V1_20110122FRM一级金融市场&au

V1_20110122FRM一级金融市场&au

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金程教育2011年FRM Part I基础班讲义 inancial Markets and Products Financial Markets and Products 讲师:程黄维 FRM 日期:2011年01月22~23日 地点: ■ 上海 □ 北京 □深圳 上海金程国际金融专修学院
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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 terest rate futures 7 Interest rate futures 8 Swaps 9 Properties of stock options 10 Trading strategies involving options 11 Foreign Exchange Risk 2-138 138 12 Mechanisms for Dealing with Sovereign Risk Exposure
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Bond Fundamentals What is a bond? bond Issuer/borrower Bondholder/lender Indenture oney money 3-138 138
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Bond Fundamentals Characteristics of Bond Issuer Maturity Face Value/Par Value Coupon Rate 4-138 138
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Future Values What’s the FV of an initial $100 after 3 years if y = 10%? 0 1 2 3 10% FV = ? 100 5-138 138
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Present Values FV 1 FV 2 FV 3 1 2 3 0 PV = FV 1 /(1+y) PV = FV 2 /(1+y) 2 PV = FV 3 /(1+y) 3 6-138 138
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Effective Annual Rate (EAR) m EAR=(1 + periodic rate) -1 Where: periodic rate = stated annual rate / m m = the number of compounding periods per year Example: Computing EAR for a rang of compounding frequencies pp g f g f p g f q Using a stated rate of 6%, compute EAR for semiannual, quarterly, monthly, daily compounding . Notes: what is EAR if continuous compounding? 7-138 138
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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). A. 17.0% B. 15.8% C. 13.0% D. 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. A. 7 years B. 8 years C. 9 years D. 10 years 8-138 138
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Price-Yield Relationship T t t t=1 C P = (1 + y) t where: C = the cash flow (coupon or principal) in period t t = the number of periods (e.g., half-years) to each payment T = the number of periods to final maturity y = the discounting rate per period 9-138 138
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Price-Yield Function cF Perpetual bonds: P= 10 10-138 138 y
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Taylor Expansion () ( ) ( ) f y P f y P f y 00 1 1 , Taylor expansion: Pf  : '' ' 2 10 0 0 1 ( ) ( )( ) ... 2 PP f y y f y y  duration convexity 11 11-138 138
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