CFA二级基础段衍生（标准版）.docx

该【CFA二级基础段衍生（标准版） 】是由【经管专家】上传分享，文档一共【155】页，该文档可以免费在线阅读，需要了解更多关于【CFA二级基础段衍生（标准版） 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。&ProfessionalStandards10-15StudySession1-2QuantitativeMethodsEconomicAnalysis5-105-10StudySession3StudySession4FinancialStatementAnalysisCorporateFinance15-205-15StudySession5-6StudySession7-8StudySession9-11StudySession12-13EquityAnalysis15-25eAnalysisDerivativeInvestmentsAlternativeInvestments10-205-105-10StudySession14StudySession15StudySession16-17PortfolioManagement5-102-155FrameworkSS14DerivativeInstruments——ValuationandStrategies??R37PricingandValuationofmitmentsDerivativeInvestmentsR38ValuationofContingentClaims3-155Reading37mitments4--freePricingEquityForwardandFuturesContractsInterestRateForwardandFuturesContracts(FRA)Fixed---155ForwardContracts??Aforwardcontractisanagreementbetweentwopartiesinwhichoneparty,thebuyer,agreestobuyfromtheotherparty,theseller,anunderlyingassetorotherderivative,-155PriceandValue?Thepriceisthepredeterminedpriceinthecontractthatthelongshouldpaytotheshorttobuytheunderlyingassetatthesettlementdate??ThecontractvalueiszerotobothpartiesatinitiationTheno-arbitrageprinciple:,regardlessoffutureevents,shouldhavesamepriceTheportfolioshouldyieldtherisk-freerateofreturn,ifitgeneratescertainpayoffsGeneralformula:FP=S×(1+R)T0f7-155GenericPricing:No-ArbitragePrinciple?Pricingaforwardcontractistheprocessofdeterminingtheno-arbitragepricethatwillmakethevalueofthecontractbezerotobothsidesattheinitiationofthecontractlForwardprice=pricethatwouldnotpermitprofitablerisklessarbitrageinfrictionlessmarkets??FP=S0+CarryingCosts-CarryingBenefitsValuationofaforwardcontractmeansdeterminingthevalueofthecontracttothelong(ortheshort)-155ForwardsArbitrage?Cash-and-CarryArbitrageWhentheForwardContractisOverpricedlIfFP>S×(1+R)T0fAtinitiationAtsettlementdateDelivertheunderlyingtothelongGetFPfromthelonglllShortaforwardcontractBorrowS0attherisk-freerateUsethemoneytobuytheunderlyingbondlllRepaytheloanamountofS×(1+R)T0fProfit=FP-S×(1+R)T0f9-155ForwardsArbitrage?ReverseCash-and-CarryArbitragewhentheForwardContractisUnder-pricedlIfFP<S×(1+R)T0fAtinitiationAtsettlementdatellLongaforwardcontractShortselltheunderlyingbondtogetS0lllPaytheshortFPtogettheunderlyingbondCloseouttheshortpositionbydeliveringthebondlInvestS0attherisk-freerateReceiveinvestmentproceedsS×(1+R)T0fProfit=S×(1+R)T-FP0f10-155