CFA三级基础培训项目：衍生工具和货币管理_打印版.docx

.CFA面覆匚!笺亩答.MkeyChowMikeyChowAia也睡R婿揉，笺婧蟠.H果副外醵副G外汁!k勘H升髓炳汁汁.JS笠黍倏Jfi70谶三-数源摞胡L袁帽。在A殷期3翔！A骰翔白翔！6童鼓知晋&)$!)50笺亩DZ% 口外口爆成殷痛 1?能弱解I口口f嗝Ri三%i!EYa¾jd2flW居口j居TopicinCFALevelIIIStudy Session 3Study Session 4Study Session 5Study Session 6Study Session 7-8Study Session 9-10Study Session 11Study Session 12-13Study Session 14Study Session 15Study Session 16SessionContentStudySession1-2ETHICS&PROFESSIONALSTANDARDS(1)&(2)BEHAVIORALFINANCECAPITALMARKETEXPECTA11ONSASSETALLOCATIONANDRELATEDDECISIONSINPORTFOLIOMANAGEMENTDERIVATIVESANDCURRENCYMANAGEMENTFIXED-INCOMEPORTFOLIOMANAGEMENT(l)8t(2)EQUITYPORTFOLIOMANAGEMENT(l)8i(2)ALTERNATIVEINVESTMENTSFORPORTFOLIOMANAGEMENTPRIVATEWEALTHMANAGEMENT(1)&(2)PORTFOLIOMANAGEMENTFORINSTITUTIONALINVESTORSTRADING,PERFORMANCEEVALA11ONfANDMANAGERSELECTIONCASESINPORTFOLIOMANAGEMENTANDRISKMANAGEMENT专收国新muFrameworkRiskManagementApplicationsofDerivativesSS6:DerivativesandCurrencyManagementR15:OptionStrategiesR16:Swaps,Forwards,andFuturesStrategiesR17：CurrencyManagement：AnIntroduction巨业创新，虐值OptionStrategiesFramework行业固新，is«1.ReviewsofOptionFundamentals2.SyntheticAsset3.OptionStrategies4.OPtionGreeks5.VolatilitySmile行业&1斯tinReviewsofOptionFundamentalsMoneynessMoneynessInthemoney:Immediateexercisewouldgenerateapositivepayoff.Atthemoney:Immediateexercisewouldgeneratenopayoff.Outofthemoney:Immediateexercisewouldgenerateanegativepayoff.Thefollowingtablesummarizesthemoneynessofoptionsbasedonthestock'scurrentprice,S,andtheoption'sexercisestrikeprice,X.MoneynessCalloptionPutOptionIn-the-moneyS-Xs-XAt-the-moneyS=XS=XOut-of-the-moneySXS*X与业$新muReviewsofOptionFundamentalsIntrinsicValueandTimeValueIntrinsicValuetheamountofimmediateexercise.Intrinsicvalueofcalloption:C=maxO,S-XIntrinsicvalueofputoption:P=ma×O,×-STimeValueThedifferencebetweenthepriceofanoption(calleditspremium)anditsintrinsicvalueisduetoitstimevalueGenerally,thelesstimetoexpire,thelesstimevalueOptionvalue=intrinsicvalue+timevalueBeforeexpiration:optionvalue>intrinsicvalue8-224Atexpiration:optionvalue=intrinsicvalueM业色断nnReviewsofOptionFundamentalsFactorsaffectthevalueofanoptionSensitivityFactorCallsPutsUnderlyingpricePositivelyrelatedNegativelyrelatedVolatilityPositivelyrelatedPositivelyrelatedRisk-freeratePositivelyrelatedNegativelyrelatedTimetoexpirationPositivelyrelatedPositivelyrelated*StrikepriceNegativelyrehtdPositivelyrelatedPaymentsontheunderlyingNegativelyrelatedPositivelyrelatedCarryingcostPositivelyrelatedNegativelyrelatedrThereisanexceptiontothegeneralrulethatEuropeanputoptionthetasarenegative.Theputvaluemayincreasesastheoptionapproachesmaturityiftheoptionisdeepin-the-moneyandclosetomaturity.ReviewsofOptionFundamentalsTheBSMModeltoValueanoptionG=SXN(4)-Xx/XN(d)2HistoricalvolatilityandimpliedvolatilityHistoricalvolatilityisusinghistoricaldatatocalculatethevarianceandstandarddeviationofthecontinuouslycompoundedreturns.However,themarketpriceandtheBSMpricearenotalwaysthesame.IfwehaveS,0×,R(andTzwecansettheBSMpriceequaltothemarketpriceandthenworkbackwardstogetthevolatility.Thisvolatilityiscalledtheimpliedvolatility10-224专业固葡tinReviewsofOptionFundamentalsPayoffforoptions1.ongcall:cfMax(0,STX)Shortcall:cf-Max(0rSTX)1.ongput:p十MaX(0,X-SShortput:Pf-Max(0,X-S>Profitsforoptions1.ongcall:cfMax(0,S)-coShortcall:cf-Max(0rS)+c1.ongput:p吊MaX(0,X-S)r-pShortput:Pf-Max(0,X-S肘po Synthetic AssetPut call parityPut call parity: C +(】；=S + C p +Positions replicating(7Condition B:p = c + X/ +R )-S= = s + p(1+月加 尸）M业 色断 n11SyntheticAssetSyntheticlong/shortforward1.ongcall+shortput=longforward1.ongput+shortcall=shortforwardSyntheticcall/put1.ongcall=longasset+longput1.ongput=shortasset+longcallExample1.Whichofthefollowingismostsimilartoalongputposition?A.Buystock,writecallB.Shortstock,buycallC.Shortstock,writecall2.Whichofthefollowingismostsimilartoalongcallposition?A.Buystock,buyputB.Buystock,writeputC.Shortstock,writeputExample圜CorrectAnswerforQl:B.Thelongcall"cutsoff,'theunlimitedlossesfromtheshortstockposition.CorrectAnswerforQ2:A.Thelongputprovidesafloorvaluetotheposition,makingthemaximumlossflatbelowtheexerciseprice.Theprofitandlossdiagramisthesameshapeasalongcall.M业HfjmnCoveredcallstrategyAninvestorcreatescoveredcallpositionbysellingacalloptiononastockthatisownedbytheoptionwriter.YieldenhancementThemostcommonmotivation.BywritinganOTMcalloption.Cashgenerationinanticipationoflimitedupsidemoves.ReducingapositionatafavorablepriceCoveredcallsmightbewritten,whenaninvest