CFA Notes概要1.docx

DerivativesProvide price informationAllow risk to be managed and shiftedReduce transaction costsDerivative prices are the result of potential arbitrage. They do not prevent arbitrage. Derivatives improve liquidity.The present value of an asset (current spot price)So = E(ST)/(1+RF+risk premium)T+PV(benefits of holding)-PV(cost of holding)We assume investors are risk-averse, so they require a positive risk premium (higher return)In Non-arbitrage conditionCreate a portfolio with a long position in the asset and a short position in the derivative based on the underlying asset (create same payoffs)Risky asset + derivative = risk-free assetReplication (duplicate the payoffs)Risky asset – risk-free asset = - derivative positionDerivative position – risk-free asset = - risky assetExchange-traded derivatives (futures and many of options)StandardizedBacked by a clearing houseOver the counter (forward, swaps, some of options, notably bond options)UnregulatedCustomizedDefault riskForward commitment – legally binding promise to perform some action in the future (futures, forwards, swaps)Contingent claim – depends on a particular event (options, credit derivatives)Forward contract:Settle on settlement dateDeliverable forward contractCash-settled forward contract (also known as non-deliverable forwards (NDFs) or contracts for differences)Private contract that do not tradeHas counterparty riskFuture contract:Require a daily cash settlementCan be either deliverable or cash settled contractsHas a value of zero value at the initiation of the contractHas standardized terms (minimum price inflation call tick size, daily price move limit, settlement date and trading time)Open interest –outstanding future contracts at any given timeMargin – money that must be deposited by both the long and the shortInitial margin = one day’s maximum price fluctuation Maintenance margin – minimum amount of marginMark to market (see example B5, p157)Value and price of forward and futures contractsThe valu