重点知识框架 CFA一级框架图 Derivative

Derivative 2015CFA一级知识框架图 Framework 总体框架总体框架 今年 今年CFA I Derivative变化较大 将部分二级内容移到一级 变化较大 将部分二级内容移到一级 Derivative概念概念 R57 Forward FuturesSwap Option Derivative定价与估值定价与估值 R58 无套利定价法则无套利定价法则Forward Futures Swap 二叉树定价法则二叉树定价法则Option Risk Management R59 Derivative markets and instruments Reading 57 Basic Concept Derivative基本基本 概念概念 定义定义 概念 针对未来交易 回避风险概念 针对未来交易 回避风险 衍生品分类方法衍生品分类方法 衍生品优缺点衍生品优缺点 概念概念 根据合约特点分类根据交易场所分类 Forward commitment Contingent claim forward futures swap option Credit derivatives ABS Exchange traded Over the counter traded forward futures option swap option 四种常见衍生品 Forward Definition 分类分类 Commodity forward contract Financial forward contract Purposes of trading Hedge risk Speculation 交割交割 at expiration Physical settlement Cash settlement prior to expirationOffsetting 概念概念 FRA 代表合约代表合约 基本概念基本概念 LIBOR Euribor EuroDollar FRAs FRA定义定义 long position Borrow Short position lend FRA期限期限 报价报价 Example 3 9FRA FRA获得获得 Real FRA Synthetic FRA Payoff计算计算 概念概念 Futures 与与Forward区别区别 ForwardsFutures Private contracts Exchange traded Unique customized contracts Standardized contracts Little or no regulation Regulated Default risk is present Guaranteed by clearinghouse Settlement at maturityDaily settlement mark to market No margin deposit required Margin required and adjusted Futures contract风险控制方法风险控制方法 Futures不会违约原因不会违约原因 风控方法风控方法考点考点 Margin1 Initial margin 2 Maintenance margin 3 Variation margin 回到回到IM Daily Price LimitLimit move Locked limit Marking to market盯市方法 计算 与计算 与Equity区别区别 概念概念 概念概念 Swap 与与Forward相似点相似点Interest Rate Swaps 代表代表 AAA CorpBBB Corp 10 LIBOR 10 LIBOR 1 Option 概念概念 Option定义定义 Call option Put option 价格价格 option premium Strike price Moneyness定性定性看看long是否赚钱是否赚钱 Intrinsic Value定量定量看看long赚多少钱赚多少钱 C max 0 S X P max 0 X S Option value intrinsic value time value 计算计算 Put call parity 最大最小值最大最小值 1 1 T f T f cXRSp cKRSp 或 OptionMin Value Max Value European call Max 0 St X 1 Rf T t St American call Max 0 St X 1 Rf T t St European put Max 0 X 1 Rf T t St X 1 Rf T t American put Pt Max 0 X St X 不分红美式看涨期权不会提前执行不分红美式看涨期权不会提前执行 Basics of Derivative Pricing and Valuation Reading 58 priceno arbitrage principle 原理原理Cash and Carry Arbitrage Reverse Cash and Carry Arbitrage ContractT 0 PriceT t Value T bill forwards dividend paying stock Coupon Bond T f RSFP 1 0 tT f tlong R FP SV 1 T f RPVDSFP 1 00 tT f ttlong R FP PVDSV 1 Limits to Arbitrage Price vs Value Replication Asset Derivative Risk free asset Futures与与Forward估值区别估值区别 swap contract 求求swap rate 定性掌握定性掌握 Option Pricing binomial model u 1 f Rd ud 11 1 value of an option c 1 ud T f CC R Factors affect the value of an option Sensitivity Factor CallsPuts Underlying price Positively relatedNegatively related Volatility Positively relatedPositively related Risk free rate Positively relatedNegatively related Time to expiration Positively relatedPositively related Strike price Negatively relatedPositively related Payments on the underlying Negatively relatedPositively related Carrying costPositively relatedNegatively related Risk management applications of option strategies Reading 59 Covered CallProtective Put 构成 Covered call S CProtective put S P 相似头寸Short putLong call 极致收益 Max Gain X S0 CMax Loss X S0 P Breakeven St S0 CS