金融分析师(CFA)一级考试课本总结---Fix-income-derevat

金融分析师(CFA)一级考试课本总结---Fix-income-derevat
金融分析师(CFA)一级考试课本总结---Fix-income-derevat

金融分析师(CFA)一级考试课本总结- Fix income derevat

Indenture是借贷双方的合约。zero-coupon bonds,到期付par value,中间不付息,所以高折价发行,一般用半年期折现accrual bonds,类似zero coupon,以par value发行,有coupon rate,按利息按复利,到期结算step-up notes,coupon rate逐渐上涨。

Fix income derevative and alternative investments

Indenture是借贷双方的合约。

zero-coupon bonds,到期付par value,中间不付息,所以高折价发行,一般用半年期折现

accrual bonds,类似zero coupon,以par value发行,有coupon rate,按利息按复利,到期结算

step-up notes,coupon rate逐渐上涨

deferred-coupon bonds,第一次付息推迟。

浮息债券

new coupon rate=reference rate+-quoted margin,upper limit 叫cap,lower limit叫floor,组合叫collar accrual bonds在付息日之间交易,有clean price和full price,计算交易日为止未付的利息。

Bond中的Option

call feature,发债人可以以高于par value的价格买回,在call protection时期不能买回。

prepayment option,允许发债人提前支付本金给amortizing security

put feature,允许bondholder 提前收回principal

conversion option,允许bondholder转换一定数量的普通股;如允许交换别的公司股票,叫做 exchange option

回购协议,repo,卖证券的公司承诺在特定时间特定价格买回证券。相当于投资者借钱给公司。比margin loan 利率低限制少

债券风险:

1.利率风险

2.call risk

3.prepayment risk

4.yield curve risk

5.reinvestment risk

6.credit risk-default risk, credit spread risk, downgrade risk

7. liquidity risk

8.exchange-rate risk

9.volatility risk

10.inflation risk

11.event risk

Duration:是yield改变1%,price改变的百分比

duration=%change in priceyield change in %

国际债券的种类:

1.foreign bonds,别国在本国发行的bonds

2.eurobonds,别国发行多国交易

3.global bonds,

4.sovereign debt,政府发行

美国政府发行的债券:

1.treasury security:可以认为risk free

2.treasury bill,小于一年,没有利息支付,折价发行,

3.treasury notes和treasury bonds,半年付息,notes一般2,3,5和10年。bonds一般20和30年treasury inflation protected securities(TIPS),每半年根据CPI调整par value

coupon payment=inflation adjusted par value X ( stated coupon2)

treasury strips,用notes和bonds来组合成zero coupon。分为coupon strips和principal strips Mortgage passthrough securities,把大量mortgage打包整合,卖股份(participation certificates)

CMOs, collateralized mortgage obligations,由MPS组成,用不同的tranches(slices)来claim不同的cash flow

municipal bonds(munis),通常免税。两种:tax-backed debt, revenue bonds

Corporate bonds

secured bonds有优先claim权,针对特定的assets

unsecured bonds叫debenture,有优先claim权的叫senior bonds,junior bonds或者subodinated bonds 次级优先。都在优先股和普通股之前claim

Asset backed securities(ABS) ,金融资产抵押的债券,降低借贷成本,special purpose vehicle可以有高的credit rating,即使金融资产个别有问题,也不会影响ABS的评级。credit可以通过LC,bond insurance 加强,进一步降低借贷成本.

其他工具:

Negotiable CDs,二级市场交易的,backed by bank assets。Eurodollor CDs是美元计价在美国外发行的。

bankers acceptances,用于保证支付和货物送达,折现交易,短期,limited liquidity

CDOs,Collateralized debt obligations,一堆debt的组合,可以包括公司债,bank loans,emerging market debts,MBS,或其他CDOs

一级市场发行bonds包括承销和best-efforts public offerings,还有private placements

二级市场有交易所交易,OTC交易(dealer market)

央行货币工具:

1.discount rate

2.open market operations(最常用)

3.band reserve requirements

4.persuading banks to tighten or loosen their credit policies

Pure expectation theory, yield curve 只反映未来的短期利率的期望。

短期利率预期上升->upward sloping curve

预期下降->downward sloping curve

预期上升然后下降->humped yield curve

保持不变->flat yield curve

Liquidity preference theory, yield curve是upward sloping,反映时限越长,premium要求越高

Market segmentation theory,借贷双方对期限有各自偏好,yield curve的形状跟每一个期限段内的需求供给相关

Yield spread

名义Yield spread是2个bond的market yield的差,由credit quality, call features, tax treatment,maturity 影响

absolute yield spread绝对差

relative yield spread相对差

yield ratio

Bond valuation process

1.估计现金流

2.设定discount rate,基于现金流的风险

3.计算现金流的现值

4.timing of principal repayments is not known with certainty

5.coupon payments are not known with certainty

6.the bond is convertiable or exchangeable into another security

Bond price 可以表示成par value的百分比,或者yield。

YTM是半年付的未来现金流折现到目前价格的单一折现率。半年息X2=年息,也叫bond equivalent yield zero coupon bond price = face value(1+YTM2) ^2N,反过来可以算YTM

spot rate & no arbitrage value,可用于套利

bond 收入的3种来源,coupon payments,本金回收资本利得,reinvestment income

bond selling at par, coupon rate= current yield=yield to maturity

at premium,coupon rate>current yield > yield to maturity

at discount, coupong rate < current yield < yield to maturity

算YTC用call price作为FV和合适的terminal period

bootstripping spot rate,知道头几年的spot rate算后一年的

forward rate

Option-Adjusted Spread OAS

Zero-Volatility Spread Z-spread

Z-spread - OAS = option cost in %

Duration & Convexity

衡量interest rate risk的两种方法:

1. full valuationscenario analysis approach

1)start with a current market yield and price

2)estimate changes in yields

3)revalue bonds

4)compare new value to current value

2.durationconvexity approach,较简单

算effective duration= (V_-V+)(2×V0×Δy), ed用于有option的bond,modified duration用于option free的bond,两个都是用于利率变化很小的情况下。变化较大还需引入convexity effect

% change in price = duration effect+convexity effect= [duration×Δy + convexity ×Δy^2]×100

price value of a basis point(PVBP)=duration × 0.0001× value

derivative investment

衍生品是衍生自其他资产的价值或资产回报的价值。

contigent claim 某事件发生时未来的payoff, option contract是contigent claim也是衍生品

forward commitment是未来买进或卖出某个资产的合约。future,s contract是FC,也是衍生品

Forwards和s做的交易,不影响二级市场

future contract在future exchange交易,是标准化的forward contract,regulated,backed by clearinghouse,要求当天结算daily settlement

部分option contract在option exchange交易,部分由dealer发起,不影响二级市场

swap是一系列的forward contract,floating对fixed rate,或者不同货币不同interest rate交换

callput option writer有obligation,buyer有right

deliverable forward contract: long 在未来特定的时间pay a certain amount to the short,short交割asset,双方都不付initiation

cash settlement forward contract:不要求实物交割,只在最后输的一方付钱给赢的一方

early termination是再反向买一份forward contract 冲销原来的一份,锁定收益或损失

currency forward,用于锁定汇率

bond forward通常是zero coupon bond

forward rate agreement (FRA) 是约定在未来时间按约定的利率借或贷。long position是borrow方,当时利率超过约定利率,long赚钱,对于long的盈亏公式如下:

LIBOR是美元为货币的银行间短期利率,Euribor是欧元为货币的短期利率

forward跟future对比

margin:initial, maintenance, variation

marking to market,到maintenance margin时会受到margin call,必须补回到initial margin

多数future是offsetting掉了,也有exchange for physicals如delivery,cash settlement和off-exchange delivery

Call option的long是right to buy, short是obligation to sell

put option的long是right to sell,short是obligation to buy

strike price X是行权价, stock option一般是100股为单位

美式权证到期前任何时间行权,欧式权证到期日行权

in-the-money, at-the-money, out-of-the-money

intrinsic value, time value

asset price上涨,call option value上涨,put下跌;

X下跌,call上涨,put下跌

risk-free rate上涨,call 上涨,put下跌

波动增加,call上涨,put上涨

interest rate option,行权价是interest rate,payoff基于参考rate,比如LIBOR,现金settle;long call 和short put的组合可以跟FRA的payoff一样,但支付是在loan结束后,比如30,60,90day

FRA在fra结束后立刻支付。

commodity option

index option

options on future

option价值的上下限

Put-call parity

fiduciary call :call option + risk-free bond

protective put:stock + long put

C+X(1+Rf)^T=S+P,换位,S=….., C=…..P=……X=……,两边一旦不平衡,出现套利机会,买便宜的一边

Swap的特点:

1.除currency swap外,都不需要付initiation

2.定制

3.不在二级市场交易

4.unregulated

5.default risk很关键

6.机构主导

结束swap的方法

1.互相达成

2.offsetting

3.resale 给第三方

4.exercising a s,option to enter into an offsetting swap currency swap的特点:

1.开始时交换本金,两种货币互换

2. 互相支付完整利息,不netting

3.结束时,按照开始时交换的币值再换回来(不考虑当时汇率)

plain vanilla interest rate swaps, paying fixed and receiving floating

不互换本金,付息时,只交换net payment,0和游戏。

期限叫tenor,付息日叫settlement date,本金叫notional principal,浮动利率是LIBOR flat 或者LIBOR+spread

fixed rate payer方的公式:

Equity Swap,某种资产的收益跟fixed payment 互换。

option payoff的图

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