VFRM一级金融市场与产品程黄维.pptVIP

金程在线：http://www.GF 专业来自百分百的投入 Financial Markets and Products-(30%) 1 Bond Fundamentals 2 Introduction (options, future, and other derivatives) 3 Mechanics of futures markets 4 Hedging strategies using futures 5 Interest Rates 6 Determination of forward and futures prices 7 Interest rate futures 8 Swaps 9 Properties of stock options 10 Trading strategies involving options 11 Foreign Exchange Risk 12 Mechanisms for Dealing with Sovereign Risk Exposure Bond Fundamentals What is a bond? Bond Fundamentals Characteristics of Bond Issuer Maturity Face Value/Par Value Coupon Rate What’s the FV of an initial $100 after 3 years if y = 10%? Present Values Effective Annual Rate (EAR) Where: periodic rate = stated annual rate / m m = the number of compounding periods per year Example: Computing EAR for a rang of compounding frequencies Using a stated rate of 6%, compute EAR for semiannual, quarterly, monthly, daily compounding. Notes: what is EAR if continuous compounding? Examples EXAMPLE 1: FRM EXAM 2002—QUESTION 48 An investor buys a Treasury bill maturing in 1 month for $987. On the maturity date the investor collects $1,000. Calculate effective annual rate (EAR). 17.0% 15.8% 13.0% 11.6% EXAMPLE 2: FRM EXAM 2002—QUESTION 51 Consider a savings account that pays an annual interest rate of 8%. Calculate the amount of time it would take to double your money. Round to the nearest year. 7 years 8 years 9 years 10 years Price-Yield Relationship Price-Yield Function Taylor Expansion Macaulay Duration Definition: the average time to wait for each payment, weighted by the present value of the associated cash flow. Modified Duration Examples EXAMPLE 3: FRM EXAM 2006—QUESTION 75 A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the closest value for its modified duration? 9 10 99 100 EXAMPLE 4: FRM EXAM 2007—QUESTION 115 A portfolio manager has a bond position worth USD 100 million. The position has a modified duration of eig