CFA 2018 Level 2 Derivatives

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  CFA 二级培训项目 Derivative Investments 讲师:纪慧诚 CFA FRM RFP
工作职称:金程教育金融研究院资深培训师教育背景: 金程教育Excel金融建模、量化投资(AQF)课程开发负责人工作背景:金融行业从业经验丰富,曾先后就职于中国建设银行、中信证券等知名金融机构。对 企业IPO、投资理财、量化投资等领域有着深入的研究和独到的见解。服务客户:中国工商银行、中国银行、中国建设银行、上海银行、兴业银行、中国人民银行研究 生部、兴业证券、平安证券、南京证券、湘财证券、上海证券交易所、深圳综合开发研究院、山 东省银行同业协会、中国CFP标准委员会、杨浦区党校、太平洋保险、泰康人寿、中国人寿、人 保资产管理、中国平安、华夏基金主编出版:参与金程CFA项目各类参考书目的编写工作,包括翻译CFA协会官方参考书《企业理财 》,《国际财务报告分析》,金程CFA中文Notes等新浪微博:联系方式:Topic Weightings in CFA Level II Session NO. Content Weightings
  Study Session 1-2 Ethics & Professional Standards 10-15
  Study Session 3 Quantitative Methods 5-10
  Study Session 4 Economic Analysis
  5-10 Study Session 5-6
  Financial Statement Analysis 15-20 Study Session 7-8
  Corporate Finance 5-15
  Study Session 9-11 Equity Analysis
  15-25 Study Session 12-13 Fixed Income Analysis 10-20Study Session 14 Derivative Investments 5-15
  Study Session 15 Alternative Investments 5-10 Study Session 16-17 Portfolio Management 5-10SS14 Derivative Instruments —— Framework Valuation and Strategies
R40 Pricing and Valuation ofDerivative Investments
  Forward Commitments
R41 Valuation of Contingent Claims • R42 Derivatives Strategies
   Principle of Arbitrage-free PricingFramework
   Equity Forward and Futures Contracts  Interest Rate Forward and Futures Contracts(FRA)  Fixed-Income Forward and Futures Contracts  Currency Forward Contracts
  2. T-bond Futures
  3. Swap  Interest Rate Swap Contracts  Currency Swap Contracts  Equity Swap ContractsForward ContractsA forward contract is an agreement between two parties in which one party, the buyer, agrees to buy from the other party, the seller, an underlying asset or other derivative, at a future date at a price established at the start of the contract. The party to the forward contract that agrees to buy the financial or physical asset has a long forward position and is called the long. The party to the forward contract that agrees to sell/deliver the asset has a short forward position and is called the short.Price and Value
The price is the predetermined price in the contract that the long should pay to the short to buy the underlying asset at the settlement date The contract value is zero to both parties at initiation The no-arbitrage principle: there should not be a riskless profit to be gained by a combination of a forward contract position with position in other asset.
   Two assets or portfolios with identical future cash flows, regardless of future events, should have same price  The portfolio should yield the risk-free rate of return, if it generates certain payoffs  General formula: FP = S ×( 1+R
  TGeneric Pricing: No-Arbitrage Principle
Pricing a forward contract is the process of determining the no-arbitrage price that will make the value of the contract be zero to both sides at the initiation of the contract
   Forward price=price that would not permit profitable riskless arbitrage in frictionless markets
  +Carrying Costs-Carrying Benefits
Valuation of a forward contract means determining the value of the contract to the long (or the short) at some time during the life of the contract.Forwards Arbitrage
Cash-and-Carry Arbitrage When the Forward Contract is Overpriced  If FP >S ×( 1+R
  T At initiation At settlement date 
  Short a forward contract  Borrow S at the risk-free rate  Use the money to buy the underlying bond 
  Deliver the underlying to the long  Get FP from the long  Repay the loan amount of S
  ×( 1+R
  Profit= FP- S ×( 1+R
  TForwards Arbitrage
Reverse Cash-and-Carry Arbitrage when the Forward Contract is Under-priced
   If FP < S ) ×(1+R
  fAt initiation At settlement date
   Long a forward contract
   Pay the short FP to get the
   Short sell the underlying underlying bond bond to get S
   Close out the short position by
   Invest S at the risk-free rate delivering the bond
   Receive investment proceeds
  T S ) ×( 1+R f T
  Profit=S ) -FP ×( 1+R fForward contract value
T-bill (zero-coupon bond) forwards
   buy a T-bill today at the spot price (S ) and short a T-month T-bill forward contract at the forward price (FP)  Forward value of long position at initiation(t=0), during the contract life(t=t), and at expiration(t=T)
  (1 ) T f
  FP S R   
Time Forward Contract Valuation
  t=0 Zero, because the contract is priced to prevent arbitrage t=t t=T
  (1 ) t T t f
  FP S R 
   Equity Forward Contracts
Forward contracts on a dividend-paying stock
   Price:  Value:
  ( ) (1 ) T f
  FP S PVD R    
  T t f t t long
  V 
      ) 1 (
      , [ ]
t l n t o T g
  PV F O T T r F V  Example
Calculate the no-arbitrage forward price for a 100-day forward on a stock that is currently priced at $30.00 and is expected to pay a dividend of $0.40 in 15 days, $0.40 in 85 days, and $0.50 in 175 days. The annual risk-free rate is 5%, and the yield curve is flat. Ignore the dividend in 175 days because it occurs after the maturity of the forward contract.
  $0.4 $0.4 PVD    $0.7946 15/365 85/365
  1.05 100/365 FP   
  ($30 - $0.7946) 1.05 $29.6
  Example  After 60 days, the value of the stock in the previous example is $36.00.
  Calculate the value of the equity forward contract to the long position, assuming the risk-free rate is still 5% and the yield curve is flat.
There's only one dividend remaining (in 25 days) before the contract matures
  (in 40 days) as shown below, so:
  $0.4 PVD   60 25/365 $0.3987
  1.05 $29.6 V long position ( 60 ( )  $36 - $0.3987) -  $6.16 40/365
One month ago, Troubadour purchased euro/yen forward contracts with three months to expiration at a quoted price of 100.20 (quoted as a percentage of par).
The contract notional amount is ¥100,000,000. The current forward price is

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