

Standardlized

Regulated

Transparent

No default risk

Over-the-counter (OTC)

Underlying asset

Financial asset

Physical asset

Other

Interest rate

Credit

Weather

...

Counterparties

Long: buyer, holder

Short: seller, writer

Payoff

Forward commitment

Forward

Futures

Swap

Contingent claim

Option

M2: Forward commitment and contingent claims features and instruments

M3: derivative benefits, risks and issuer and investor uses

Benefits

Risk allocation, transfer and management

Information discovery

Price discovery

Implied volatility

Operational advantages

Lower transation cost

Greater liquidity

Easy to go short

Better market efficiency

Risks

Speculation and gambling

High leverage - too risky

Complexity

Structures notes = debt instruments + derivatives

Basis risk

Liquidity risk

Counterparty credit risk

Destabilization and systemic risk

M4: Arbitrage, Replication and the cost of carry in pricing derivatives

Arbitrage

Derivative-related arbitrage: known future price

No arbitrage pricing

Replication

A hedging position of derivative

Asset - Risk-free asset = Derivative

Cost of carry

No arbitrage pricing

M5: Pricing and valuation of forward contracts

Forward price

M6: Pricing and valuation of futures contracts

Futures

Components

Futures price

Price limit

Limit up/limit down

Locked limit

Daily settlement

Settlement price

Avg. of the day

Margin

Initial margin

Maintenance margin

Margin call

Up to the initial margin

Amount is variation margin

Offset/close-out

Open interest

M7: Pricing and valuation of interest rates and other swaps

Plain vanilla interest rate swap

national amount is not exchanged

Interest payments are netted

Payment in arrears

beginning-of-period rate

M8: Pricing and valuation of options

Components

Option premium

Call option

Put option

Exercise price

American option

European option

Moneyness

In the money

Call: St > X

Put: X > St

At the money

Out of the money

Payoff and profit

Payoff

Buy: Max(0, X-St)

Profit

Buy: payoff - p0

Credit default swap (CDS)

Factors

M9: Option replication using put-call parity

Protective put: P + S

Fiduciary call : C + K

M10: Valuing a derivative using binomial model

Risk-neutral probability

Call price

Put price

Share per option