CFA二级知识精讲-集训营直播-固收-讲义.docx

Fixed Income Level Reading35:TheArbitrage-FreeValuationFrameworkValuationReading36:ValuationandAnalysis:BondswithEmbeddedOptionsInterestrateriskReading34:TheTermStructureandInterestRateDynamicsRjSkReading37:CreditAnalysisModelsCreditriskReading38:CreditDefaultSwapsArbitrage-freevaluation+ValuationBinomialInterestRateTreeMonteCarloSimulationCallable/putablebonds+Capped/flooredfloating-ratebonds*Convertiblebonds®Reading35ArbitrageThelawofonepriceBondswithembeddedoption®Valuation磅Callable/putablebondsValuationofoption®OASInterestraterisk©Reading36Cappedfloating-ratebondsDefinitionFkx>redfloating-ratebondsCdPPed/flooredHoatingMdtebondsCappedfloating-ratebondsValuation卜/Flredfloating-ratebondsConvertiblebondConversionratioTerms三""""""""1"""il"""(PrkeValueConvertiblebondsConvertiblebondValuationCallableconvertiblebondPuttableconvertiblebondRisk-returncharacteristicsBenchfr>arkRateSpotrateForwardrate©YTMDefinitionSwap spreadI-spreadInterest Rate RiskReading 34Yield Spread * Z-spreadTED spreadSwap rateLibor-OIS spreadAdvantagesTraditionaltermstructuremodels®TermStructureTheoriesModerntermstructuremodels®YieldcurvefactorYieldCurveRiskManagingyieldcurverisk®YieldcurvevolatilityMeasuresofcreditrisk©Creditmodels©Basicconcepts©CDS二（PriCingApplication®Definition1.ongCDSShortCDSNotionala11x>untFeaturesCDSspreadCDScouponrateUpfrontpaymentBaskconceptsBankruptcyCrediteventsFailuretopayRestructuringSettlementPhysical SettJementCashsettlementTysSingle name CDS !*Reading 38CDSIndex CDS Upfront premiumPricing, CDS spread ®AdjustmentofcreditexposureNakedCDSLong/short tradeManagingcreditexposure-ApplicationCurvetrade9BasistradeValuationdisparityArbitragetrade!Case1ThefollowinginformationrelatestoQuestions1-6CaidenJackson,aprivateentrepreneur,ispreparingforhispost-retirementinvestmentplan.HeplanstoobtainmoreinvestmentknowledgebytakingtheCFAexamandhealsohiresaseniorfinancialconsultantWesleySongtohelphim.JacksontellsSongthathehaspassedtheCFAlevelItwoyearsagoandwantstofinishtheuncompletedlevelsafterretirement.DuringstudyinglevelI,hefoundanunfamiliarconcept"risk-neutrality”whichwasonlyinvolvedinderivativespartandheignoredtheconceptatthattime.Butnowhefindsthattheconceptisalsousedinthepartofthetraditionaltermstructuretheories.JacksonasksSongthatifthereisanyinvestmenttheorydoesnotinvolvethisconceptsincehethinksitisnotpracticallysignificant.SonganswersJackson,squestionandexplainshisopinionsabouttherisk-neutralconcept.Throughhard-workingandwithSong,shelp,JacksonfinishedalllevelsofCFAexamthreeyearslaterandplanstoinvestinthefixedincomefieldbyhimselffirst.HecollectsthecurrentmarketinformationshowninExhibit1,Year1Year2Year3Year4Parrate(%)2.53.54.55.5Case1Accordingtohisanalysisandprediction,healsosummarizesabinomialtreeofinterestrateinExhibit2.Year 1Year 2Year 3Year 42.5%2.9%3.6%4.6%2.7%3.3%4.2%3.0%3.8%3.4%Somedayslater,themarketpriceofthe3-yearannuallypaymentbondwiththecouponrateof4.5%revertstothepricethatJacksoncalculated.Thisresultstrengthenshisconfidenceintheinvestmentfield.Fivedayslater,hepurchasesanannuallypaymentcallablebondat$99.2.Theinformationforthebondaregivenbelow.iCase1TenorCouponpaymentProvisionBondA3year$4peryearCallableat$102inoneyearandtwoyearsfromtodayBecauseofthepreviouslysuccessfuljudgments,Jacksonwantstoexpandhisavailableinvestmentsetoffixed-incomeproducts.Recently,hehasintenseinterestsincreditdefaultswaps(CDS).JacksonnoticesHiTechcompanyintheITindustryissufferedfromuncertaintyintheleadershiptransition.JacksonfindsthattheHi-Techcompanybondsyields4%andmaturesinthreeyears.TherelevantCDSontheHi-Techcompanybondhasa1.75%creditspread.JacksonforecaststhatthenewleaderfortheHi-Techcompanyisgoingtoacquireatargetcompanybyissuingadditionaldebt.AftertheanalysisoftheHi-Techcompany,Jacksonlearnscollateralizeddebtobligation(CDO)throughafinancialproseminar.JacksonseeksadvicefromSongaboutCDO.SongrespondsthatCDOcanbecreatedbycollectingapoolofdefault-freebondsandundertakingasaprotectionsellerinCDS.1.WhichoneofthefollowingtheoriesismostsuitableforJackson,srequirement?A.UnbiasedexpectationtheoryB.LocalexpectationtheoryC1Preferredhabitattheory答案：c考点：五种传统利率期限结构理论解析：根据题目信息描述，JaCkSon认为风险中性性质没有实际意义，因此想要寻找一个不涉及这个风险中性概念的理论，unbiasedexpectation和IoCalexpectation都涉及了风险中性这个概念，因此答案是除这两个选项之外的任何一个传统利率期限结构理论，答案选C。2.AccordingtotheExhibit1,thespotrateofyear4isclosesttoA.5.65%B.5.61%C.6.68%答案：a考点：使用b。OtStraP方法从Parrate推出SPotrate解析：需要注意的是1年期的Parrate就是1年期SPotrate,也就是第一年的spotrate0.02512年期Parrate是3.5%意味着一个两年期的债券，每年支付3.5%票息价格为IO0。3年期Parrate是4.5%意味着一个三年期的债券，每年支