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1、2013年CFA一级培训项目Derivative Investments纪慧诚金程教育高级培训师日期：2013年1月26日地点： 上海 北京 深圳2-120CFA一级课程框架Study Session 1 Ethics & Professional Standards 15Study Session 2-3 Quantitative Methods 12Study Session 4-6 Economic Analysis 10Study Session 7-10 Financial Statement Analysis 20Study Session 11 Corporate Finance
2、 8 Study Session 12 Portfolio Management 5Study Session 13-14 Equity Investments 10Study Session 15-16 Fixed Income Analysis 12Study Session 17 Derivative Investments 5Study Session 18 Alternative Investments 3Total: 1003-120Derivative框架结构Derivative概念(R60)Forward (R61) Futures (R62) Swap (R64)Option
3、 (R63) Risk management (R65)100% Contribution Breeds Professionalism4-120 R60：Derivative markets and instruments1. Derivative的定义2.分类 Exchange-traded & Over-the-counter的区别 Forward commitment & Contingent claim的区别3. Derivatives的作用和对它的批评4.什么是arbitrage？arbitrage的作用Framework100% Contribution Breeds Profe
4、ssionalism5-120 Definition: A derivative is a financial instrument (contract) that offers a return based on the return of some other underlying asset. Buy or Sell Something: Buy or Sell now; Buy or Sell sometime in the future. Example： 3个月后3￥/瓶价格买果汁； 3个月后15￥/股价格买股票； 3个月后4%利息借￥1million； 3个月后6.5CNY/US
5、D换CNY.关键词：合约规避风险Hedge vs. 赚钱Speculate合约收益取决于约定的资产价格变化R.60 Derivative Markets and Instruments6-120 Forward contract:Aforward contract is an private agreement that obligates one party to buy and the other party to sell a specific quantity of an underlying asset, at a set price, at a future date约定未来特定时
6、间以约定价格买卖标的物的合约. If the future price of the underlying assets increase,the buyer has a gain,and the seller has a loss. R.60 Derivative Markets and InstrumentsForward contractFutures contract Swap contract Option contract100% Contribution Breeds Professionalism7-120 A Futures contract is a forward con
7、tract that is standardized and exchange-traded. A forward contract Are regulated Backed by a clearinghouse Require a daily settlement of gains and losses.R.60 Derivative Markets and InstrumentsForward contractFutures contract Swap contract Option contract100% Contribution Breeds Professionalism8-120
8、 A Swap contract is a series of forward contracts . forward contracts Exchange cash flows on period settlement datesR.60 Derivative Markets and InstrumentsForward contract Futures contract Swap contract Option contract100% Contribution Breeds Professionalism9-120 An option contract: The owner has th
9、e right, but not the obligation the conduct a transaction四种四种contract中只有中只有option权利义务不对等要交期权费权利义务不对等要交期权费R.60 Derivative Markets and InstrumentsForward contract Futures contract Swap contract Option contract100% Contribution Breeds Professionalism10-120 Basic characteristics of options1. An option t
10、o buy an asset at a particular price is termed a call option2. An option to sell an asset at a particular price is termed a put optionBuyer of a call Right to buySeller of a call Obligation to sellBuyer of a put Right to sellSeller of a put Obligation to buyR.60 Derivative Markets and InstrumentsFor
11、ward contract Futures contract Swap contract Option contract100% Contribution Breeds Professionalism11-120衍生品分类方法根据合约特点分类：Forward commitment & Contingent claimForward commitment: is an agreement between two parties in which one party, the buyer, agrees to buy from the other party, the seller, an und
12、erlying asset at a future date at a price established at the start forward, futures and swap contractsContingent claim: is derivative in which the payoffs occur if a specific event happens option contractsR.60 Derivative Markets and Instruments12-120衍生品分类方法根据交易场所分类：Exchange-traded & Over-the-counter
13、 tradedExchange-traded：在一个固定的交易所交易。多空双方不直接见面，与清算所交易（AClearinghouseB）OTC traded：没有固定交易场所，多空双方直接交易（AB）两种交易区别：R.60 Derivative Markets and InstrumentsExchange-traded Over-the-counterstandardized liquid customizedbacked by a clearinghouse trade with counterparty(default risk)trade in the a physical excha
14、nge not trade in a central locationregulated unregulated13-120主要术语： Forward commitmentLong：指买标的物Short：指卖标的物 Contingent claimLong：指获得一个权利Short：指卖出一个权利Call：指买入标的物的权利Put：指卖出标的物的权利R.60 Derivative Markets and Instruments100% Contribution Breeds Professionalism14-120衍生品分类方法R.60 Derivative Markets and Inst
15、ruments根据合约特点分类根据合约特点分类Forward commitmentContingent claimforwardfuturesswapoption根据交易场所分类根据交易场所分类Exchange-tradedOver-the-counter tradedforwardfuturesoptionswapoptionBond options100% Contribution Breeds Professionalism15-120Example1. The buyer of a call option has the: A. right to buy the underlying
16、asset in the future under certain conditionsB. obligation to sell the underlying asset in the future under certain conditionsC. right to sell the underlying asset in the future under certain conditions Correct answer: A2. A private agreement between two parties to exchange a series of future cash flows with at least one of the two series of cash flow
