复习冲刺-衍生.pdfVIP

Exam Express - CFA L1 Derivatives 1 CONTENTS SESSION 1 Derivative Markets and Instruments 2 Basics of Derivative Pricing and Valuation 2 Mind-Map 3 Definition of Derivatives ØTypes of derivative markets ü Derivative is an legal contract to transform the performance of underlying asset. Exchange-traded Over-the-counter Market Market Standardized Customized No default risk (backed by Default risk/counterparty risk clearinghouse) Regulated Unregulated Transparent Less transparent Futures, option Forward, swap, option 4 Definition of Derivatives Ø Forward commitment: bilateral contract ü Forward: customized contract, OTC market. ü Futures: standardized contract, exchanged-traded market, and daily settlement (mark-to-market). • Margin: Initial margin, maintenance margin. • Margin call: bring back to initial margin level. ü Swap: a series of forward contracts, OTC market. • Interest rate swap 5 Definition of Derivatives Ø Contingent claims: unilateral contract ü Only the right, not the obligation ü Option: the long pays the premium for the right to buy or sell the underlying. • long a call: right to buy; short a call: obligation to sell. • long a put: right to sell; short a put: obligation to buy.