CFA Level I金融衍生品知识点汇总
Study Session 17
Reading 57
1. Derivatives 定义:
Key words: contract, hedge risk VS speculate, depend on the value of underlying ast 2.Derivatives 分类
Exchange-traded Over-the-counter
Standardized/Liquid Customized/Specific needs
Backed by a clearinghou Trade with counterparty(default risk)
Trade in the a physical exchange not trade in organized markets
Regulated Unregulated
3.forward：在0时点上约定在将来的某一时点以确定的价格买卖一定数量资产的的合约.分为long方和s
hort方，可以用来hedge risk，也可以用来speculation,0时点上双方是平等合约.，零和游戏，有违约风险，可以实物交割也可以现金交割，提前结束合约时只要签订一个反向合约就可以了.
4.FRA：标的资产是libor的远期合约(用来锁定利率).
1)long方是borrower, short方是lender.
2) 3×6FRA:3个月后开始借钱6个月后还.
5.futures：标准化的在交易所交易的forward，不会违约，受到监管
1) Futures contract 风险控制方法
Margin: Initial margin, Maintenance margin ,Variation margin补交保证金到Initial margin.
Daily Price Limit：每日涨跌停限制
Marking to market：逐日盯市
6.swap：一系列的forward有违约风险
1) plain vanilla interest rate swap: pay-fixed, pay-floating
7.CDS：保险，买方支付卖方保费，一旦标的物发生违约，卖方赔偿买方的损失.
8.option: 权利义务不对等的远期合约.
1)有long方,short方,call option /put option, long方支付Option premium
2) Moneyness:
Moneyness Call option Put option
In the money s>x S<x
At the money S=x S=x
Out of money S<x s>x
3)payoff:
4)profit:
5) Intrinsic Value
Intrinsic value of call option: C=max[0, S-X]
Intrinsic value of put option: P=max[0, X-S]
6) Option value=intrinsic value + time value
到期日之前: option value>intrinsic value
到期日: option value=intrinsic value
Price of the option is more volatile than prices of
underlying stock
7) Put call parity：考套利(低买高卖)，考合成
8)option value最大值最小值
9) 不分红的美式看涨期权不会提前行权.
分红的美式看涨期权有可能提前行权(只要分红足够大).
美式看跌期权会提前行权.
Reading 58
1. Cash-and-carry Arbitrage: If FP >S0×( 1+R f )T
Rever-cash-and-carry Arbitrage: If FP <S0×( 1+R f )T
