隨著國內(nèi)逐漸開放衍生品市場,越來越需要有衍生品專業(yè)知識的人才。這部分的衍生品主要介紹衍生品的一些基本知識,包括衍生品的種類及市場區(qū)分,4大類衍生品的基本定價原理,以及簡單期權(quán)策略。
CFA一級考試的Derivatives(金融衍生品)具體的內(nèi)容知識點包含1個study session,3個reading。
其中,Reading 57對衍生品市場進(jìn)行了區(qū)別,并對4大類衍生品進(jìn)行了基本定義;
Reading 58講衍生品的定價和估值的基本原理,并對4大類衍生品的基本定價做了介紹;
Reading 59對期權(quán)做了進(jìn)一步分析,介紹兩種期權(quán)及兩種期權(quán)策略的應(yīng)用。
從考試的重要度來看,Reading 58、Reading 59是最重要的,Reading 57其次,其他Reading重要性不大。
以下是高頓教育馮老師對重要的Reading的考點進(jìn)行了總結(jié),以下內(nèi)容建議考生們?nèi)空莆铡?/div>
★ Reading 57:Derivative Markets and Instruments(金融衍生品市場及工具)
金融衍生品的定義;
金融衍生品市場的分類及區(qū)別;
金融衍生品的分類;
金融衍生品的優(yōu)缺點。
★ Reading 58:Basics of Derivative Pricing and Valuation(金融衍生品基本定價和估值原理)
金融衍生品定價的基本原理;
區(qū)別遠(yuǎn)期和期貨合約的定價以及估值;
合約期初、期中、期末如何計算遠(yuǎn)期的價值,以及理解影響遠(yuǎn)期價值的因素;
解釋期貨和遠(yuǎn)期定價的異同;
解釋互換和遠(yuǎn)期定價的不同;
歐式期權(quán)價值的計算以及影響因素;
歐式期權(quán)的平價公式、遠(yuǎn)期平價公式以及二叉樹模型的理解;
美式期權(quán)與歐式期權(quán)定價的差異。
★ Reading 59:Risk Management Applications of Option Strategies(風(fēng)險管理應(yīng)用:期權(quán)策略)
看漲期權(quán)和看跌期權(quán)的到期價值、利潤、小盈虧、盈虧平衡點的計算;
Covered call和protective put的到期價值、利潤、小盈虧、盈虧平衡點的計算。
CFA衍生品練習(xí)題
"Derivative"exercise:
Exercise of a European put option
Questions 1:
A swap that involves the exchange of a fixed payment for a floating payment is most likely equivalent to a series of:
A、off-market forward contracts.
B、forward contracts that all have an initial positive value.
C、forward contracts that all have an initial value equal to the fixed payment
【Answer to question 1】A
【analysis】
A is correct.Because the cost of carrying an asset over different time periods will vary,the values of the implicit forward contracts embedded in the swap will not be equal:some may be positive,and some may be negative.Off-market forward contracts satisfy this condition because they can be set at any value.
B is incorrect.Because the initial market value of the swap is zero by definition,it cannot be replicated by a series of forward contracts with an initial positive value.
C is incorrect.Because the cost of carrying an asset over different time periods will vary,the prices of the implicit forward contracts embedded in the swap cannot all be equal.
Questions 2:
Exercise of a European put option is most likely justified if:
A、the option is out of the money.
B、the exercise price exceeds the value of the underlying.
C、the exercise value is negative.
【Answer to question 2】B
【analysis】
B is correct.If the exercise price exceeds the value of the underlying at expiration,the option has positive exercise value and may be exercised.
A is incorrect.An out-of-the-money option should not be exercised and will expire worthless.
C is incorrect.An option that generates a negative cash flow when exercised should not be exercised.
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