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1、2012CFALevelICurriculumBookVIJieWuThisworkislicensedundertheCreativeCommonsAttribution-NonCommercial-ShareAlike3.0License.2DISCLAIMER:Theauthorisnotresponsibleorliableforanyerrorcontainedinthisdocument.Theimagesarecollectedfromtheinternetandextractedfromthecurri
2、culumbookthecopyrightsofwhichbelongtotheoriginalmakers.Chapter1Derivatives1.1Derivatives1.1.1DerivativeMarketsandInstrumentsde nition:pp.25,aderivativecontractisa nancialinstrumentwithareturnthatisobtainedfromorderivedfromthereturnofanotherunderlying nancialinst
3、rumentpp.6,derivativescanbecategorizedaccordingtotradingvenues:exchange-traded:(e.g.futurescontracts)standardized,publiclytradedinexchangefa-cilities,subjecttogovernmentregulations,performanceguaranteedbyclearinghousethereforeconsideredtobedefault-free,liquidity
4、facilitateso settingtransactionsover-the-counter:(e.g.forwardcontracts)customized,privatelytradedanywhereelse,notsubjecttogovernmentregulations,eachpartyassumesthecreditriskofthecoun-terparty,limitedliquidityforengagingino settingtransactionspp.6,oraccordingtoco
5、mmitments:forwardcommitments:pp.7{9,twopartiesenterintoanagreementtoengageinatrans-actionatalaterdateatapriceestablishedatpresent,therearethreetypes:forwardcontracts:forwardcommitmentcreatedintheover-the-countermarketfuturescontracts:forwardcommitmentcreatedandt
6、radedonafutureexchangeswaps:over-the-countertransactionconsistingofaseriesofforwardcommitments,atleastonesidebeing
oatingcontingentclaims:pp.10,derivativecontractswithapayo dependentupontheoccur-renceofafutureevent,generallyreferredtoasoptionsbecauseitisa nancia
7、linstrumentthatgivesonepartytheright(call/put)nottheobligation,e.g.convertiblebonds,callablebonds,putablebonds,asset-backedsecurities(prepaymentoption)measureofmarketsize:pp.16,forexchange-tradedderivatives:tradingvolume,butsubjecttodi erenceincontractsizeforove
8、r-the-counterderivatives:(1)notionalprincipal
9、theamountoftheunderlyingassetcoveredbyacontract,whichmaysuggestmisleadinglytheamountofmoney34CHAPTER1.DERIVATIVESinvolve
