品职教育 2016 cfa iii ss15 derivatives 知识框架图 何旋

1、.I二 P Z A C A D E M Y . C O M 、erivatives讲师：何旋 . g 。 ，l l l l l l 一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一1!Synthetic equityd)(l +R F)F:ll1f,multiplier） ; ！ _-_-_ - _- - _-_-_-_-_- _ - _一 II I: long stock -Stockindexfutures: :I IT1 1Syntheticcash: # equity contractsVP l l 凡 ）= :Bond: D ll _ _ _ _

2、 互 1l l l l l l l /、l、 lL/ J/ /II_- - - - - - - - - - - - - - - - - 一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一 Iv v ;l l l l Equity,A v v Mid-cap equityCashA Beta=O, MD=O Cash、l l l l l l l l 1 BondsSmall-cap equity/ 、 Beta=O一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一

3、一一一一 呻 Cash Beta=O, MD=O urrencis I I I I I I I I I I I I I I I I I I I I I I I 一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一， r Illl:ForeignCurrencyRisklll lLlr-:-=-= - -.& I . -._ - I -:lIHedging limitation uncertainfuturevalue l lIIIIIIIL.IUIVUIVIlI I I I I

4、I LDonothingL r1 l ll l IIL1， ll l:1Protective Put = long stock + long putProfit= (Sr -S。)m axO, (X -Sr)- P1:L.一，一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一1IIl1Bull spreadBearspreadButterfly SpreadsCallPutCallPutCallPutlong straddle = long call + long putStraddleCollarBox Spreadshort

5、 straddle = short call + short put bets on little movement in the stockCollar= protective put+ covered call = long stock+ short call + long put If thepremiumof thetwoare equal, itis called a zero-cost collar. Box Spread = bull call spread + bear putspread ，Call: floating-rate borrower Put: floating-

6、rate investor、 矗 ， v含 ， 矗， g isanaaeI - - - - - -I I IIHedge交Dynamic HedgeIl1rfI I I I I I I I I I I I I I I r:Call: :should sell some shares of stock.,A1hen the stock price increases, thedelta will increase. The manager:should buy some shares ofstock.I I I I I I I I I IPut:hen thestock price decrea

7、ses, theabsolutevalue ofdelta will increase.: The manager should sell some shares ofstock.II I/hen the stock price increases,theabsolutevalueofdelta will decrease.:IThe manager should buy some shares ofstock.l- - _Il :I I II_- - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -.,8 a

8、r1-.、 I-IlI I I I I I - - - - I I L _ _ _ _ _ _ _ :., . Adjust the Duration I, L-_Il 一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一， Convert between Floating-Rate Loan and Fixed-Rate Loan l l l l l l l :Market value risk: a concern with fixed-rateinstruments. I L- - - - - - - - - - - - - - -

9、 - - - - - - - _ILeveraged Floating-RateNotesManage theRisk of Structured NotesInverse Floatersa urrenc l l l l l l l l l l l l l l l l l l l 一一一一一一一一一一一，一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一一 I II1. ConvertaLoan inOneIICurrency into AnotherI I I IICash flows for a plain vanilla currency swapSw

10、ap dealer6% on 10 m 6.1% on 10 mIUS CompanyIII6% on 10 mIII10 million bonds at 6%IGerman CompanyL- - - - - - - - - - - - - - - - - - - - - - _I2. CurrencySwap forLower Cost3. Currency Swap without Changes ofNP应 a I l l l l l ，彝、 Il、 Firmlll l l Ig Payer swaptionIf market interest rates are high, the

11、 swaption will be exercisedinterest rate call optionReceiver swaptionGives the buyer theright tobe thefixed-rate receiverIf market interest rates are low, the swaption will be exercisedinterest rate putoption1. Using Swaption to Convert LoansThe payerswaptionwould convert a futurefloating-rate: loan

12、 to a fixed-rateloan.l l l :I he receiver swapt1on would convert a tuture t1xed-ratel :loan to a floating-rateloan.12. Using Swaption to Terminate aSwap1Il3. Synthetically Adding orRemoving a Call FeatureI ./rJrJinn rII亡 + 1 I lllrt.Inn r r,. rIllr,矗 -、V , nll lIII I 1- V 11lb -11 I 人. 已 嘈 1 -I.J I 八 JI-I - -IV -1-. L 卜 J I Il-_ -_:- - - - - - - - - - - - - - - - - - - - - - - - - -_-_1-宅 兄职教音 P Z A C A D E M Y . C O M关注何旋、李斯克老师的公众号CFAPASS , 最新原创资料都在此 公众号发布。 登录