CFA金融衍生品PPT课件

1、Study Session 17Derivative Market and Instruments第1页/共33页2中信泰富炒外汇亏中信泰富炒外汇亏186亿亿 第2页/共33页3澳元走势澳元走势 & 中信泰富走势中信泰富走势 第3页/共33页4Study Session 17: Derivative Market and Instruments金融衍生品简介：金融衍生品简介：四类衍生品四类衍生品衍生品市场的作用衍生品市场的作用T h i s t o p i c r e v i e w c o n t a i n s introductory material for the upcom

2、ing reviews of specific types of derivatives. Derivatives-specific definitions and terminology are presented along with information about derivatives markets. 基础：套利理论基础：套利理论 U p o n c o m p l e t i o n o f t h i s r e v i e w , candidates should be familiar with the basic concepts that underlie deri

3、vatives and the general arbitrage framework. 第4页/共33页5LOS 67.a: Define a derivative and differentiate between exchange-traded and over-the-counter derivatives. 衍生品定义、交易所交易和场外交易（衍生品定义、交易所交易和场外交易（OTC）、违约风险）、违约风险A derivative is a security that derives its value from the value or return of another asset

4、 or security.A physical exchange exists for many options contracts and futures contracts. Exchange-traded derivatives are standardized and backed by a clearinghouse.Forwards and swaps are custom instruments and are traded/created by dealers in a market with no central location. A dealer market with

5、no central location is referred to as an over-the-counter market. They are largely unregulated markets and each contract is with a counterparty, which may expose the owner of a derivative to default risk (when the counterparty does not honor their commitment). Some options trade in the over-the-coun

6、ter market, notably bond options.Study Session 17: Derivative Market and Instruments第5页/共33页6 场内交易的标准仓单场内交易的标准仓单第6页/共33页7LOS 67.b: Define a forward commitment and c o n t i n g e n t c l a i m , a n d d e s c r i b e t h e b a s i c characteristics of forward contracts, futures contracts, options (c

7、alls and puts), and swaps. 远期合约和或有权益定义、四类衍生品定义远期合约和或有权益定义、四类衍生品定义远期协议 A forward commitment is a legally binding promise to perform some action in the future. Forward commitments include forward contracts, futures contracts, and swaps.远期和期货标的物远期和期货标的物 For ward contracts and futures contracts can be w

8、ritten on equities, indexes, bonds, physical assets, or interest rates.远期中买卖的多空两方远期中买卖的多空两方 In a forward contract, one party agrees to buy, and the counterparty to sell, a physical asset or a security at a specific price on a specific dale in the future. If the future price of the asset increases, t

9、he buyer (at the older, lower price) has a gain, and the seller a loss.Study Session 17: Derivative Market and Instruments第7页/共33页8期货与远期的区别：A futures contract i s a f o r w a r d c o n t r a c t t h a t i s standardized and exchange-traded. The main differences with forwards are that futures are tra

10、ded in an a c t i v e s e c o n d a r y m a r k e t , a r e r e g u l a t e d , b a c k e d b y t h e clearinghouse, and require a daily settlement of gins and losses.互换：A swap is a series of forward contracts. 利率、货币互换 e.g. one parry agrees to pay the short-term (floating) rare of interest on some p

11、rincipal amount, and the counterparty agrees to pay a certain (fixed) rare of interest in return.Study Session 17: Derivative Market and Instruments第8页/共33页9期权多头：An option to buy an asset at a particular price is termed a call option. The seller of the option has an obligation to sell the asset at t

12、he agreed-upon price, if the call buyer chooses to exercise the right to buy the asset.期权空头：An option to sell an asset or a par ticular price is termed a put option. 或有权益：或有权益：A contingent claim is a claim ( t o a pa y of f ) t h a t d e p e n d s o n a particular event. Options是或有权益或有权益. 而forwards,

13、 futures, swaps 则不是, contingent claims 仅在权利方获利时才执行 (e.g., if the price is above X or the rare is below Y). Study Session 17: Derivative Market and Instruments第9页/共33页10Study Session 17: Derivative Market and Instruments第10页/共33页11中信泰富炒外汇亏中信泰富炒外汇亏186亿亿 第11页/共33页12LOS 67.d: Explain arbitrage and the r

14、ole it plays in determining prices and promoting market efficiency.Arbitrage is an impor tant concept in valuing (pricing) derivative securities. In its purest sense, arbitrage is riskless. If a return greater than the risk-free rate can be earned by holding a por tfolio of assets that produces a ce

15、rtain (riskless) return, then an arbitrage opportunity exists. Arbitrage opportunities arise when assets are mispriced. Trading by arbitrageurs will continue until they affect supply and demand enough to bring asset prices to efficient (no-arbitrage) levels.Study Session 17: Derivative Market and In

16、struments第12页/共33页13套利理论两个基础 There are two arbitrage arguments that are particularly useful in the study and use of derivatives.The first is based on the “law of one price.” 现金流相同，价格相同，否则卖高买低套利The second type of arbitrage is used where two securities with uncertain returns can be combined in a portf

17、olio that will have a certain payoff. If a portfolio consisting of A and B has a certain payoff, the portfolio should yield the risk-free rare. If this no-arbitrage condition is violated in that the certain return of A and B together is higher than the risk-free rate, a n arbitrage opportunity exist

18、s. Study Session 17: Derivative Market and Instruments第13页/共33页143. A customized agreement to a certain T-bond next Thursday for $1,000 is: A. an option. B. a futures contract. C. a forward commitment.Answers: C This non-standardized type of contract is a forward commitment.4. A futures contract is

19、least likely: A. exchange-traded. B. a contingent claim. C. adjusted for profits and losses daily.Answers: B A contingent claim has payoffs char depend on some future event (e.g., ;an option).Concept Checkers Study Session 17第14页/共33页15Concept Checkers Study Session 176. A call option gives the hold

20、er: A. the right to sell at a specific price. B. the right to buy at a specific price. C. an obligation to sell at a certain price. Answers: B A call gives the owner the right to call an asset away (buy it) from the seller.第15页/共33页16 KEY CONCEPTS 1.衍生品介绍：远期、期货、期权（或有权益）和互换；场内、场外交易； 2.衍生品市场的风险及作用； 3.

21、无风险套利理论及其对有效市场的作用、两种无风险套利理论（一价定律、投资组合套利理论）。第16页/共33页Study Session 17Forward Markets and Contracts第17页/共33页18Forward Markets and ContractsForward Contracts A Forward Contract is a bilateral contract that obligates one parry to buy and the other to sell a specific quantity of an asset, at a set price,

22、 on a specific date in the future. Forward Contract 要点： 初始价值为零，签约时双方均不需支付任何费用 If the future price of the asset the future price of the asset CFA Level I 要求掌握：金融远期：股票、国债、外汇和利率等第18页/共33页19LO S 6 8 . a . D i f f e r e n t i a t e b e t w e e n t h e positions held by the long and short parties t o a f

23、o r w a r d c o n t r a c t i n t e r m s o f delivery/settlement and default risk.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 or deliver the asset has a

24、 short forward position and is called the short.举例：Consider a contract under which Parry A agrees to buy a $1,000 face value, 90-day Treasury bill from Parry B 30 days from now at a price of $990. Parry A is the long and Parry B is the short. Both parries have removed uncertainty about the price the

25、y will pay/receive for the T-bill at the future date .Forward Markets and Contracts第19页/共33页20Forward Markets and Contracts举例：Consider a contract under which Parry A agrees to buy a $1,000 face value, 90-day Treasury bill from Parry B 30 days from now at a price of $990. Parry A is the long and Parr

26、 y B is the shor t. Both parries have removed uncertainty about the price they will pay/receive for the T-bill at the future date .风险分析：如果标的物价格上涨，多头盈利（long, Parry A）如果标的物价格下跌，空头盈利（ short, Parry B）违 约 风 险 ：违 约 风 险 ： D e f a u l t R i s k (C o u n t e r p a r t y R i s k) , t h e p ro ba b i l i t y t

27、 h a t t h e o t h e r p a r t y ( t h e counterparty) will not perform as promised.第20页/共33页21Forward Markets and ContractsLOS 68.b. Describe the procedures for settling a forward contract at expiration, and discuss how termination alternatives prior to expiration can affect credit risk.The previou

28、s example was for a deliverable forward contract. The short contracted to deliver the actual instrument, in this case a $1,000 face value, 90-day T-bill. This is one procedure for settling a forward contract at the s e t t l e m e n t d a t e or e x p i r a t i o n d a t e specified in the contract.

29、An alternative settlement method is cash settlement. Under this method, the party that has a position with negative value is obligated to pay that amount to the other party.第21页/共33页22Forward Markets and ContractsTerminating a Position Prior to ExpirationA party to a forward contract can terminate t

30、he position prior to expiration by entering into an opposite forward contract with an expiration date equal to the time remaining on the original contract. 0 10 30 120 90 在第10天，签订一份相反的远期合约，结束原来的合约；如果此合约与第三方签订，面临违约风险。第22页/共33页23Forward Markets and ContractsLOS 68.c. differentiate between a dealer and

31、 an end user of a forward contract.远期的最终用户、交易商The end user of a forward contract is typically a corporation, government unit, or nonprofit institution that has existing risk they wish to avoid by locking in the future price of an asset. 举例：美国公司60天后支付100万欧元，锁定成本Dealers are often banks, but can also b

32、e nonbank financial institutions. (e.g.Merrill Lynch) 头寸大致相等，以价差谋利第23页/共33页24Forward Markets and ContractsLOS 68.d. describe the characteristics of equity for ward contracts and forward contracts on zero-coupon and coupon bonds.基于股票、短期/长期债券的远期合约的特征E q u i t y f o r w a r d c o n t r a c t s w h e r

33、e t h e underlying asset is a single stock, a portfolio of stocks, or a stock index, work in much the same manner as other forward contracts. An investor who wishes to sell 10,000 shares of IBM stock 90 days from now and wishes to avoid the uncertainty about the stock price on that date, could do so

34、 by taking a shor t position in a forward contract covering 10,000 IBM shares.第24页/共33页25Forward Markets and ContractsExample: Equity index forward contractsA portfolio manager desires to generate $10 million 100 days from now from a p o r t f o l i o t h a t i s q u i t e s i m i l a r i n composit

35、ion to the S&P 100 index. She requests a quote on a short position in a 100-day forward contract based on the index with a notional amount of $10 million and gets a quote of 525.2. If the index level at the settlement date is 535.7, calculate the amount the manager will pay or receive to settle

36、the contract.第25页/共33页26Forward Markets and ContractsAs the short party, the portfolio manager must pay 2% of the $10 million notional amount, $200,000, to the long.Alternatively, if the index were 1% below the contract level, the portfolio manager would receive a payment from the long of $100,000,

37、which would approximately offset any decrease in the portfolio value.在股票指数远期中暂时不考虑股利第26页/共33页27Forward Markets and ContractsForward contracts on short-term, zero-coupon bonds与与股票类相似但有到期日股票类相似但有到期日(T-bills in the United States) and coupon interest-paying bonds are quite similar to those on equities.

38、However, while equities do not have a maturity date, bonds do, and the forward contract must settle before the bond matures.As we noted earlier, T-bill prices are often quoted as a percentage discount from face value. The percentage discount for T-bills is annualized so that a 90-day T-bill quoted a

39、t a 4% discount will be priced at a (90/360) x 4% = 1% discount from face value. This is equivalent to a price quote of (1 - 0.01) x $1,000 = $990 per $1,000 of face value.第27页/共33页28Forward Markets and ContractsExample: Bond forwardsA forward contract covering a $ 10 million face value of T-bills t

40、hat will have 100 days to maturity at contract settlement is priced at 1.96 on a discount yield basis. Compute the dollar amount the long must pay at settlement for the T-bills.Answer The 1.96% annualized discount must be unannualized based on the 100 days to maturity. 0.0196 x (100/360) = 0.005444

41、is the actual discount. The dollar settlement price is (1 - 0.005444) x $10 million = $9,945,560.注意：多头会因利率上升而遭受损失。Please note that when market interest rates increase, discounts increase, and T-bill prices fall. A long, who is obligated to purchase the bonds, will have losses on the forward contract

42、 when interest rates rise, and gains on the contract when interest rates fall. The outcomes for the short will be opposite.第28页/共33页29Forward Markets and ContractsLOS 68.e. describe the characteristics of the Eurodollar time deposit m a r ke t , a n d d e f i n e L I B O R a n d Euribor.Eurodollar d

43、eposit is the term for deposits in large banks outside the United States denominated in U.S. dollars. The lending rate on dollar-denominated loans between banks is called the London Interbank Offered Rate (LIBOR). It is quoted as an annualized rate based on a 360-day pear. In contrast to T-bill disc

44、ount yields, LIBOR is an add-on rate, like a y i e l d q u o t e o n a s h o r t- t e r m certificate of deposit. LIBOR is used as a reference rate for floating rate U.S. dollar-denominated loans worldwide.第29页/共33页30Forward Markets and ContractsExample: LIBOR-based loansCompute the amount that must be repaid on a $1 million loan for 30 days if 30