V1_20110122FRM一级金融市场与产品_程黄维.ppt

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1、金程教育2011年FRMPartI基础班讲义FinancialMarketsandProducts讲师：程黄维FRM日期：2011年01月22~23日地点：■上海□北京□深圳上海金程国际金融专修学院-1381BondFundamentals2Introduction(options,future,andotherderivatives)3Mechanicsoffuturesmarkets4Hedgingstrategiesusingfutures5InterestRates6Determinationofforwardandfutur

2、esprices7Interestratefutures8Swaps9Propertiesofstockoptions10Tradingstrategiesinvolvingoptions11ForeignExchangeRisk12MechanismsforDealingwithSovereignRiskExposureFinancialMarketsandProducts-(30%)-138BondFundamentalsWhatisabond?Issuer/borrowerBondholder/lenderIndenturebo

3、ndmoney-138CharacteristicsofBondIssuerMaturityFaceValue/ParValueCouponRateBondFundamentals-138What’stheFVofaninitial$100after3yearsify=10%?FV=?100012310%FutureValues-1381230PV=FV1/(1+y)FV1PV=FV2/(1+y)2FV2PV=FV3/(1+y)3FV3PresentValues-138EffectiveAnnualRate(EAR)Where:per

4、iodicrate=statedannualrate/mm=thenumberofcompoundingperiodsperyearExample:ComputingEARforarangofcompoundingfrequenciesUsingastatedrateof6%,computeEARforsemiannual,quarterly,monthly,dailycompounding.Notes:whatisEARifcontinuouscompounding?-138ExamplesEXAMPLE1:FRMEXAM2002—

5、QUESTION48AninvestorbuysaTreasurybillmaturingin1monthfor$987.Onthematuritydatetheinvestorcollects$1,000.Calculateeffectiveannualrate(EAR).17.0%15.8%13.0%11.6%EXAMPLE2:FRMEXAM2002—QUESTION51Considerasavingsaccountthatpaysanannualinterestrateof8%.Calculatetheamountoftimei

6、twouldtaketodoubleyourmoney.Roundtothenearestyear.7years8years9years10years-138Price-YieldRelationship-138Price-YieldFunction-138TaylorExpansion-138MacaulayDurationDefinition:theaveragetimetowaitforeachpayment,weightedbythepresentvalueoftheassociatedcashflow.012100100y=

7、10%-138ModifiedDurationModifieddurationTaylorexpansionforthechangeinthepriceofabond-138ExamplesEXAMPLE3:FRMEXAM2006—QUESTION75Azero-couponbondwithamaturityof10yearshasanannualeffectiveyieldof10%.Whatistheclosestvalueforitsmodifiedduration?91099100EXAMPLE4:FRMEXAM2007—QU

8、ESTION115AportfoliomanagerhasabondpositionworthUSD100million.Thepositionhasamodifieddurationofeightyearsandaco