1 CFA II Derivatives 关键词清单

CFA II Derivatives
Reading 40: Pricing & Valuation of Forward Commitments
Forward contract:
1.forward contract at inception, no money exchanges hands. 而 future contracts at inception 需要
margin 作为 deposit。3J119
3. Price of a forward contract: 合同缔约交割价 3J120
以下为最简单模型，基础为 zero-coupon bond（没有 cost to store 合约期内不需要向资产持有
者付款） ，本章之后模型均由此衍化：3J120-121
其中

Cash & Carry Arbitrage When Forward Contract is overpriced:3J121

1)同质资产低买高卖 2) 在 spot & forward markets 反向操作.
Forward overpricedshort(sell)forwardborrow moneylong(buy) spot assets. 122
Forward underpricedbuy forward融券sell spot assetlend proceeds at Rfclose forward
(pay for underpriced asset)return asset. 3J122

1. Equity Forward Contracts with Discrete Dividends 3J124

No-arbitrage price of an equity forward contract:
PVD=present value of expected dividends over contract life
FVD= future value of dividends.
请使用 365days 来算 T.比如 60 天合约，T = 60/365 3J125

Value of the long position in a forward contract on a dividend-paying stock at time t: 3J125
FP=缔约交割价 forward price determined at inception
St = spot price at time t
PVD t = PV of remaining expected discrete dividends at time t
2. Equity Forward Contract with Continuous Dividends 3J126
equity index forward contract 假设 dividends continuous.
Non-arbitrage forward price using continuous time discount: 3J126

Value of long position in the forward contract on an equity index at time t: 3J127 T 是 365 天 bss
FP=缔约交割价 forward price determined at
inception
St = spot price at time t

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3. Forwards & Futures on Fixed Income Securities 3J127 T 是 365 天 bss

A)计算 no-arbitrage forward price on a coupon-paying bond, 只要把之前第一点中的 PVD 改成
PVC 即可（PV of expected coupon payments over contract life）
FVC=future value of the coupon payments
3J128

Value of the forward contract prior to expiration at time t: 3J128

FP=缔约价 forward price determined at inception
St = spot price at time t
B) Bond futures conversion Factor: 卖方交割时可选几种债券，越有价值的债券收到更多付款。
即买家到期应付额=future price at expiration x CF。
Bond prices 在某些国家 quote as clean prices. 在结算时，
Full price =clean price + accrued interest .
(AI 补偿卖家)
所以 bond futures price 可以由左边公式计算：
其中：accrued interest at futures contract maturity. 3J129
Quoted bond future price（统一的合同折算调整价） ： 3J129
CF 指 conversion factor 3J129

4.LIBOR-based Loans & Forward Rate Agreements 3J130

LIBOR: 1)年化利率:360 天一年（每月 30 天）2)add-on rate：除本金外到期时应付的利息 3J130
Forward rate agreement: 3J130-131
2 x 3 FRA is a contract that expires in two months
(60days) & the underlying loan is settled in three
months (90days). 这 两 个 时 间 点 之 差 就 是 the
maturity of the underlying loan. 即是 underlying loan
rate is 1 month(30days) LIBOR on a 30 day loan in 60
days.也是 the forward “ price “（合同标的） in FRA
3J131
payoff on FRA = present value of interest savings on
the loan 3J131
A) 计算 FRA forward price (即 forward interest rate): 把两个相关 spot rates 去年化（合约期限
化折算） ，再根据(1+S 长) = (1+S 短) x ( 1+f )算出 f，再把 f 年化。3J132

B)计算 FRA value at FRA maturity.

FRA value at FRA maturity = present value of
interest savings on the loan 3J131
These savings paid upon settlement of
underlying loan,所以折算期限=贷款合同到
期日 - FRA 到期日.

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C) FRA value before FRA maturity: 3J134

根据所剩时间重算 FRA price，据此结合原
FRA pric 推 算 interest rate savings, 但
discount period = days left until settlement of
underlying loan.

5.Pricing Currency Forward Contracts

Currenct forward contract price:合同标的 forward currency exchange rate.
F & S are quoted in price currency per unit of base currency
RPC = price currency interest rate
注：用 365 天来算 T RBC = base currency interest rate 3J136
Value of long position in C.F.C：3J137
St = spot rate at time t
FT=forward currency exchange rate at maturity 缔约交割价

Continuous time C.F.C price & value 公式：3J137

Vt = both case 代表 value in price currency
units for a contract covering one unit of base
currency.

settlement payment in price currency =Vt x notional amount of base currency covered in the
contract
6.Futures contracts: 本章之前讲的 price relationships 基本适用于 Futures . Futures contract no
value at inception, 但 Future price（合约交割价每天 mark-to-market） at any point in time is the
price that makes a new contract value = 0. 3J138
Value of long position in futures contract = current futures price – previous mark-to-market price

Interest Rate, Currency & equity Swaps. 3J138

<1> Interest rate swap: “pricing” the swap=寻找 swap rate ,确保 swap initiation, PV of floating
rate payments = PV of swap fixed rate payments,即 swap value = 0.
一、计算 swap fixed rate:

其中

这些 Zs 是 discount factors = PV of $1 to be received n-periods from now. 3J139

二、计算 the market value of an Interest Rate Swap: 3J142
Market value of a swap (to fixed rate payer) = value of a floating rate bond – value of a fixed rate
bond. 注：fixed rate payer = floating rate receiver. 3J142
再次记忆重要条件：floating-rate bond will always = its par value at every settlement date(即每个
结算日 coupon rate 调整至最新市价，使未来剩余现金流折现之和仍然=par value). 3J142-143
计算步骤：按 1 美元 par value，先算 value of fixed rate bond（整体未来现金流根据最新 spot
rates 分段折现） ，再算 value of a floating rate bond =（next coupon rate+1 美元 par）/ spot rate for
days until next coupon date，随后二者差即为 swap value. 具体例题 3J143-145

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如果 floating rate bond 折现值高于 par value，因为包含当期 accrued interest by valuing the
full next coupon. 3J145
< 2 > Currency Swap:
1) Currency swap 总有 2 个 yield curves 和 2 个 swap rates.
2) Fixed to fixed:使用之前 price an interest rate swap 的方法确定两种货币各自 swap rate.
3) Principal 兑换额 initiation 和 termination 首尾一致(首 1:则尾还是 1:2)
4) Fixed to floating: 我用计算出的 swap rate 去换对方 currency 的 floating rates. 3J146.
Value of a currency swap after initiation: 计算方法同 interest rate swap（如下）
Market value of a swap (to fixed rate payer) = present value of the cash flows we expect to receive
– the present value of cash flows we expect to pay.
存在四种互换结构:1) fixed to fixed 2) fixed to floating 3) floating to fixed 4) floating to floating
1. 按最新汇率换成同种货币计算
2. currency swap 以上 value 用 total value of both sides 比用 per $ of notional principal（interest
rate swap）要更方便。3J149
< 3> Equity Swap:
第一部分：fixed(floating) rate bonds-for-equity/index portfolio swap:
Price swap fixed rate 方法与 interest rate 一致。 3J150 其中， ZN = the present
value of $1 to be received n period from now.
Value this swap after contract initiation (to fixed rate payer) = 同 currency swap 算法. 3J150
第二部分：swaps of returns on two different stocks：3J150
1） no pricing at swap initiation（因为两边都是浮动、未知的）
2） market value of the swap after initiation =
difference in returns(since the last payment date) x notional principal.
其中：对方负收益以负号代入公式。3J151

Reading 41 Valuation of Contingent Claims

Binominal Model: One-period binominal tree: 3J162

其中 U = size of up move; D=size of down

move
算出的 probability 基于 risk neutrality. 3J163

Option value：计算过程 3J163

1） 起始资产价值 value 2)size of up &down 3) probability of up & down 3J162
4) 计算到期时 option payoff in both up-&down-move states(payoff=到期值-exercise 值)，call
option 得负数归零; put option 得正数归零
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5) probability-weighted average of the payoffs

6) Discount back to today at risk-free rate.

Put-call Parity : 计算 put option value 3J165

value of a fiduciary call ( long call + 投资 in zero-coupon riskless bond with a face value equal to
the strike price) = value of a protective put ( long stock & long put) 3J165
S0 + P0 = C0 + PV (X) 其中 PV = present value 3J165
Synthetic instrument: 例如 synthetic call = C0 = S0 + P0 - PV (X) 3J165 负号为 short 卖

Two-Period Binominal Model 3J166

步骤同 one-period binominal model，但需要重复 2 遍（第一遍 t=2 到 t=1；第二遍 t=1 到 t=0）
。
1)period 2 中共 3 个可能性，当中的可能性被重复 2 遍 2) 两遍都用 probability-weighted
average 来折算 payoff. （理解记忆）

American-style Options: Early exercise 标准：在每一个 node，当期 Up 或 down 的 exercise

payoff value 是否 >下一节点 probability-weighted average 折现值 3J169

Arbitrage with one-period binominal model: 3J170

1)如果 call option overpriced, sell option & buy a fractional share of the stock for each option we
sold.【具体 fractional share 由 hedge ratio 决定】 2)如果 call option underpriced, buy option &
short a fractional share of stock for
each option purchased

Hedge ratio (或称 delta):

C+为 call option Up payoff，
C-为 down payoff
3J170
S+为 Stock-Up value.
S-:down 值

提示：portfolio value after up-move 中，（57.14 x $40）是卖掉股票后收到的 proceeds；

（100 x $ 10）是支付出去的、结算给对家的合约差价。而套利的关键在于 net profit cost 中$ 6.5
定价高了，导致 Net profit cost 降了（成本下来的了）。此部分理解记忆
由上述例子可推导出 no-arbitrage C0（call option value at initiation）如下：171

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Interest rate option 使用 two-period binominal model 定价

Binominal interest rate tree: 3J172
1) 每个节点折现率是上一节点的 one-period forward rate.
2) 上下概率均为 0.5

BSM Option Valuation Model

value option in continuous time & no-arbitrage bss. 几个重要 assumptions:
1.底产 price 几何布朗宁运动 & 底产回报 lognormal distribution.
2. (continuously compounded ) risk-free rate is constant & 借贷利率均为 Rf.
3. 底产(continuously compounded ) yield is constant
4. 市场 frictionless
5. 底产回报 volatility is constant & known.底产价格变动 smooth (no abrupt jump )
6. european style option 3J174
BSM model on leveraged position in the underlying 175

e rT：(1+r )T 的 continuously compounding model

1） 公式关系是 S0(资产起始值~PV)与 X(exercise price~forward)
2） N(d2)是 probability that a call option in the money 有效
3） N(-d2)或 1-N(d2)是 probability that a put option 有效 3J175
4） 借债买股可 replicate C0，买 N(d1)股 S0；卖股买债 replicate P0，卖 N(-d1)股。

BSM model to value European options on equities & currency. 3J177

Options on Dividend Paying Stocks(Dividends 折扣股价) 3J177:
其中

Modified Put-call parity if stock pays dividends: 3J177

BSM 模型 on Currencies Option:
其中：3J177 S0 = spot exchange rate;
X=exercise exchange rate

Black model on valuing European options of futures: 3J178

公式成立的根本前提：忽略 futures contract 中 mark-to-market 的功能。
其中

FT = futures spot price(期货合约自身的定价)

公式理解性诠释：1）Black model 和 BSM 唯一不同点：将 S0 换成了 3J178

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Black model on valuing European interest rate options & European Swaption
Interest rate options: 1）利率在贷款开始前定，再在 underlying loan 到期后还。2）FRA 用
30/360 天而 options on FRA 用 actual/365 天。3J178
公式设定：Interest rate call option on a (MxN) FRA expiring in M months,strike rate of X. The
underlying is a (N-M) month forward rate. Call option value 如下:3J179
M,N 为月份数；

用 interest rate options 组合来 replicate other contracts：3J179

1) Long 利率 call + short 利率 put (exercise rate = current FRA)a long FRA(收 floating& 付
fixed) 利率涨我以 X rate 宣 call，而 put 失效；利率跌我以 X rate 接收 put，而 call 失效。
即无论利率涨跌我都以 X rate 支付。
2) short 利率 call + long 利率 put (exercise rate = current FRA)a short FRA(付 floating & 收
fixed)
3) an interest rate cap:一组利率 call options with different maturities & same exercise price.买
I.R.cap 可 hedge a floating rate loan
4) Interest rate floor: 一组利率 put options 对冲 long a floating rate bond.
5) 当 exercise rate on a cap = floor, a long cap + a short floor  payer swap(pay-fixed, 收
-floating)；a short cap + a long floor  receiver swap(收 fixed, pay floating)
6) 当 exercise rate on a floor 和 cap 均=a market swap fixed rate, cap value = floor value 3J179

Swaptions:an option that gives the holder the right to enter into an interest rate swap.
Payer swaption: pay fixed –rate (收 floating). 3J179
Receiver swaption: 收 fixed –rate receiver (pay floating rate).

A Swaption = an option on a series of cash flows (annuity) 3J180

A payer swaption 的 black model ：
3J180PVA = present value of such an
annuity

REC = value of a receiver swaption: 3J180

用 Swaptions 来 replicate other contracts：3J180

1. Receiver swap= a long receiver swaption + a short payer swaption
2. A payer swap = a long payer swaption + a short receiver swaption
3. Long callable bond = long option-free bond + short receiver swaption 3J180

Option Greeks: 3J181

Delta(也称 hedge ratio): option prices vs asset price changes . 3J181
Call option deltaΔC/ΔS 正 而 put option delta 负 ΔP/ΔS。 3J181

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Deltas for call & put options on dividend paying

stocks 如下

= current asset(stock) price change. 3J181

注:只对 small changes in stock price 有用 3J181

European Call option payoff 图：理解记忆

黑实线代表 call option 的 intrinsic value;
蓝弧线代表 time value（投机值）
Put option 的 slope 也是 delta = ΔP/ΔS
小结：1）当为分红股时,a call
option’s delta 随股价增而从 0 到
；当不分红股,delta 从 0 到 1(股价增
1,option 价增 1)
2）put option:当分红股股价增, delta 从
至 0；不分红股股价增，delta 从-1 至
0
接近 maturity，time value of option 降(投机不抱希望), 假设 underlying 股价不变，
1. call option : out of money ,call delta 趋近于 0；in-the-money,call delta 趋近于
2 put option: out-of-money, put delta 趋近于 0；in-the-money,put delta 趋近于

Gamma: rate of change in delta vs asset price changes.或 curvature of the option value
1)long position in call & put 均有正 gamma. 例,gamma of 0.04 表示股价增 1,delta 增 0.04.
2) gamma 在 at-the-money 时最高；deep-in-the-money 或 deep out-of-money 低。
3)降低 portfolio 中 overall gamma,应 short options;增 gamma, long options.3J183
4)Call & put options 同底产、同 X price & 同 time to expiration
有同 gamma. 3J184

计算 call 和 put option 价格波动更精确公式：3J184

Vega: option price sensitivity vs changes in 底 产 return
volatility。1.call 和 put 的 vega 均为正数。2.options 越接近
at-the-money, vega 越大。3J184

Rho: option price sensitivity vs risk-free interest rate changes

1）不敏感。
2） call option Rho 正数;put option rho 为负

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Theta:option price sensitivity vs time passage.

Time decay: 其 他 条 件 不 变 ， 随 时 间 接 近
maturity，call 和 most put option value 投机值降
【deep-in-the-money put option 除外】Theta < 0

Delta-neutral hedge 3J186

Delta-neutral portfolio ( delta-neutral hedge ): dynamic hedging
策略 1：Long a stock + short a call option 组合价值不随股价而变。

策略 2：long a stock + long a put option （put delta <0）3J186

注：只能对冲底产 small change.【delta 本身局限】必须持续 rebalanced 3J187

Gama risk: 股价大幅度跳动, 使 delta-hedge portfolio 失效. Delta 随股价在变。
Implied volatility: BSM 模型结合 option 市价可推算 implied volatility, 如其值低于实际，则
option price 被低估。3J189

Reading 42 Derivative Strategies

不同衍生品来 modify risk & return 3J200
1. Interest Rate Swaps: modify fixed-income portfolio’s duration. 3J200
a payer swap duration = floating rate note duration – a fixed rate bond duration；同理，
a receiver swap duration = fixed rate bond(收) duration –floating rate note (付) duration
2. Interest rate futures (bond futures):预期利率跌，long in bond futures 来增组合 duration3J201
3. Currency swaps:双方以最优惠条件从本国市场借款并通过交换得到 desired currency
loans. 3J201
4. Currency Futures(或 forward contract):锁汇率。怕欧元升值买 euro futures. 3J201
5. Equity swaps:暂时 switch 资产 without disrupting portfolio(no transaction costs or taxes).
6. Stock index futures: change exposure of equities in portfolio 3J202
Number of contracts short = (portfolio value to be hedged ) / (index value x multipler)

Replicate an asset by using options & by using cash + forwards or futures 3J202
1. Synthetic Stock using options:
1) long stock = long call + short put (both X price = 股票市价) 3J202
2) short stock = short call + long put 3J203
2. Synthetic Puts & Calls: 3J203
Long call = long stock + long put ( long put 可 rearrange 公式求)
3. Synthetic Assets with Forwards / Futures: 3J203
Long stock = long futures + risk-free asset （可 rearrange 公式求 Rf asset）
4. Foreign currency option:防汇率单向下行风险(保留升值收益)。坏处是 option 立即付
premium 而 futures（forwards）事后结算。3J204

Covered call: long stock + short call 3J206

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Sep 25 call  a call option expires on September with an X price of$25

Covered call 的重要关系：3J206
起始投资 = S0 – C0 ; 到期 profit = min (ST, X) – ( S0-C0);
Max profit = X –S0 + C0; Max loss = S0 – C0
Protective Put: long stock + long put 3J206
起始投资 = S0 + P0 ; 到期 profit = max (ST, X) – ( S0+P0);
Max profit = ST –(S0 + P0); Max loss = S0 + P0 – X; Policy deductible = S0 – X

Long stock position & Long forward position: delta of +1

Short stock position & Short forward position: delta of -1. 3J209
cover call delta = stock delta – call option delta
protective put position delta = stock delta + put option delta 3J209

Cash-secured Puts: write (short) a put option + deposit 等于 X price 的钱. Payoff on the short
put = payoff on the covered call..3J210

Bull spread , Bear spread, Collar & straddle. 3J210

Spread strategy in options = long one option + short another
Bull spreads: X price long option < X price short option 3J211
Bear spreads: X price long option > X price short option 3J211
第一部分：Spread
1.Bull call spread: long low X price call + short high X price call 3J211
CL0 和 CH0 为 call prices at inception.
profit on the spread = net payoff at expiration – initial net cost.
Initial net cost = CL0-CH0 = Max loss ; Max profit = XH – XL – (CL0-CH0)
Breakeven price = XL + CL0-CH0)
2. Bear Call Spread: 赌股价涨不过 XL short a low X price call + long a higher X price call
Bear Put Spread: long a higher X price put + short a lower X price put 3J213
Initial net cost =PH0 – PL0 = Max loss
Break even price= XH - (PH0 – PL0)
Profit = max (0, XH – ST) – max (0, XL-ST) – (PH0 – PL0)
Max profit = XH – XL - (PH0 – PL0)
第二部分：Collar = long a protective put + long a stock + short a covered call 3J214
合适的 exercise price 使 long put premium = short call premium，形成 zero-cost collar. 一般 put
strike < call strike. 3J214
profit = (ST-S0) + max ( 0, XL-ST) – max (0,ST-XH) – (P0-C0) 3J214
max profit = XH – S0 – (P0-C0)
max loss = S0 + (P0-C0) –XL
breakeven price = S0 + (P0-C0) = initial cost
第三部分：straddle: long straddle = long call + long put [same strike price on same underlying
stock].
Long straddle 看不清市场方向但认为将来有大波动；short straddle 方也看不清市场方向但认
为将来无波动。3J216-217
Initial cost= C0+P0 = max loss

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breakeven price = X + (C0+P0) 或 X - (C0+P0)

profit = max ( 0, ST – X ) + max (0, X - ST) – (C0+P0 )
max profit = ST – X - (C0+P0)

Calendar Spread: two call options on same stock with same X price but different maturity.
Long calendar spread = short the near-dated call + long the longer-dated call
Short calendar spread = short longer-dated call + long near-dated call. 3J218
1) 也可用 puts 组成。3J218

Identify appropriate derivatives strategies consistent with given investment objectives. 3J218
Annual Volatility needed for option strategy to breakeven:
252 是 trading days per year. 3J219
其中

如果 option expiration 用月份表示，则用 12 / months until maturity 替代 252 / number of trading

days until maturity 3J219

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