隨著國內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,以及簡單期權策略。
CFA一級考試的Derivatives(金融衍生品)具體的內容知識點包含1個study session,3個reading。
其中,Reading 57對衍生品市場進行了區(qū)別,并對4大類衍生品進行了基本定義;
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對期權做了進一步分析,介紹兩種期權及兩種期權策略的應用。
 
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的考點進行了總結,以下內容建議考生們全部掌握。
★ 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、期末如何計算遠期的價值,以及理解影響遠期價值的因素;
解釋期貨和遠期定價的異同;
解釋互換和遠期定價的不同;
歐式期權價值的計算以及影響因素;
歐式期權的平價公式、遠期平價公式以及二叉樹模型的理解;
美式期權與歐式期權定價的差異。
★ Reading 59:Risk Management Applications of Option Strategies(風險管理應用:期權策略)
看漲期權和看跌期權的到期價值、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。
CFACFA衍生品練習題CFA
"Derivative"Exercise:Spot exchange rate and forward exchange rate

Questions 1:

There are two forward contracts,contract 1 and contract 2,on the same underlying.The underlying makes no cash payments,does not yield any nonfinancial benefits,and does not incur any storage costs.Contract 1 expires in one year,and contract 2 expires in two years.It is most likely that the price of contract 1:
A、is equal to the price of contract 2.
B、is less than the price of contract 2.
C、exceeds the price of contract 2.
 
【Answer to question 1】B
【analysis】
B is correct.The forward price is the spot price compounded at the risk-free rate over the life of the contract.Because contract 2 has the longer life,compounding will lead to a larger value.
A is incorrect.The price of contract 1 will be less than the price of contract 2.
C is incorrect.The price of contract 1 will be less than the price of contract 2.
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Questions 2:

For a forward contract with a value of zero,a situation where the spot price is above the forward price is best explained by high:
A、interest rates.
B、storage costs.
C、convenience yield.
【Answer to question 2】C
【analysis】
C is correct.If the convenience yield is high,holding the underlying confers large benefits,thus the spot price can exceed the forward price for a forward contract with a value of zero.Based on the formula
Derivative exercise:Spot exchange rate and forward exchange rate
and an initial value Vt(0)of zero,large benefitsγexplain why the spot price can exceed the forward price.
A is incorrect.High interest rates make the forward contract more valuable.Thus the forward rate is above the spot rate.
B is incorrect.High storage costs make the forward contract more valuable.Thus the forward rate is above the spot rate.
以上就是【CFA衍生品練習題"Derivative"Exercise:Spot exchange rate and forward exchange rate】的全部內容,如果你想學習更多CFA相關知識,歡迎大家前往高頓教育官網CFA頻道!在這里,你可以學習更多精品課程,練習更多重點試題,了解更多最新考試動態(tài)。