隨著國內(nèi)逐漸開放衍生品市場(chǎng),越來越需要有衍生品專業(yè)知識(shí)的人才。這部分的衍生品主要介紹衍生品的一些基本知識(shí),包括衍生品的種類及市場(chǎng)區(qū)分,4大類衍生品的基本定價(jià)原理,以及簡(jiǎn)單期權(quán)策略。
CFA一級(jí)考試的Derivatives(金融衍生品)具體的內(nèi)容知識(shí)點(diǎn)包含1個(gè)study session,3個(gè)reading。
其中,Reading 57對(duì)衍生品市場(chǎng)進(jìn)行了區(qū)別,并對(duì)4大類衍生品進(jìn)行了基本定義;
Reading 58講衍生品的定價(jià)和估值的基本原理,并對(duì)4大類衍生品的基本定價(jià)做了介紹;
Reading 59對(duì)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(duì)重要的Reading的考點(diǎn)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(chǎng)及工具)
金融衍生品的定義;
金融衍生品市場(chǎng)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(diǎn)。
★ Reading 58:Basics of Derivative Pricing and Valuation(金融衍生品基本定價(jià)和估值原理)
金融衍生品定價(jià)的基本原理;
區(qū)別遠(yuǎn)期和期貨合約的定價(jià)以及估值;
合約期初、期中、期末如何計(jì)算遠(yuǎn)期的價(jià)值,以及理解影響遠(yuǎn)期價(jià)值的因素;
解釋期貨和遠(yuǎn)期定價(jià)的異同;
解釋互換和遠(yuǎn)期定價(jià)的不同;
歐式期權(quán)價(jià)值的計(jì)算以及影響因素;
歐式期權(quán)的平價(jià)公式、遠(yuǎn)期平價(jià)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(jià)的差異。
★ Reading 59:Risk Management Applications of Option Strategies(風(fēng)險(xiǎn)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(jià)值、利潤(rùn)、小盈虧、盈虧平衡點(diǎn)的計(jì)算;
Covered call和protective put的到期價(jià)值、利潤(rùn)、小盈虧、盈虧平衡點(diǎn)的計(jì)算。
CFA衍生品練習(xí)題
"Derivative"Exercise:Option derivatives
Questions 1:
Which of the following is least likely to be an example of a derivative?
A、An exchange-traded fund
B、A contract to sell Alphabet Inc.’s shares at a fixed price
C、A contract to buy Australian dollars at a predetermined exchange rate
【Answer to question 1】A
【analysis】
A is correct.Although an exchange-traded fund derives its value from the underlying assets it holds,it does not transform the performance of those assets and so is not a derivative.
B is incorrect.A contract to sell Alphabet Inc.’s shares transforms the performance of the underlying shares of Alphabet Inc and is an example of an option derivative.
C is incorrect.A contract to buy Australian dollars transforms the performance of the underlying currency and is an example of a currency derivative.
Questions 2:
In efficient financial markets,risk-free arbitrage opportunities:
A、will not exist.
B、may persist in the long run.
C、may exist temporarily.
【Answer to question 2】C
【analysis】
C is correct.In efficient financial markets,risk-free arbitrage opportunities may exist temporarily,but their continuous exploitation will eliminate these arbitrage opportunities in the long run.
A is incorrect.Financial markets being efficient does not mean that risk-free arbitrage opportunities cannot exist.
B is incorrect.In efficient financial markets,any risk-free arbitrage opportunities will exist only temporarily because their continuous exploitation will result in these arbitrage opportunities being eliminated in the long run.