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。
cfa
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。
CFACFA衍生品練習(xí)題CFA
"Derivative"Exercise:The binomial model

Questions 1:

Conceptually,a forward rate agreement most likely allows a company that wants to invest money in the future to lock in a rate by making a:
A、variable payment and receiving a fixed payment.
B、fixed payment and receiving a different fixed payment.
C、fixed payment and receiving a variable payment.
【Answer to question 1】A
【analysis】
A is correct.Forward rate agreements are forward contracts that conceptually allow lenders to lock in a fixed payment on a future investment by receiving a known payment and making an unknown payment that offsets the unknown future interest payment.
B is incorrect.This does not offset the unknown interest payment in the future and thus does not lock in a rate.
C is incorrect.Making a fixed payment and receiving a variable payment looks in a borrowing rate in a forward rate agreement.
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Questions 2:

In the binomial model,the difference between the up and down factors bestrepresents the:
A、volatility of the underlying.
B、moneyness of an option.
C、pseudo probability.
【Answer to question 2】A
【analysis】
A is correct.The volatility of the underlying is captured in the binomial model by the difference between the up and down factors.
B is incorrect.The moneyness of an option is given by the difference between price of the underlying and exercise price.
C is incorrect.The difference between the up and down factors is only one part(the denominator)of the formula for the pseudo probabilities.
以上就是【CFA衍生品練習(xí)題"Derivative"Exercise:The binomial model】的全部?jī)?nèi)容,如果你想學(xué)習(xí)更多CFA相關(guān)知識(shí),歡迎大家前往高頓教育官網(wǎng)CFA頻道!在這里,你可以學(xué)習(xí)更多精品課程,練習(xí)更多重點(diǎn)試題,了解更多最新考試動(dòng)態(tài)。



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