XXXXCFA上海强化班一级衍生证券分析_洪波

上海金程国际金融专修学院上海金程国际金融专修学院金程教育2010年6月CFA一级强化班讲义DerivativeInvestments讲师：洪波，CFA日期：2010年4月地点：■上海□北京□深圳[e-mail]2专业来自百分百的投入CopyRight2010ByGFEDUStudySession1Ethics&ProfessionalStandards15StudySession2-3QuantitativeMethods12StudySession4-6EconomicAnalysis10StudySession7-10FinancialStatementAnalysis20StudySession11CorporateFinance8StudySession12PortfolioManagement5StudySession13-14EquityAnalysis10StudySession15-16FixedIncomeAnalysis12StudySession17DerivativeInvestments5StudySession18AlternativeInvestments3Total:100FrameworkofCFAI3专业来自百分百的投入CopyRight2010ByGFEDUDerivativeInvestmentsDerivativemarketsandinstrumentsForwardmarketsandcontractsFuturesmarketsandcontractsOptionmarketsandcontractsSwapmarketsandcontractsRiskmanagementapplicationsofoptionsstrategiesFrameworkofDerivativeInvestments4专业来自百分百的投入CopyRight2010ByGFEDU1.Definition:Aderivativeisafinancialinstrumentthatoffersareturnbasedonthereturnofsomeotherunderlyingasset.¾Forward¾Futures¾Option¾Swap2.Exchange-tradedvs.Over-the-counterderivatives3.Forwardcommitmentvs.contingentclaim3.Advantageanddisadvantageofderivativemarkets4.ArbitrageR67:DerivativeMarketsandInstruments5专业来自百分百的投入CopyRight2010ByGFEDULOS67a.LOS67a.defineaderivativeanddifferentiatebetweenexchangedefineaderivativeanddifferentiatebetweenexchange--tradedandovertradedandover--thethe--countercounterderivatives;derivatives;¾Aderivativeisafinancialinstrumentthatoffersareturnbasedonthereturnofsomeotherunderlyingasset.¾Exchange-tradedvs.Over-the-counterderivativesOver-the-counterExchange-tradedcustomizedstandardizedtradewithcounterparty(defaultrisk)backedbyaclearinghouseunregulatedregulatednottradeinacentrallocationtradeintheaphysicalexchangeR67:DerivativeMarketsandInstruments6专业来自百分百的投入CopyRight2010ByGFEDU¾Forwardcommitment¾anagreementbetweentwoparties(buyer,agreestobuyfromtheseller)¾anunderlyingassetatafuturedateatapriceestablishedatthestart.¾Forward,Futuresandswap＆¾Contingentclaims¾thepayoffsoccurifaspecificeventhappens.¾optionLOS67b.defineaforwardcommitmentandacontingentclaim,andLOS67b.defineaforwardcommitmentandacontingentclaim,anddescribethedescribethebasiccharacteristicsofforwardcontracts,futurescontracts,obasiccharacteristicsofforwardcontracts,futurescontracts,options(callsandputs),ptions(callsandputs),andswaps;andswaps;R67:DerivativeMarketsandInstruments7专业来自百分百的投入CopyRight2010ByGFEDUTypesofforwardCommitment:¾Forwardcontract¾Onepartyagreestobuy¾Thecounter-partyagreestosell¾Deliveryaphysicalassetorasecurityataspecificpriceonaspecificdatesinthefuture.¾Ifthefuturepriceoftheunderlyingassetsincrease,thebuyerhasagain,andtheselleraloss.¾AFuturescontractisaforwardcontractthatisstandardizedandexchange-traded.Themaindifferenceswithforwardsarethatfuturesaretradedinanactivesecondarymarket:¾Areregulated¾Backedbyaclearinghouse¾Requireadailysettlementofgainsandlosses.¾Swapcontract¾aseriesofforwardcontracts¾onepartyagreestopayfloatingrateofinterestonsomeprincipalamount¾thecounterpartyagreestopayfixedrateofinterest.R67:DerivativeMarketsandInstruments8专业来自百分百的投入CopyRight2010ByGFEDU¾Acontingentclaimhasapayoffinthefutureonlyifcertaineventshappen.¾Optionsarecontingentclaimsthatdependonthepriceoftheunderlyingassets(suchasequityorbond).¾Basiccharacteristicsofoptions¾Anoptiontobuyanassetataparticularpriceistermedacalloption¾AnoptiontosellanassetataparticularpriceistermedaputoptionObligationtosellSellerofacallRighttobuyBuyerofacallObligationtobuySellerofaputRighttosellBuyerofaputR67:DerivativeMarketsandInstruments9专业来自百分百的投入CopyRight2010ByGFEDU¾Advantage:¾Pricediscovery¾Riskmanagement:hedgeandspeculation¾Loweringtransactioncosts¾Disadvantage:¾Toorisky¾Highleverage¾Complexinstruments¾SometimeslikenedtogamblingLOS67c.discussthepurposesandcriticismsofderivativemarketLOS67c.discussthepurposesandcriticismsofderivativemarkets;s;R67:DerivativeMarketsandInstruments10专业来自百分百的投入CopyRight2010ByGFEDU¾Arbitrageoccurswhenequivalentassetsorcombinationsofassetssellfortwodifferentprices.¾Arbitrageinvolvesearningovertherisk-freeratewithnoriskorearninganimmediategainwithnofutureliabilities¾IfaportfolioconsistingofAandBhasacertainpayoff,theportfolioshouldyieldtherisk-freeriskLOS67d.LOS67d.explainarbitrageandtheroleitplaysindeterminingpricesanexplainarbitrageandtheroleitplaysindeterminingpricesanddpromotingmarketefficiencypromotingmarketefficiency..R67:DerivativeMarketsandInstruments11专业来自百分百的投入CopyRight2010ByGFEDU1.Someterms¾Short,long,defaultrisk¾Delivery,cashsettlement¾Enduser,dealer2.Describethecharacteristicsofdifferentforwardcontracts(equity，zero-couponbond，couponbond，Eurodollartimedeposit,forwardrateagreement,currencyforwardcontract)3.Relatedcalculation（★FRA）R68:ForwardMarketsandContracts12专业来自百分百的投入CopyRight2010ByGFEDULOS68a.differentiatebetweenthepositionsheldbythelongandLOS68a.differentiatebetweenthepositionsheldbythelongandshortpartiestoaforwardshortpartiestoaforwardcontractintermsofdelivery/settlementanddefaultrisk;contractintermsofdelivery/settlementanddefaultrisk;¾Definition:abilateralcontractthatobligatesonepartytobuyan