一、掌握Covered call與Protective put:
Covered call (S - c)(備兌買入):
An option strategy involving the holding of an asset and sale of a call on the asset.
備兌買入:
是指擁有這項資產(chǎn)且賣出這項資產(chǎn)的看漲期權(quán)。
備兌買入舉例:

以每股39美金購買了股票,同時賣出執(zhí)行價格為40美金看漲期權(quán),看漲期權(quán)為3美金,先畫出股票的多頭頭寸以及看漲期權(quán)的空頭頭寸,然后根據(jù)兩個頭寸合成組合的備兌買入的折線,可以算出,當(dāng)股票價格跌到0時,有*5損失為3-39=-36美金,當(dāng)股票價格為40美金或以上時,期權(quán)會被執(zhí)行,則*5盈利為40-1+3=4美金,當(dāng)股票價格為36美金時,盈虧平衡。
Protective put (S + p)(保護(hù)性看跌期權(quán)/備兌看跌期權(quán)):
An option strategy in which a long position in an asset is combined with a long position in a put.
備兌看跌期權(quán):
是一種防止未實現(xiàn)收益賬戶的中產(chǎn)生損失的風(fēng)險規(guī)避策略,保護(hù)性看跌期權(quán)是同時擁有股票和這個股票相對應(yīng)的看跌期權(quán)組成的,當(dāng)投資者擁有正在上漲階段的股票時,仍要規(guī)避股票可能下跌這種不確定性帶來的風(fēng)險時,一般會選擇備兌看跌期權(quán)。
盈利和損失:
備兌看跌期權(quán)的*5化盈利在理論上是無限的,而*5的損失是股票標(biāo)價格減去執(zhí)行價格加上購買期權(quán)的價格。備兌看跌策略的理想的狀況是股票價格上升,投資者可以從上升的股價中獲利,盈余平衡點(diǎn)是當(dāng)前的股票價格等于股票標(biāo)的價格加上看跌期權(quán)的溢價。
備兌看跌期權(quán)舉例:

當(dāng)股價41美金時購買了股票,同時花了3美金購買了執(zhí)行價格為40美金的看跌期權(quán)。由股票的多頭頭寸和保護(hù)性看跌期權(quán)的多頭頭寸合成組合的頭寸,當(dāng)股票價格為40美金及以下時,會有*5的損失為虧損40-41-3=-4美金,當(dāng)股票價格為44美金時,會達(dá)到盈虧平衡點(diǎn),當(dāng)股票價格大于44元美金時會有收益,且由于股票上升空間理論上是無限的,所以這個組合頭寸理論上*5收益也是無限的,不論是哪種組合策略,盈利和損失等這些計算式不好記,關(guān)鍵要學(xué)會畫圖分析。
例:An investor has purchased a share of stock for $190. A call option on this stock, expiring in seven months and with an exercise price of $200, is priced at $11.40. If the investor enters into a covered call now, the profit on this strategy if the stock price at expiration is $215 is closest to:
A. –$3.60.
B. $21.40.
C. $28.60.
解析:B is correct,The profit on a covered call is calculated as follows:        
π = ST – S0 – max( 0, ST – X) + C0
Ð = $215 – $190 – max(0, $215 – $200) + $11.40 = $21.40.
備抵買入是持有股票且賣出看漲期權(quán),因為看漲期權(quán)的行權(quán)價是200,所以只要股票價格高于200的部分投資者都拿不到,到期日的價格為215高于執(zhí)行價格,所以投資者會以行權(quán)價200出售,在股票的頭寸上獲利200-190=10,在空頭看漲期權(quán)上的獲利為期權(quán)價格11.4,所以投資者的總獲利為11.4+10=21.4
二、 forward commitment 和 contingent claim的差別是什么?
衍生品有兩個分類:遠(yuǎn)期承諾和或有求償權(quán),兩者的區(qū)別是,遠(yuǎn)期承諾是一種義務(wù),到期時需要以約定的價格來交割,而或有求償權(quán)是一種權(quán)利而不是義務(wù),根據(jù)到期日的價格交易者可以選擇是否交割。
Forward commitment(遠(yuǎn)期承諾):
Class of derivatives that provides the ability to lock in a price to transact in the future at a previously agreed-upon price.
遠(yuǎn)期承諾:
合同雙方包含多頭和空頭,雙方約定好了未來某一時點(diǎn)的以特定的價格進(jìn)行交易的合約,這個合約到期時會執(zhí)行,執(zhí)行時按照約定的固定價格執(zhí)行,這個固定價格就是遠(yuǎn)期價格。
遠(yuǎn)期承諾中包括三種:遠(yuǎn)期、期貨、互換。
遠(yuǎn)期合約:場外交易合約,合約雙方約定在未來某一時刻按約定的價格買賣約定數(shù)量的金融資產(chǎn)。
期貨:是以某種大眾產(chǎn)品如棉花、大豆、石油等及金融資產(chǎn)如股票、債券等為標(biāo)的標(biāo)準(zhǔn)化可交易合約;
互換:場外交易合約,當(dāng)事人按照共同商定的條件,在約定的時間內(nèi)定期交換現(xiàn)金流的金融交易,可分為貨幣互換、利率互換、股權(quán)互換、信用互換等。
Contingent claim(或有求償權(quán)):
Derivatives in which the payoffs occur if a specific event occurs; generally referred to as options.
或有求償權(quán):
是一種可以以特定價格購買或出售標(biāo)的資產(chǎn)的權(quán)利,支付依賴于標(biāo)的資產(chǎn)的情況。是一種權(quán)利而不是義務(wù),如果你背負(fù)了一項債務(wù)或是簽訂了類似的合約,你的出借人或是債權(quán)人對你的資產(chǎn)可能有的求償權(quán),這個求償權(quán)依賴于未來的某些事件是否發(fā)生,一些特定事件的發(fā)生會觸發(fā)求償權(quán),比如說債務(wù)人的破產(chǎn)。
期權(quán)是最主要的或有求償權(quán)。
例:In contrast to contingent claims, forward commitments provide the:
A. right to buy or sell the underlying asset in the future.
B. obligation to buy or sell the underlying asset in the future.
C. promise to provide credit protection in the event of default. to contingent claims, forward commitments provide the:
解析:B is correct. Forward commitments represent an obligation to buy or sell the underlying asset at an agreed upon price at a future date.
A is incorrect because the right to buy or sell the underlying asset is a characteristic of contingent claims, not forward commitments.
C is incorrect because a credit default swap provides a promise to provide credit protection to the credit protection buyer in the event of a credit event such as a default or credit downgrade and is classified as a contingent claim.
根據(jù)定義B正確,遠(yuǎn)期承諾代表了買方及賣方在到期日有義務(wù)進(jìn)行交割的合約;A說明的是或有求償權(quán)的特質(zhì),C中會提供信用保護(hù)的是信用違約互換。
三、Exchange-traded markets 與Over-the-counter (OTC) markets的區(qū)別
Exchange-traded markets (場內(nèi)交易):
An exchange, is a highly organized market where (especially) tradable securities, commodities, foreign exchange, futures, and options contracts are sold and bought.
交易所交易市場:
合同是由交易所定好的標(biāo)準(zhǔn)化合同,每個投資者的交易對手都是清算所,所以沒有違約風(fēng)險,在交易所交易有嚴(yán)格的監(jiān)管,交易很透明,交易所會要求投資者在交易時做相關(guān)的披露,交易價格和交易量都是實時的,交易所交易包括期貨和一部分期權(quán)。
缺點(diǎn)是,透明度高意味著交易是相對暴露的,所有交易都可以被監(jiān)管者所了解,
標(biāo)準(zhǔn)化的合約意味著喪失了交易的靈活性,參與者只能參與交易所允許的合約。
Over-the-counter (OTC) markets(場外交易):
A decentralized market where buy and sell orders initiated from various locations are
matched through a communications network.
場外交易:
是交易雙方自行談判的個性化合同,因為不在交易所交易,有違約風(fēng)險和對手方風(fēng)險,沒有監(jiān)管,透明度較差。
場外交易包括:遠(yuǎn)期、互換、部分期權(quán)。
對于場外交易,常讓人誤以為其流動性會比交易所的交易流動性差,其實不完全是,很多場外交易工具是很容易簽訂的同時,如果想要抵消只要做一個相反的交易就可以,比如說,公司A從交易商B那里購買了衍生品,在到期日之前,如果公司A想要終止這個頭寸,只要再把相同期限的衍生品賣給交易商B即可,當(dāng)然,公司A也可以選擇賣給其他的交易商,也同樣可以終止頭寸;而在交易所交易的衍生品,有些只有很小的交易量因此流動性會較低。
例:Which of the following statements most accurately describes exchange-traded derivatives relative to over-the-counter derivatives? Exchange-traded derivatives are more likely to have:
A. Greater credit risk.
B. Standardized contract terms.
C. Greater risk management uses.
解析:B is correct. Standardization of contract terms is a characteristic of exchange-traded derivatives. A is incorrect because credit risk is well-controlled in exchange markets. C is incorrect because the risk management uses are not limited by being traded over the counter.
考察場內(nèi)與場外交易市場的區(qū)別,A和C都是屬于場外市場的特點(diǎn)。
四、Internal credit enhancement 與External credit enhancement 的差異
Credit  enhancements:
are provisions that may be used to reduce the credit risk of the bond issue.
信用增強(qiáng)是用于可以減少信用風(fēng)險的多種條款,因此,可以增加發(fā)行人的信用質(zhì)量和降低債券的收益率,信用增強(qiáng)常用于資產(chǎn)抵押證券中。信用增強(qiáng)分為兩類,內(nèi)部和外部。
Internal credit enhancement (內(nèi)部信用加強(qiáng)):
Subordination (次級化/分層) : waterfall structure, tranches.
Overcollateralization (超額抵押): post more collateral than is needed to obtain or secure financing.
Excess spread (超額利差): more cash flow received from the assets used to secure the issue than the interest paid to investors.
內(nèi)部信用增強(qiáng):
內(nèi)部信用增強(qiáng)依賴于債券發(fā)行的結(jié)構(gòu)特點(diǎn)。包括如下幾種:
次級化/分層:對信用風(fēng)險進(jìn)行分層,是最常見的內(nèi)部信用增強(qiáng)技術(shù)。資產(chǎn)產(chǎn)生的現(xiàn)金流根據(jù)不同的優(yōu)先等級順序而進(jìn)行償還,先償付*6等級的然后對次等級的依次償付。
超額抵押:是從本金的角度考慮的,抵押品的價值遠(yuǎn)遠(yuǎn)大于發(fā)行債務(wù)的價值,比如發(fā)行了100元的債券但是抵押品價值110萬,超額抵押了10萬。
超額利差:抵押品本身是產(chǎn)生現(xiàn)金流的,每期產(chǎn)生的現(xiàn)金流大于利息的支出,收入大于支出,所以有足夠的資本償還。
External credit enhancement (外部信用加強(qiáng)):
Surety bond (履約保證): reimburse investors for any losses incurred if the issuer defaults, by an insurance company.
Bank guarantee(銀行擔(dān)保): same as surety bond but by a bank.
Letter of credit(信用證): promise to lend money to issuing entity for any cash flow shortfalls.
外部信用加強(qiáng):
會有第三方的財務(wù)擔(dān)保,或者說有擔(dān)保人。常見的外部信用加強(qiáng)包括履約擔(dān)保,銀行擔(dān)保和信用證:
履約保證:有背書,相當(dāng)于給發(fā)行的債券購買了保險,履約保證和銀行擔(dān)保有些類似,都是發(fā)行人違約時會賠償給債券持有者。兩者的區(qū)別是銀行擔(dān)保是銀行發(fā)行的,而履約擔(dān)保是保險公司發(fā)行的。
銀行擔(dān)保:發(fā)行者違約,投資者可以找銀行還款。
信用證:發(fā)行者違約,銀行先把款借給發(fā)行者還款?,F(xiàn)在信用證用的較少,因為提供信用證的信用機(jī)構(gòu)的信用等級下降會造成金融危機(jī)。
例:Which of the following is least likely to be a form of internal credit enhancement associated with a corporate bond issue?
A.Debt overcollateralization
B. Letter of credit
C. Debt subordination
解析:B is correct,A letter of credit is a form of external credit enhancement in which a financial institution provides the issuer with a credit line to be used for any cash flow shortfalls related to its debt issue.
信用證是屬于外部信用加強(qiáng)。
五、Discount rates和Add-on rates 的計算
Discount rates or add-on rates are used for quoted money market rates.
貨幣市場中有兩大收益率的衡量:貼現(xiàn)率和附加利率。
Discount rates(折現(xiàn)率) :
In general, the interest rate used to calculate a present value. In the money market,
however, discount rate is a specific type of quoted rate.
折現(xiàn)率的計算:

 
折現(xiàn)率常用在商業(yè)票據(jù)和短期國庫券以及銀行承兌中,因為貨幣市場的折現(xiàn)率是利率除以到期贖回時的面值,而不是投資者的實際投入,所以低估了投資者的收益率。
折現(xiàn)率算現(xiàn)值的公式為:

Add-on rates(附加利率) :
Bank certificates of deposit, repos, and indices such as Libor and Euribor are quoted on an add-on rate basis (bond equivalent yield basis).
附加利率的計算:

附加利率一般用在存款證和回購協(xié)議中。
附加利率算現(xiàn)值的公式為:

舉個例子說明兩者的算法差異,一個期限90天的債券,面值是1000元,目前價格時950元,它的貼現(xiàn)率的算法是,附加利率的算法為,所以兩者的差異為貼現(xiàn)的分母是面值,而附加利率的分母為價格。
16. Which of the following is most likely regarding the bond equivalent
yield?
A. It is stated on a 360-day year and on an add-on yield basis.
B. It is stated on a 365-day year and on an add-on yield basis.
C. It is stated on a 365-day year and on a discount rate basis.
Answer: B is correct,The bond equivalent yield is a money market yield stated on a 365-day year on an add-on rate basis.
債券等價收益率的計算公式: