CFA-L2-階段總結與重點精講-固定收益

階段總結與重點精講即將開始L2–1Session12:34:andDynamics35:Session16:in36:andBondswith37:38:2andDynamics1.and&curve,&curve,&&ZandLibor-OIS2.theories:liquidity:Modernmodels(2+1):models:CIRmodel(1985),(1977);:Ho-Lee(1986)3andDynamics3.spot→Ridingyieldcurvebond→curverisk(shapingrisk)→4sensitivityModifiedNoIRRPVBPCurvesensitivityyieldcurve)shift(sensitivityyieldspecific51.dominance2.6andAnalysis:BondswithEmbedded1.embeddedCallablecallable=–bond:=+ofyieldcurve,andshapeofyieldCallruleandrule,viebinomialZ7andAnalysis:BondswithEmbedded2.riskofembeddedandone-side&3.oforand4.anddownsiderisk,risk-8AnalysisModels1.ofriskloss=of×loss2.models:scoring,models:models,models91.BasicofnotionalCDSCDSsinglenameCDSandCDS.2.PricingCDSPricing,andofCDSManaginganddisparity10重點精講L2-11Spotcurveandcurvej+k()jk()()1+Sj+k=1+S1+f,kj?Ifyieldcurvessloping,curvesliespotcurve.Thethecurve.12priceand11()Pj=()Fj,k=()()Pj+k=PFj,kjjk(1+Sj1+f(j,k?:usingtheoutputofoneasof?istheofaandcurveistheof13?=-securityCFCFCFPrice=+++12n1+S+Z1+S+Z)(++)n21SZ12n?TED:Libor–yieldofT-bill?Libor-OIS:Libor–ofOIS?OISisaninperiodicisequaltheofantheperiod.14vs.spotIfspot<,.Ridingyieldcurve:(1)curvesloping(2)willnotitsandshapeConclusion:buyingbondswiththanIfspot>,.15Binomialiiii0iiσi=iσi=iσi=ie?σ:?of?Higherhigher16of1.ofbothandwillbelessorequalofbond.2.↓:of↓3.↑:↓17Callablebondsbonds?callable=straight–callputalbe=straight+put?Asincreases,the,andof.?Asdecline,therisesofbond.?Asrise,thethanthethebond.18Callablebondsbonds?callable=straight–callputalbe=straight+put?Astheyieldcurvebeingsloping,sloping,thetheandthe;theoftheandofbond.19spread?=Z-spread-?Callable>0,<Z-spread?bond:<0,>Z-spread?Anthanabond.?Anthanatheis.?Ancloseatheispriced.20?As,thethe,andvice?Higher→higher→price→?As,,andvice?Higher→→→?Zis.21ofcallablebondpricing:Usingtheofsemiannualisa4%hasoneaof100andsemiannually?0A.100.B.100.49.101.9.2201$100$100$24%$100.493%$100.99$100$22%Bis23Cappedorbonds?=a–the?offloating-bond=ofa+thefloor24ofcallablebondpricing:Usingtheofsemiannualisahasonewith3%.0A.100.B.99.76.99.51.25013%Bis26bonds?price=Issueprice?Minimum:?=price×?istheit?=?per=price-?=perprice27AbondA,issued$900of$1000andof510is$80withannualdividendof$3.the$850.per28price=$900/10=$90;=$80*10=$800;price=$850/10=$85;per=$85-$80=$5;=$5/$80=6.25%;29models?Callequity:holdingisowningaonassetswithpriceKofandTof?analogy:owningisowningarisklessandsellingaonassets(A)ofthewithpriceKand30model?models,as:KD=Et()1+riK=of=usingEr=i.i31CashofCDS?Cash:thesellerthe?=×Notional?=1-(%)?TheofCDS.