0906SHCFA二级强化班-衍生证券分析-林晨雷

11金程教育CFA二级强化班讲义DerivativeInvestments讲师：林晨雷CFA日期：2009年3月地点：■上海□北京□深圳上海金程国际金融培训中心上海金程国际金融培训中心2专业来自百分百的投入CopyRight2009ByGFEDUTOTAL:PortfolioManagementDerivativeInvestmentsFixedIncomeAnalysisEquityAnalysisCorporateFinanceFinancialStatementAnalysisEconomicAnalysisQuantitativeMethodsEthics&ProfessionalStandards5-15StudySession181005-15StudySession16-175-15StudySession14-1520-30StudySession10-135-15StudySession8-915-25StudySession5-75-10StudySession45-10StudySession310StudySession1-2CFA二级课程框架3专业来自百分百的投入CopyRight2009ByGFEDUDerivativeInvestments¾StudySession16~17¾Estimatedweightsinexam:5%~15%¾Topicsinclude:¾Forwardmarketsandcontracts¾Futuresmarketsandcontracts¾Optionmarketsandcontracts¾Swapmarketsandcontracts¾Usingcreditderivativestoenhancereturnandmanagerisk4专业来自百分百的投入CopyRight2009ByGFEDUForwardMarketsandContracts5专业来自百分百的投入CopyRight2009ByGFEDU1.ForwardContractsP196¾Aforwardcontractisanagreementthatobligatesonepartytobuyandtheotherpartytosellaspecificquantityofanunderlyingasset,atasetprice,atafuturedate¾Thelongandtheshort¾Defaultrisk¾CreditriskP2166专业来自百分百的投入CopyRight2009ByGFEDU2.PriceandValueP197¾Thepriceisthepredeterminedpriceinthecontractthatthelongshouldpaytotheshorttobuytheunderlyingassetatthesettlementdate¾Thecontractvalueiszerotobothpartiesatinitiation¾Theno-arbitrageprinciple¾Twoassetsorportfolioswithidenticalfuturecashflows,regardlessoffutureevents,shouldhavesameprice¾Theportfolioshouldyieldtherisk-freerateofreturn,ifitgeneratescertainpayoffs7专业来自百分百的投入CopyRight2009ByGFEDU3.GenericPricingP198¾Pricingaforwardcontractistheprocessofdeterminingtheno-arbitragepricethatwillmakethevalueofthecontractbezerotobothsidesattheinitiationofthecontract¾FP=S0＋CarryingCosts－CarryingBenefits¾T-bill(zero-couponbond)forwards¾buyaT-billtodayatthespotprice(S0)andshorta3-monthT-billforwardcontractattheforwardprice(FP)¾TfRSFP)1(0+×=8专业来自百分百的投入CopyRight2009ByGFEDU4.ForwardsArbitrageP198¾Cash-and-CarryArbitrage¾IfFP¾¾ReverseCash-and-CarryArbitrage¾IfFP¾DelivertheunderlyingtothelongGetFPfromthelongRepaytheloanamountofBorrowS0attherisk-freerateUsethemoneytobuytheunderlyingbondShortaforwardcontractAtsettlementdateAtinitiationTfRS)1(0+×TfRS)1(0+×GettheinvestmentproceedsofPaytheshortFPtogettheunderlyingbondCloseouttheshortpositionbydeliveringthebondShortselltheunderlyingbondtogetS0InvestS0attherisk-freerateLongaforwardcontractAtsettlementdateAtinitiationTfRS)1(0+×TfRS)1(0+×9专业来自百分百的投入CopyRight2009ByGFEDU5.GenericValuationP201¾Valuationofaforwardcontractmeansdeterminingthevalueofthecontracttothelong(ortheshort)atsometimeduringthelifeofthecontract¾T-bill(zero-couponbond)forwards¾¾¾Off-marketforwardcontracts¾Attheinceptionofthecontract(t=0),thevalueofthelongis:¾Anoff-marketforwardcontractisacontractinwhichtheforwardpriceisnotsettotheno-arbitragepriceatinitiationtTftlongRFPSV−+−=)1(ttTflongshortSRFPVV−+=−=−)1(TflongRFPSV)1(0+−=10专业来自百分百的投入CopyRight2009ByGFEDU6.EquityForwardContractsP203¾Forwardcontractsonadividend-payingstockoronanequityindex¾Forwardcontractsonadividend-payingstock¾Price:¾Value:¾Forwardcontractsonanequityindex¾continuouslycompoundedrisk-freerate=ln(1+Rf)¾Price:¾Value:TfRPVDSFP)1()(0+×−=tTfttlongRFPPVDSV−+−−=)1(TRccfeSFP×−×=)(0δ⎟⎟⎠⎞⎜⎜⎝⎛−⎟⎠⎞⎜⎝⎛=−×−×)()(tTRtTtlongcfceFPeSVδcfR11专业来自百分百的投入CopyRight2009ByGFEDU7.ForwardContractsonCouponBondsP207¾Couponbondsaresimilartodividend-payingstocks,butthecashflowsarecoupons¾Price:¾Value:TfRPVCSFP)1()(0+×−=tTftlongRFPPVCSV−+−−=)1(12专业来自百分百的投入CopyRight2009ByGFEDU8.ForwardRateAgreements(FRAs)P209¾Aforwardrateagreement(FRA)isaforwardcontractonaninterestrate(LIBOR)¾Longposition:borrowattheforwardrateinthefuture¾Shortposition:lendattheforwardrateinthefuture¾Example:2×5FRA¾Theforwardcontractexpiresin2months¾Theunderlyingloanissettledin5months,witha3-monthnotionalloanperiod¾Theunderlyinginterestrateis90-dayLIBORin60days13专业来自百分百的投入CopyRight2009ByGFEDU9.FRAPricingandValuationP210¾TheforwardpriceinanFRAistheno-arbitrageforwardrate(FR)¾Ifspotratesareknown,TheFRisjusttheunbiasedestimateoftheforwardinterestrate:(1+L(m)×m/360)(1+FR×n/360)=(1+L(m+n)×(m+n)/360)¾ThevalueofanFRA¾ValueofanFRAatmaturity¾ValueofanFRApriortosettlement¾Lt(k):theannualizedLIBORonak–dayloantdaysafterinitiation¾Thelongcanborrow$1atexpiration(attimem)andrepay$1+FR×n/360atloanend(attimem+n),sothevalueofthelongshouldbethedifferencebetweenthepresentvalueofthetwocashflows14专业来自百分百的投入CopyRight2009ByGFEDU10.CurrencyForwardContractsP215¾Price:coveredinterestrateparity(IRP)FPandS0arequotedincurrencyXperunitofcurrencyY(i.e.,X/Y)¾Value¾IfyouaregiventhecontinuousinterestratesTyTxRRSFP)1()1(0++×=tTxtTytlongRFPRSV−−+−+=)1()1(TRRcycxeSFP×−×=)(0⎟⎠⎞⎜⎝⎛−⎟⎟⎠⎞⎜⎜⎝⎛=−×−×)()(tTRtTRtlongcxcyeFPeSV15专业来自百分百的投入CopyRight2009ByGFEDUFuturesMarketsandContracts16专业来自百分百的投入CopyRight2009ByGFEDU1.FuturesContractsP224¾Futuresvs.Forwards¾Markingtomarket&Margin¾Initialmargin,maintenancemarginandvariationmargin¾MarkingtomarketOriginatingcounterpartyClearinghouseascounterpartyNotmarkedtomarketMarkedtomarketCustomizedStandardizedOver-the-counterExchangetradedForwardsF