CFA-L2-阶段总结与重点精讲-固定收益

阶段总结与重点精讲即将开始L2–1Session12:34:andDynamics35:Session16:in36:andBondswith37:38:2andDynamics1.and&curve,&curve,&&ZandLibor-OIS2.theories:liquidity:Modernmodels(2+1):models:CIRmodel(1985),(1977);:Ho-Lee(1986)3andDynamics3.spot→Ridingyieldcurvebond→curverisk(shapingrisk)→4sensitivityModifiedNoIRRPVBPCurvesensitivityyieldcurve)shift(sensitivityyieldspecific51.dominance2.6andAnalysis:BondswithEmbedded1.embeddedCallablecallable=–bond:=+ofyieldcurve,andshapeofyieldCallruleandrule,viebinomialZ7andAnalysis:BondswithEmbedded2.riskofembeddedandone-side&3.oforand4.anddownsiderisk,risk-8AnalysisModels1.ofriskloss=of×loss2.models:scoring,models:models,models91.BasicofnotionalCDSCDSsinglenameCDSandCDS.2.PricingCDSPricing,andofCDSManaginganddisparity10重点精讲L2-11Spotcurveandcurvej+k()jk()()1+Sj+k=1+S1+f,kj✓Ifyieldcurvessloping,curvesliespotcurve.Thethecurve.12priceand11()Pj=()Fj,k=()()Pj+k=PFj,kjjk(1+Sj1+f(j,k➢:usingtheoutputofoneasof✓istheofaandcurveistheof13➢=-securityCFCFCFPrice=+++12n1+S+Z1+S+Z)(++)n21SZ12n➢TED:Libor–yieldofT-bill➢Libor-OIS:Libor–ofOIS✓OISisaninperiodicisequaltheofantheperiod.14vs.spotIfspot<,.Ridingyieldcurve:(1)curvesloping(2)willnotitsandshapeConclusion:buyingbondswiththanIfspot>,.15Binomialiiii0iiσi=iσi=iσi=ie•σ:✓of✓Higherhigher16of1.ofbothandwillbelessorequalofbond.2.↓:of↓3.↑:↓17Callablebondsbonds➢callable=straight–callputalbe=straight+put✓Asincreases,the,andof.✓Asdecline,therisesofbond.✓Asrise,thethanthethebond.18Callablebondsbonds➢callable=straight–callputalbe=straight+put➢Astheyieldcurvebeingsloping,sloping,thetheandthe;theoftheandofbond.19spread➢=Z-spread-✓Callable>0,<Z-spread✓bond:<0,>Z-spread➢Anthanabond.➢Anthanatheis.➢Ancloseatheispriced.20➢As,thethe,andvice✓Higher→higher→price→➢As,,andvice✓Higher→→→➢Zis.21ofcallablebondpricing:Usingtheofsemiannualisa4%hasoneaof100andsemiannually?0A.100.B.100.49.101.9.2201$100$100$24%$100.493%$100.99$100$22%Bis23Cappedorbonds➢=a–the➢offloating-bond=ofa+thefloor24ofcallablebondpricing:Usingtheofsemiannualisahasonewith3%.0A.100.B.99.76.99.51.25013%Bis26bonds➢price=Issueprice➢Minimum:✓=price×✓istheit➢=➢per=price-➢=perprice27AbondA,issued$900of$1000andof510is$80withannualdividendof$3.the$850.per28price=$900/10=$90;=$80*10=$800;price=$850/10=$85;per=$85-$80=$5;=$5/$80=6.25%;29models➢Callequity:holdingisowningaonassetswithpriceKofandTof➢analogy:owningisowningarisklessandsellingaonassets(A)ofthewithpriceKand30model➢models,as:KD=Et()1+riK=of=usingEr=i.i31CashofCDS➢Cash:thesellerthe✓=×Notional✓=1-(%)➢TheofCDS.