Instruments(金融工程-南开大学,王小麓))复习进程.ppt

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1、Instruments(金融工程-南开大学,王小麓))MarketsandInstrumentsMoneyMarketDebtInstrumentsDerivativesCapitalMarketBondsEquityDerivativesMoneyMarketInstrumentsTreasurybillsCertificatesofdepositCommercialPaperBankersAcceptancesEurodollarsRepurchaseAgreements(RPs)andReverseRPsFederalFundsMoneyMarketInstrument

2、YieldsYieldsonMoneyMarketInstrumentsarenotalwaysdirectlycomparable.Factorsinfluencingyields.Parvaluevs.investmentvalue360vs.365daysassumedinayear(366leapyear)BondequivalentyieldBankDiscountRate(T-Bills)Rbd=bankdiscountrateP=marketpriceofthebilln=numberofdaystomaturityBondEquivalentYieldCan’

3、tcompareT-billdirectlytobond:360vs365daysReturnisfiguredonparvs.pricepaidAdjustthebankdiscountedratetomakeitcomparable.BondEquivalentYield:SampleT-BillCapitalMarket-FixedIncomeInstrumentsPubliclyIssuedInstrumentsUSTreasuryBondsandNotesAgencyIssues(FedGov)MunicipalBondsPrivatelyIssuedInstru

4、mentsCorporateBondsMortgage-BackedSecuritiesCapitalMarket-EquityCommonstockResidualclaimLimitedliabilityPreferredstockFixeddividends-limitedPriorityovercommonTaxtreatmentStockIndexesUsesTrackaveragereturnsComparingperformanceofmanagersBaseofderivativesFactorsinconstructingorusinganIndexRepr

5、esentative?Broadornarrow?Howisitconstructed?ExamplesofIndexes-DomesticDowJonesIndustrialAverage(30Stocks)Standard&Poor’s500CompositeNASDAQCompositeNYSECompositeWilshire5000ExamplesofIndexes-Int’lNikkei225&Nikkei300FTSE(FinancialTimesofLondon)DaxRegionandCountryIndexesEAFEFarEastUnitedKingdo

6、mBondIndexesLehmanBrothersMerrillLynchSalomonBrothersSpecializedIndexesMerrillLynchMortgageConstructionofIndexesHowarestocksweighted?Priceweighted(DJIA)Market-valueweighted(S&P500,NASDAQ)Equallyweighted(ValueLineIndex)Howreturnsareaveraged?Arithmetic(DJIAandS&P500)Geometric(ValueLineIndex)A

7、veragingMethodsComponentReturnA=10%B=(-5%)C=20%ArithmeticAverage[.10+(-.05)+.2]/3=8.33%GeometricAverage[(1.1)(.95)(1.2)]1/3-1=7.84%DerivativesSecuritiesOptionsBasicPositionsCall(Buy)Put(Sell)TermsExercisePriceExpirationDateAssetsFuturesBasicPositionsLong