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2014年最新版CFA一级考试官方教材笔记Schweser CFA Level I Study Note Book 5 Fixed .
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2014年最新版CFA一级考试官方教材笔记Schweser CFA Le
官方公共微信Treasury Yield Curve
There are many types of fixed-income securities and markets. The
largest fixed income market results from the U.S. Treasury, borrowing cash from the
general investing public. The prices of these fixed-income
securities result from trading, and which
generates the
yield curve by plotting the implied yield to
maturity from the prices of Treasury instruments against the
time to maturity.& This
yield curve has a direct influence over all economic activity in
In the charts below the current
behavior for the Treasury yield curve is provided for a choice
of common compounding conventions.& To apply the yield
curve requires answering a few basic questions.&&
These questions are described below the following chart.& An
expalnation of the concepts required to answer these questions is provided in the Textbook link
to the left.
Important:& The charts below
require using a 32-bit browser.
Working with the Yield Curve
You first need to answer a few basic questions:
1.& What is my problem's time horizon?& In other words
which rate is relevant -- 3-months, 5-years or 30-years?
This often depends upon the investment horizon you are working with.&
For example, suppose you are applying the Capital Asset Pricing
Model (CAPM) to estimate the expected return from a stock.&
This requires working with the yield curve and many users choose a
rate between 10-years and 30-years to estimate expected returns when
using CAPM.
2.& What is my compounding convention?& This could be
continuous compounding if you are working with options or it may be
discrete.& If discrete how many times am I compounding per
3.& Is it important to assess a pure discount rate?& The
pure disocunt rate is implied from a Treasury zero coupon bond
(i.e., Treasury strips and treasury bills).& The pure discount
rate or "Zero" curve is important when working with any valuation
4.& What is the current yield curve telling me about future
interest rates?& By backing out the "forward curve" this
provides important information about what investors expectations
about future rates are.
The above set of charts provide all of the above.& That is, you
can see the current Treasury Yield curve depicted in continuous
through to annual compounding forms.& You can also see plotted
the spot rates, the zero curve rates and the forward rates.&
That latter lets you take a look into the future using current
market data.& To read more about the above types of questions
and concepts you are encouraged to click on Bond Tutor: The Textbook
to the left on this screen.What Drives the Yield Curve?
From the above charts you can see that the yield curve shifts over
time.& These shifts are inresponse to changes in expectations about
the major fundamental drivers of the yield curve.& That is,
Inflation Expectations
Consumption/Growth Behavior Changes
Federal Reserve Bank Expectations
Inflation Expectations
If consumer prices are expected to increase strongly then the
suppliers of capital must be rewarded more for postponing their
consumption decisions.& That is, the opportunity cost of
consumption must increase and so inflation expectations will have a
direct first order impact upon interest rates.& To explore this
further see the tab above labelled &Inflation.&
Consumption/Growth Expectations
If growth declines and the economy moves into a recession -- how
would this influence your decision to consume today?& The answer is
likely to be negatively.& Job prospects, bonuses, pay rises are
likely to disappear and so major consumption decisions become postponed.&
This implies that the suppliers of capital no longer need to be rewarded
as much for postponing consumption and thus interest rates will decline.
Federal Reserve Bank Expectations
In the United States, the Federal Reserve has a dual mandate:&
To promote stable inflation and to promote maximum employment. In
addition, the Federal Reserve is legally permitted to manipulate the US
Treasury markets.& As a result, the Federal Reserve Bank
manipulates the US Treasury yield curve -- particularly at the short end
in an attempt to implement it's dual manadate.
When the Federal Reserve Bank is trying to promote consumption and growth it
lowers interest rates by agressively buying and pushing prices up.&
Given the inverse relationship between prices and the yield to maturity
this implies that interest rates fall.&
If it is trying to dampen consumption/growth the Federal Reserve Bank does the opposite and
starts to aggresively sell Treasury instruments to push prices down.&
This results in shifting interest rates up.期权期货和衍生证券_百度百科
期权期货和衍生证券
《期权期货和衍生证券》是1998年华夏出版社出版的图书，作者是John C. HULL。
本书适用于商学和经济学研究生和高年级本科生选修课。对那些想获得如何分析衍生证券实际知识的实际工作者来说，本书也适合。 ……
Brief Contents　　1 INTRODUCTlON　　2 FUTURES MARKETS AND THE USE OF FUTURES　　FOR HEDGlNG　　3 FORWARD AND FUTURES PRlCES　　4 INTEREST RATE FUTURES　　5 SWAPS　　6 OPTlONS MARKETS　　7 PROPERTlES OF STOCK OPTlON PRlCES　　8 TRADlNG STRATEGlES INVOLVlNG OPTlONS　　9 INTRODUCTlON TO BlNOMlAL TREES　　10 MODEL OF THE BEHAVlOR OF STOCK PRlCES　　11 THE BLACK-SCHOLES ANALYSlS　　12 OPTlONS ON STOCK INDlCES, CURRENClES　　AND FUTURES CONTRACTS　　13 GENERAL APPROACH TO PRlClNG DERlVATlVES　　14 THE MANAGEMENT OF MARKET RlSK　　15 NUMERlCAL PROCEDURES　　16 INTEREST RATE DERlVATlVES AND THE USE　　OF BLACK'S MODEL　　17 INTEREST RATE DERlVATlVES AND MODELS　　OF THE YlELD CURVE　　18 EXOTlC OPTlONS　　19 ALTERNATlVES TO BLACK-SCHOLES　　FOR OPTlON PRlClNG　　20 CREDlT RlSK AND REGULATORY CAPYTA　　21 REVlEW OF KEY CONCEPTS　　Contents　　PREFACE　　1 INTRODUCTlON　　1.1 Forward Contracts　　1.2 Futures Contracts　　1.3 Options　　1.4 Other Derivatives　　1.5 Types of Traders　　1.6 Summary　　Questions and Problems　　2 FUTURES MARKETS AND THE USE OF FUTURES　　FOR HEDGlNG　　2.1 Trading Futures Contracts　　2.2 Specification of the Futures Contract　　2.3 Operation of Margins　　2.4 Newspaper Quotes　　2.5 Convergence of Futures Price to Spot Price　　2.6 Settlement　　2.7 Regulation　　2.8 Hedging Using Futures　　2.9 Optimal Hedge Ratio　　2.10 Rolling the Hedge Forward　　2. 11 Accounting and Tax　　2.12 Summary　　Suggestions for Further Reading　　Questions and Problems　　3 FORWARD AND FUTURES PRlCES　　3.1 Some Preliminaries　　3.2 Forward Contracts on a Security That Provides　　No Income　　3.3 Forward Contracts on a Security That Provides　　a Known Cash Income　　3.4 Forward Contracts on a Security That Provides　　a Known Dividend Yield　　3.5 General Result　　3.6 Forward Prices versus Futures Prices　　3.7 Stock Index Futures　　3.8 Forward and Futures Contracts on Currencies　　3.9 Futures on Commodities　　3.10 The Cost of Carry　　3.11 Delivery Choices　　3.12 Futures Prices and the Expected Future Spot Price　　3.13 Summary　　Suggestions for Further Reading　　Questions and Problems　　Appendix 3A Proof That Forward and Futures Prices Are　　Equal When Interest Rates Are Constant　　4 INTEREST RATE FUTURES　　4.I Some Preliminaries　　4.2 Forward Rate Agreements　　4.3 Treasury Bond and Treasury Note Futures　　4.4 Treasury Bill Futures　　4.5 Eurodollar Futures　　4.6 Duration　　4.7 Duration-Based Hedging Strategies　　4.8 Limitations of Duration　　4.9 Summary　　Suggestions for Further Reading　　Questions and Problems　　5 SWAPS　　5.1 Mechanics of Interest Rate Swaps　　5.2 The Comparative Advantage Argument　　5.3 Valuation of Interest Rate Swaps　　5.4 Currency Swaps　　5.5 Valuation of Currency Swaps　　5.6 Other Swaps　　5.7 Credit Risk　　5.8 Summary　　Suggestions for Further Reading　　Questions and Problems　　6 OPTlONS MARKETS　　6. l Exchange-Traded Options　　6.2 Over-the-Counter Options　　6.3 Specification of Stock Options　　6.4 Newspaper Quotes　　6.5 Trading　　6.6 Commissions　　6.7 Margins　　6.8 The Options Clearing Corporation　　6.9 Regulation　　6.10 Taxation　　6.11 Warrants and Convertibles　　6.12 Summary　　Suggestions for Further Reading　　Questions and Problems　　7 PROPERTlES OF STOCK OPTlON PRlCES　　7.1 Factors Affecting Option Prices　　7.2 Assumptions and Notation　　7.3 Upper and Lower Bounds for Option Prices　　7.4 Early Exercise: Calls on a Non-Dividend-Paying Stock　　7.5 Early Exercise: Puts on a Non-Dividend-Paying Stock　　7.6 Put-Call Parity　　7.7 Effect of Dividends　　7.8 Empirical Research　　7.9 Summary　　Suggestions for Further Reading　　Questions and Problems　　8 TRADlNG STRATEGlES INVOLVlNG OPTlONS　　8.1 Strategies Involving a Single Option and a Stock　　8.2 Spreads　　8.3 Combinations　　8.4 Other Payoffs　　8.5 Summary　　Suggestions for Further Reading　　Questions and Problems　　9 INTRODUCTlON TO BlNOMlAL TREES　　9.1 One-Step Binomial Model　　9.2 Risk-Neutral Valuation　　9.3 Two-Step Binomial Trees　　9.4 Put Example　　9.5 American Options　　9.6 Delta　　9.7 Using Binomial Trees in Practice　　9.8 Summary　　Suggestions for Further Reading　　Quesdons and Problems　　10 MODEL OF THE BEHAVlOR OF STOCK PRlCES　　10.1 The Markov Property　　10.2 Wiener Processes　　10.3 The Process for Stock Prices　　10.4 Review of the Model　　10.5 The Parameters　　10.6 Ito's Lemma　　10.7 Summary　　Suggestions for Further Reading　　Questions and Problems　　Appendix 10A Derivation of Ito's Lemma　　11 THE BLACK-SCHOLES ANALYSlS　　11.1 Lognonnal Property of Stock Prices　　11.2 The Distribudon of the Rate of Return　　11.3 Estimating Volatility from Historical Data　　11.4 Concepts Underiying the Black-Scholes Differential　　Equation　　11.5 Derivation of the Black-Scholes Differential Equation　　11.6 Risk-Neutral Valuation　　11.7 Black-Scholes Pricing Formulas　　11.8 Cumulative Normal Distribution Function　　11.9 Warrants Issued by a Company on Its Own Stock　　11.10 Implied Voladlities　　11.11 The Causes of Volatility　　11.12 Dividends　　11.13 Summary　　Suggestions for Further Reading　　Questions and Problems　　Appendix 11A Exact Procedure for Calculating Values　　of American Calls on Dividend-Paying　　Stocks　　Appendix llB Calculation ofCumulative Probability　　in Bivariate Normal Distribution　　12 OPTlONS ON STOCK INDlCES, CURRENClES　　AND FUTURES CONTRACTS　　12.1 Extending Black-Scholes　　12.2 Pricing Fonnulas　　12.3 Options on Stock Indices　　12.4 Currency Options　　12.5 Futures Opdons　　12.6 Summary　　Suggestions for Further Reading　　Questions and Problems　　Appendix 12A Derivation of Differential Equation Satisfied　　by a Derivative Dependent on a Stock Paying　　a Continuous Dividend Yield 284　　Appendix 12B Derivation of Differential Equation Satisfied　　by a Derivative Dependent on a Futures　　Price　　13 GENERAL APPROACH TO PRlClNG DERlVATlVES　　13.1 Single Underlying Variable　　13.2 Interest Rate Risk　　13.3 Securities Dependent on Several State Variables　　13.4 Is It Necessary to Estimate the Market Price　　of Risk?　　13.5 Derivatives Dependent on Commodity Prices　　13.6 Quantos　　13.7 Summary　　Suggestions for Further Reading　　Questions and Problems　　Appendix 13A Generalization of Ito's Lemma　　Appendix 13B Derivation of the General Differential Equation　　Satisfied by Derivatives　　14 THE MANAGEMENT OF MARKET RlSK　　14.1 Example　　14.2 Naked and Covered Positions　　14.3 A Stop-Loss Strategy　　14.4 More Sophisticated Hedging Schemes　　14.5 Delta Hedging　　14.6 Theta　　14.7 Gamma　　14.8 Relationship among Delta, Theta and Gamma　　14.9 Vega　　14.10 Rho　　14.11 Scenario Analysis　　14.12 Portfolio Insurance　　14.13 Summary　　Suggestions for Further Reading　　Questions and Problems　　Appendix 14A Taylor Series Expansions　　and Hedge Parameters　　15 NUMERlCAL PROCEDURES　　15.1 Binomial Trees　　15.2 Using the Binomial Tree for Options on Indices　　Currencies and Futures Contracts　　15.3 Binomial Model for a Dividend-Paying Stock　　15.4 Extensions of the Basic Tree Approach　　15.5 Altemative Procedures for Construcdng Trees　　15.6 Monte Carlo Simulation　　15.7 Variance Reduction Procedures　　15.8 Finite Difference Methods　　15.9 Analytic Approximations in Option Pricing　　15.10 Summary　　Suggestions for Further Reading　　Questions and Problems　　Appendix 15A Analytic Approximation to American Option　　Prices of Macmillan and Barone-Adesi　　and Whaley　　16 DSTTEREST RATE DERlVATlVES AND THE USE　　OF BLACK'S MODEL　　16.1 Exchange-Traded interest Rate Options　　16.2 Embedded Bond Options　　16.3 Mortgage-Backed Securities　　16.4 Option-Adjusted Spread　　16.5 Black's Model　　16.6 European Bond Options　　16.7 Interest Rate Caps　　16.8 European Swap Options　　16.9 Accrual Swaps　　16.10 Spread Options　　16.11 Convexity Adjustments　　16.11 Summary 411　　Suggestions for Further Reading　　Questions and Problems　　Appendix 16A Proof of the Convexity Adjustment Formula　　17 INTEREST RATE DERlVATlVES AND MODELS　　OF THE YlELD CURVE　　17.1 Introduction to Equilibrium Models　　17.2 One-Factor Models　　17.3 The Rendleman and Bartter Model　　17.4 The Vasicek Model　　17.5 The Cox, Ingersoll and Ross Model　　17.6 Two-Factor Models　　17.7 Introduction to No-Arbitrage Models　　17.8 Modeling Forward Rates　　17.9 Developing Markov Models　　17.10 Ho and Lee Model　　17.11 Hull and White Model　　17.12 Interest Rate Trees　　17.13 A General Tree-Building Procedure　　17.14 Nonstationary Models　　17.15 Forward Rates and Futures Rates　　17.16 Summary　　Suggestions for Further Reading　　Questions and Problems　　18 EXOTlC OPTlONS　　18.1 Types of Exotic Options　　18.2 Basic Numerical Procedures　　18.3 Path-Dependent Derivatives　　18.4 Lookback Options　　18.5 Barrier Options　　18.6 Options on Two Correlated Assets　　18.7 Hedging issues　　18.8 Static Options Replication　　18.9 Summary　　Suggestions for Further Reading　　Questions and Problems　　19 ALTERNATlVES TO BLACK-SCHOLES　　FOR OPTlON PRlClNG　　19.1 Known Changes in the Interest Rate　　and Volatility　　19.2 Merton's Stochastic interest Rate Model　　19.3 Pricing Biases　　19.4 Altemative Models　　19.5 Overview of Pricing Biases　　19.6 Stochastic Volatility　　19.7 How Black-Scholes Is Used in Practice　　19.8 Implied Trees　　19.9 Empirical Research　　19.10 Summary　　Suggestions for Further Reading　　Questions and Problems　　Appendix 19A Pricing Formulas for Altemative Models　　20 CREDlT RlSK AND REGULATORY CAPlTAL　　20.1 Background　　20.2 Adjusting the Prices of Options for Credil Risk　　20.3 Contracts That Can Be Assets or Liabilities　　20.4 Historical Default Experience　　20.5 Valuation of Convertible Bonds　　20.6 The BlS Capital Requirements　　20.7 Reducing Exposure to Credit Risk　　20.8 Summary　　Suggestions for Further Reading　　Questions and Problems　　21 REVIEW OF KEY CONCEPTS　　21.1 Riskless Hedges　　21.2 Traded Securities versus Other Underlying Variables　　21.3 Risk-Neutral Valuation　　21.4 Those Big Losses　　21.5 A Final Word　　MAJOR EXCHANGES　　GLOSSARY OF NOTATlON　　TABLE FOR N(x) WHEN x 0　　TABLE FOR N(x) WHEN x 0　　AUTHOR INDEX　　SUBJECT INDEX
．豆瓣读书[引用日期 13:47:19]Lecture 6 Determining Forward and Futures Prices
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3秒自动关闭窗口High Yield Bond - Forward：高收益债券了高,高,债券,高收益债券,High,Yi..
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