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首页 13金融市场与产品

13金融市场与产品.pdf

13金融市场与产品

crazy_girl6610
2013-07-14 0人阅读 举报 0 0 暂无简介

简介:本文档为《13金融市场与产品pdf》,可适用于考试题库领域

上海金程国际金融专修学院上海金程国际金融专修学院年月FRM一级基础班讲义Financial Markets and Products讲师:么峥FRM地点:■上海□北京□深圳ContributionBreedsProfessionalismContributionBreedsProfessionalism么峥么峥¾职称:FRM浙江大学数学学士浙江大学金融学硕士¾教授课程:金融市场与产品¾工作背景:现就职于国内某大型股份制商业银行负责全行新资本协议的实施工作参与各新资本协议有关项目包含信用风险初级法改造、市场风险验证、第二支柱建设等项目跟进巴塞尔三定量测算与监管最新动态。¾联系方式:yzzjucomContributionBreedsProfessionalismContributionBreedsProfessionalismFinancialMarketandProductsFinancialMarketandProducts––ExamWeightExamWeight¾MechanicsofOTCandexchangemarkets¾Forwards,futures,swaps,andoptionszMechanicszPricingandfactorsthataffectitzUsesinhedgingandhedgingstrategieszDeliveryoptions¾Interestratesandmeasuresofinterestratesensitivity¾Derivativesonfixed‐incomesecurities,interestrates,foreignexchange,andequities¾Commodityderivatives¾Foreignexchangerisk¾CorporatebondsContributionBreedsProfessionalismContributionBreedsProfessionalismCorereadingsCorereadings¾Hull,Options,Futures,andOtherDerivatives,thEditionzChapter–IntroductionzChapter–MechanicsofFuturesMarketszChapter–HedgingStrategiesUsingFutureszChapterInterestRateszChapter–DeterminationofForwardandFuturesPriceszChapter–InterestRateFutureszChapter–SwapszChapter–PropertiesofStockOptionszChapter–TradingStrategiesInvolvingOptions¾RobertMcDonald,DerivativesMarkets(Boston:Addison‐Wesley,)zChapter–CommodityForwardsandFuturesContributionBreedsProfessionalismContributionBreedsProfessionalismCorereadingsCorereadings¾HelyetteGeman,CommoditiesandCommodityDerivatives:ModelingandPricingforAgriculturals,MetalsandEnergy(WestSussex,England:Wiley,)zChapter–FundamentalsofCommoditySpotandFuturesMarkets:Instruments,ExchangesandStrategies¾AnthonySaundersandMarciaMillonCornett,FinancialInstitutionsManagement:ARiskManagementApproach,thEdition(NewYork:McGraw‐Hill,)zChapter–ForeignExchangeRisk¾FrankFabozzi,TheHandbookofFixedIncomeSecurities,thedition(NewYork:McGrawHill,)zChapterCorporateBondsContributionBreedsProfessionalismContributionBreedsProfessionalismFinancialmarketsandproductsFinancialmarketsandproducts¾SectionBondFundamentals¾SectionIntroduction(options,futures,andotherderivatives)¾SectionMechanicsoffuturesmarkets¾SectionHedgingstrategiesusingfutures¾SectionInterestRates¾SectionDeterminationofforwardandfuturesprices¾SectionInterestratefutures¾SectionSwaps¾SectionPropertiesofstockoptions¾SectionTradingstrategiesinvolvingoptions¾SectionForeignexchangerisk¾SectionMechanismsfordealingwithsovereignriskexposureContributionBreedsProfessionalismContributionBreedsProfessionalismBondfundamentalsBondfundamentals¾WhatisabondIssuerBorrowerBondholderLenderInvestorIndenturebondsmoney¾CharacteristicsofbondszIssuerzMaturityzFacevalueParvaluezCouponratezSeniorityzRedemptionorconversionContributionBreedsProfessionalismContributionBreedsProfessionalismDiscounting,FuturevaluesandPresentvaluesDiscounting,FuturevaluesandPresentvalues¾Howmuchis$afteryearsify=$FV=?PV=FV(y)PV=FV(y)PV=FV(y)FVFVFV¾Howmuchisthepresentvalueof$threeyearslaterify=ContributionBreedsProfessionalismContributionBreedsProfessionalism¾Simplevscompounding¾Compoundingconventionsareimportantindeterminingeffectiveannualrate(EAR),inordertocomparesecuritieswithdifferentcompoundingperiods,wemustconverttheiryieldstoEAREffectiveAnnualRate(EAR)EffectiveAnnualRate(EAR)¾ThegeneralizedformulatocomputetheEARzn:numberofcompoundingperiodsperyearzr:annualrate(quoted)¾Annually,semiannually,quarterly,monthly,weekly,daily,continuouslycompounding¾ContinuouslycompoundedrateEAR=nrn⎛⎞−⎜⎟⎝⎠,EARrne→∞=−ContributionBreedsProfessionalismContributionBreedsProfessionalismExamplesExamples¾EXAMPLE:FRMEXAMQUESTIONAninvestorbuysaTreasurybillmaturinginmonthfor$Onthematuritydatetheinvestorcollects$,Calculateeffectiveannualrate(EAR)ABCD¾EXAMPLE:FRMEXAMQUESTIONLisaSmith,thetreasureofbankAAA,has$milliontoinvestforoneyearShehasidentifiedthreealternativeoneyearcertificatesofdeposits(CDs),withdifferentcompoundingperiodsandannualratesCD:monthly,CD:quarterly,CD:semiannually,andCD:continuous,WhichCDhasthehighestEARACDBCDCCDDCDContributionBreedsProfessionalismContributionBreedsProfessionalismPricePriceYieldrelationshipYieldrelationshipzWhereCt=thecashflow(couponorprincipal)inperiodtzt=thenumberofperiodstoeachpayment(eg,halfyearsaquarteryears)zT=thenumberofperiodstomaturityzy=thediscountingrateperperiod()()()TtTTttCCCCPyyyy==⋅⋅⋅=∑()()ttcFcFcFcFPyyyy∞==⋅⋅⋅==∑¾Howtodeterminethepriceofabond¾PerpetualBondContributionBreedsProfessionalismContributionBreedsProfessionalismPricePriceYieldrelationshipYieldrelationship¾债券价格与收益率成反比。¾对于期限既定的普通债券由收益率下降导致的债券价格上升的幅度大于同等幅度的收益率上升导致的债券价格下降的幅度。ContributionBreedsProfessionalismContributionBreedsProfessionalismMacaulayDurationMacaulayDuration¾Definition:theaveragetimetowaitforeachpayment,weightedbythepresentvalueoftheassociatedcashflow()()()()()TtttTtttTttTttTttCtyDCyPVCtPPVCtPtω=====⎡⎤×⎢⎥⎣⎦=×=⎡⎤=×⎢⎥⎣⎦=×∑∑∑∑∑ContributionBreedsProfessionalismContributionBreedsProfessionalism¾ThreeTheoriesofMacaulayDurationMacaulayDurationzForazerocouponbond,theMacaulaydurationequalstoitsmaturityzForaplainbond,theMacaulaydurationislessthanorequaltoitsmaturityzForconsol,theMacaulaydurationisyMacaulayDurationMacaulayDurationContributionBreedsProfessionalismContributionBreedsProfessionalismTaylorExpansion,ModifiedDurationTaylorExpansion,ModifiedDuration¾债券价格随收益率变化的表达式:假设:¾ModifiedDuration¾Therelationshipbetweenthepricechange,duration,andconvexity()()'()''()()PyyPyfyyfyyΔ=ΔΔ…dollardurationdollarconvexity()Pfy=*DDy=*()PDPyCPyΔ=−⋅⋅Δ⋅⋅Δ…dollardurationdollarconvexityContributionBreedsProfessionalismContributionBreedsProfessionalismModifiedDurationModifiedDurationTheactual,exactpriceThedurationestimateThedurationandconvexityestimate()Pfyy=Δ*PPDPy=−Δ*()PPDPyCPy=−ΔΔDurations¾SeveralkindsofDurations:zD(Macaulayduration,orduration)zDD(Dollarduration)zD*(Modifiedduration)zDVDVBPzDE(Effectiveduration)¾Assumptionsofusingdurationestimation:zTheparallelshiftofinterestrates¾Threecharacteristicsofdurationandconvexity:zAllelsebeingequal,durationandconvexitybothincreaseforlongermaturities,lowercoupons,andlowertheyieldsContributionBreedsProfessionalismContributionBreedsProfessionalismCharacteristicsofdurationContributionBreedsProfessionalismContributionBreedsProfessionalismContributionBreedsProfessionalismContributionBreedsProfessionalismCharacteristicsofdurationYield(pa)DurationYieldRelationshipcouponContributionBreedsProfessionalismContributionBreedsProfessionalismCharacteristicsofconvexityPortfoliodurationandconvexity¾BarbellportfolioandBulletportfolioEXAMPLE:FRMEXAMQUESTIONAbondportfoliohasthefollowingcompositions:PortfolioA:price$,,modifiedduration,longpositioninbondsPortfolioB:price$,,modifiedduration,shortpositioninbondsPortfolioC:price$,,modifiedduration,longpositioninbondsAllinterestratesareIftheratesrisebybp,thenthebondportfoliovaluewillADecreaseby$,BDecreaseby$,CDecreaseby$,DDecreaseby$,**NpiiiDDω==∑ContributionBreedsProfessionalismContributionBreedsProfessionalismNpiiiCCω==∑iω为债券的市值权重。Examples¾EXAMPLE:FRMEXAMQUESTIONAportfoliomanagerhasabondpositionworthUSDmillionThepositionhasamodifieddurationofeightyearsandaconvexityofyearsAssumethatthetermstructureisflatByhowmuchdoesthevalueofthepositionchangeifinterestratesincreasebybasispointsAUSD−,,BUSD−,,CUSD−,,DUSD−,,¾EXAMPLE:FRMEXAMQUESTIONConsiderthefollowingthreemethodsofestimatingtheprofitandloss(PL)ofabulletbond:fullrepricing,duration(PV),anddurationplusconvexityRankthemethodstoestimatethePLimpactofalargenegativeyieldshockfromthelowesttothehighestADuration,durationplusconvexity,fullrepricingBDuration,fullrepricing,durationplusconvexityCDurationplusconvexity,duration,fullrepricingDFullrepricing,durationplusconvexity,durationestimatingContributionBreedsProfessionalismContributionBreedsProfessionalismExamples¾EXAMPLE:FRMEXAMQUESTIONATreasurybondhasacouponrateofperannum(thecouponsarepaidsemiannually)andasemiannuallycompoundedyieldofperannumThebondmaturesinmonthsandthenextcouponwillbepaidmonthsfromnowWhichnumberbelowisclosesttothebond’sMacaulaydurationAyearsByearsCyearsDyears¾EXAMPLE:FRMEXAMQUESTIONWhenthematurityofaplaincouponbondincreases,itsdurationincreasesAIndefinitelyandregularlyBUptoacertainlevelCIndefinitelyandprogressivelyDInawaydependentonthebondbeingpricedaboveorbelowparContributionBreedsProfessionalismContributionBreedsProfessionalismExamples¾EXAMPLE:FRMEXAMQUESTIONConsiderthefollowingbonds:BondNumberMaturity(yrs)CouponRateFrequencyYield(Annual)HowwouldyourankthebondsfromtheshortesttolongestdurationABCDContributionBreedsProfessionalismContributionBreedsProfessionalismContributionBreedsProfessionalismContributionBreedsProfessionalismFinancialmarketsandproductsFinancialmarketsandproducts¾SectionBondFundamentals¾SectionIntroduction(options,futures,andotherderivatives)¾SectionMechanicsoffuturesmarkets¾SectionHedgingstrategiesusingfutures¾SectionInterestRates¾SectionDeterminationofforwardandfuturesprices¾SectionInterestratefutures¾SectionSwaps¾SectionPropertiesofstockoptions¾SectionTradingstrategiesinvolvingoptions¾SectionForeignexchangerisk¾SectionMechanismsfordealingwithsovereignriskexposureContributionBreedsProfessionalismContributionBreedsProfessionalismDerivativesIntroductionDerivativesIntroduction¾AderivativeisasecuritythatitsvaluebasedonthevalueorreturnofanotherassetorsecurityDerivativeDerivativessForwardFuturesOptionSwapsAssetsstocksbondsgoldcurrencycommoditymetalsstockindex……ContributionBreedsProfessionalismContributionBreedsProfessionalism¾¾DerivativesTradingMarketsDerivativesTradingMarketsDerivativesIntroductionDerivativesIntroductionExchangeTradedOvertheCounterStandardized(数量和质量)CustomizedBackedbyaclearinghouseTradewithcounterparty(defaultrisk)TradeintheaphysicalexchangeNottradeinacentrallocationRegulatedUnregulatedTradingvolume:smallTradingvolume:large¾¾TwoTradingSystemsTwoTradingSystemszzOpenoutcrysystemandElectronictradingsystemOpenoutcrysystemandElectronictradingsystemzTheOpenOutcrySystemisthemoretraditionalsystem,whichinvolvestradersactuallyindicatingtheirtradersthroughhandsignalsandshoutingzTheElectronicTradingSystemdoesnotinvolveanactual“physical”exchangelocation,butratherinvolvesmatchingbuyersandsellerselectronicallyviacomputers(eg,NASDAQ,中金所)成交止损买入卖出DerivativesIntroductionDerivativesIntroductionContributionBreedsProfessionalismContributionBreedsProfessionalismContributionBreedsProfessionalismContributionBreedsProfessionalismDerivativesIntroductionDerivativesIntroduction¾Payoffsfromforwardcontracts:(a)longposition,(b)shortpositionDeliveryprice=Kpriceofassetatcontractmaturity=STPayoffKST(a)PayoffKST(b)Payoff=STKPayoff=KSTContributionBreedsProfessionalismContributionBreedsProfessionalismDerivativesIntroductionDerivativesIntroduction¾OptionContractzAnoptiontobuyanassetataparticularpriceistermedacalloptionzAnoptiontosellanassetataparticularpriceistermedaputoption¾TheclassificationofoptionszEuropean,American,Bermudazcall,putzExoticoptionsLongcallRighttobuyShortcallObligationtosellLongputRighttosellShortputObligationtobuy¾PayoffsofoptionsContributionBreedsProfessionalismContributionBreedsProfessionalismDerivativesIntroductionDerivativesIntroductionXSTXSTXSTXSTlongcalllongputshortputshortcallContributionBreedsProfessionalismContributionBreedsProfessionalismDerivativesIntroductionDerivativesIntroduction¾ThreeimportanttypesoftraderszHedgers:reducerisk,transferriskzSpeculators:activelytakerisktomakeprofitzArbitrageurs:makerisklessprofitWhenarbitrageopportunityexists:mispricing¾ThefunctionsofderivativesmarketzPricediscoveryzTransferpriceriskContributionBreedsProfessionalismContributionBreedsProfessionalismExamplesExamples¾WhichofthefollowingstatementsisanadvantageofanexchangetradingsystemOnanexchangesystem:ATermsarenotspecifiedBTradesaremadeinsuchawayastoreducecreditriskCParticipantshaveflexibilitytonegotiateDIntheeventofamisunderstanding,callsarerecordedbetweenparties¾WhichofthefollowingstatementsregardingfuturescontractsismostlikelycorrectAbusinesswithalongexposuretoanassetwouldhedgethisexposurebyeitherenteringintoa:ALongfuturescontractorbybuyingacalloptionBLongfuturescontractorbybuyingaputoptionCshortfuturescontractorbybuyingacalloptionDshortfuturescontractorbybuyingaputoptionContributionBreedsProfessionalismContributionBreedsProfessionalismFinancialmarketsandproductsFinancialmarketsandproducts¾SectionBondFundamentals¾SectionIntroduction(options,futures,andotherderivatives)¾SectionMechanicsoffuturesmarkets¾SectionHedgingstrategiesusingfutures¾SectionInterestRates¾SectionDeterminationofforwardandfuturesprices¾SectionInterestratefutures¾SectionSwaps¾SectionPropertiesofstockoptions¾SectionTradingstrategiesinvolvingoptions¾SectionForeignexchangerisk¾SectionMechanismsfordealingwithsovereignriskexposureContributionBreedsProfessionalismContributionBreedsProfessionalismMechanicsofFuturesMarketsMechanicsofFuturesMarkets¾¾CompareandcontrastforwardandfuturescontractsCompareandcontrastforwardandfuturescontractsForwardsFuturesPrivatecontractsExchangetradedUniquecustomizedcontractsStandardizedcontractsDefaultriskispresentGuaranteedbyclearinghouseLittleornoregulationRegulatedNomargindepositrequiredMarginrequiredandadjustedSettlementatmaturityDailysettlement(marktomarket)DeliveryusuallyhappensClosedoutbeforematurityContributionBreedsProfessionalismContributionBreedsProfessionalism¾¾CharacteristicsspecifiedinafuturescontractCharacteristicsspecifiedinafuturescontractQualityoftheunderlyingassetContractsizeDeliverylocationDeliverytimePricequotationsDailypricelimitsPositionlimitsMechanicsofFuturesMarketsMechanicsofFuturesMarketsContributionBreedsProfessionalismContributionBreedsProfessionalism¾¾MarginMarginzInitialmarginzMaintenancemarginzVariationmarginzMargincall¾¾ExampleExampleAhasalongpositionintwogoldfuturescontractsTheinitialmarginis$percontract,andthemaintainancemarginis$percontractThecontractisenteredintoonJuneat$andclosedoutonJuneat$Thepricesareinthesecondcolumn,calculatethemarginaccountMechanicsofFuturesMarketsMechanicsofFuturesMarketsExampleDayFuturesPrice($)Dailygainloss($)Cumulativegainloss($)Marginaccount($)Margincall($)June()()June()()June()June()()June()()June()()June()()June()June()()June()June()()June()ContributionBreedsProfessionalismContributionBreedsProfessionalismContributionBreedsProfessionalismContributionBreedsProfessionalismMechanicsofFuturesMarketsMechanicsofFuturesMarkets¾ClearinghousezEachexchangehasaclearinghousezTheclearinghouseguaranteesthattradersinthefuturesmarketwillhonortheirobligationszTheclearinghousemanagethemarginaccount¾FourwaystoterminateafuturescontractzPhysicaldeliveryzCashsettlementzReversetradingzExchangeforphysicalsContributionBreedsProfessionalismContributionBreedsProfessionalismExamplesExamples¾EXAMPLEAninvestorentersintoalongpositioninagoldfuturescontractwiththefollowingcharacteristics:•Theinitialmarginis$,•Themaintenancemarginis$,•Thefuturespriceis$•EachcontractcontrolstroyouncesIfthepricedropsto$attheendofthefirstdayand$attheendofthesecondday,whichofthefollowingisclosesttothevariationmarginrequiredattheendofthes

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13金融市场与产品

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