隨著國(guó)內(nèi)逐漸開放衍生品市場(chǎng)，越來越需要有衍生品專業(yè)知識(shí)的人才。這部分的衍生品主要介紹衍生品的一些基本知識(shí)，包括衍生品的種類及市場(chǎng)區(qū)分，4大類衍生品的基本定價(jià)原理，以及簡(jiǎn)單期權(quán)策略。
CFA一級(jí)考試的Derivatives（金融衍生品）具體的內(nèi)容知識(shí)點(diǎn)包含1個(gè)study session，3個(gè)reading。
其中，Reading 57對(duì)衍生品市場(chǎng)進(jìn)行了區(qū)別，并對(duì)4大類衍生品進(jìn)行了基本定義；
Reading 58講衍生品的定價(jià)和估值的基本原理，并對(duì)4大類衍生品的基本定價(jià)做了介紹；
Reading 59對(duì)期權(quán)做了進(jìn)一步分析，介紹兩種期權(quán)及兩種期權(quán)策略的應(yīng)用。
 
從考試的重要度來看，Reading 58、Reading 59是最重要的，Reading 57其次，其他Reading重要性不大。
以下是高頓教育馮老師對(duì)重要的Reading的考點(diǎn)進(jìn)行了總結(jié)，以下內(nèi)容建議考生們?nèi)空莆铡?/div>
★ Reading 57:Derivative Markets and Instruments（金融衍生品市場(chǎng)及工具）
金融衍生品的定義；
金融衍生品市場(chǎng)的分類及區(qū)別;
金融衍生品的分類；
金融衍生品的優(yōu)缺點(diǎn)。
★ Reading 58:Basics of Derivative Pricing and Valuation（金融衍生品基本定價(jià)和估值原理）
金融衍生品定價(jià)的基本原理；
區(qū)別遠(yuǎn)期和期貨合約的定價(jià)以及估值；
合約期初、期中、期末如何計(jì)算遠(yuǎn)期的價(jià)值，以及理解影響遠(yuǎn)期價(jià)值的因素；
解釋期貨和遠(yuǎn)期定價(jià)的異同；
解釋互換和遠(yuǎn)期定價(jià)的不同；
歐式期權(quán)價(jià)值的計(jì)算以及影響因素；
歐式期權(quán)的平價(jià)公式、遠(yuǎn)期平價(jià)公式以及二叉樹模型的理解；
美式期權(quán)與歐式期權(quán)定價(jià)的差異。
★ Reading 59:Risk Management Applications of Option Strategies（風(fēng)險(xiǎn)管理應(yīng)用：期權(quán)策略）
看漲期權(quán)和看跌期權(quán)的到期價(jià)值、利潤(rùn)、小盈虧、盈虧平衡點(diǎn)的計(jì)算；
Covered call和protective put的到期價(jià)值、利潤(rùn)、小盈虧、盈虧平衡點(diǎn)的計(jì)算。
CFACFA衍生品練習(xí)題CFA
"Derivative"Exercise:Spot exchange rate and forward exchange rate

Questions 1:

There are two forward contracts,contract 1 and contract 2,on the same underlying.The underlying makes no cash payments,does not yield any nonfinancial benefits,and does not incur any storage costs.Contract 1 expires in one year,and contract 2 expires in two years.It is most likely that the price of contract 1:
A、is equal to the price of contract 2.
B、is less than the price of contract 2.
C、exceeds the price of contract 2.
 
【Answer to question 1】B
【analysis】
B is correct.The forward price is the spot price compounded at the risk-free rate over the life of the contract.Because contract 2 has the longer life,compounding will lead to a larger value.
A is incorrect.The price of contract 1 will be less than the price of contract 2.
C is incorrect.The price of contract 1 will be less than the price of contract 2.
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Questions 2:

For a forward contract with a value of zero,a situation where the spot price is above the forward price is best explained by high:
A、interest rates.
B、storage costs.
C、convenience yield.
【Answer to question 2】C
【analysis】
C is correct.If the convenience yield is high,holding the underlying confers large benefits,thus the spot price can exceed the forward price for a forward contract with a value of zero.Based on the formula
Derivative exercise:Spot exchange rate and forward exchange rate
and an initial value Vt(0)of zero,large benefitsγexplain why the spot price can exceed the forward price.
A is incorrect.High interest rates make the forward contract more valuable.Thus the forward rate is above the spot rate.
B is incorrect.High storage costs make the forward contract more valuable.Thus the forward rate is above the spot rate.
以上就是【CFA衍生品練習(xí)題＂Derivative＂Exercise:Spot exchange rate and forward exchange rate】的全部?jī)?nèi)容，如果你想學(xué)習(xí)更多CFA相關(guān)知識(shí)，歡迎大家前往高頓教育官網(wǎng)CFA頻道！在這里，你可以學(xué)習(xí)更多精品課程，練習(xí)更多重點(diǎn)試題，了解更多最新考試動(dòng)態(tài)。


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