随着国内逐渐开放衍生品市场，越来越需要有衍生品专业知识的人才。这部分的衍生品主要介绍衍生品的一些基本知识，包括衍生品的种类及市场区分，4大类衍生品的基本定价原理，以及简单期权策略。
CFA一级考试的Derivatives（金融衍生品）具体的内容知识点包含1个study session，3个reading。
其中，Reading 57对衍生品市场进行了区别，并对4大类衍生品进行了基本定义；
Reading 58讲衍生品的定价和估值的基本原理，并对4大类衍生品的基本定价做了介绍；
Reading 59对期权做了进一步分析，介绍两种期权及两种期权策略的应用。
从考试的重要度来看，Reading 58、Reading 59是最重要的，Reading 57其次，其他Reading重要性不大。
以下是高顿教育冯老师对重要的Reading的考点进行了总结，以下内容建议考生们全部掌握。
★ Reading 57:Derivative Markets and Instruments（金融衍生品市场及工具）
金融衍生品的定义；
金融衍生品市场的分类及区别;
金融衍生品的分类；
金融衍生品的优缺点。
★ Reading 58:Basics of Derivative Pricing and Valuation（金融衍生品基本定价和估值原理）
金融衍生品定价的基本原理；
区别远期和期货合约的定价以及估值；
合约期初、期中、期末如何计算远期的价值，以及理解影响远期价值的因素；
解释期货和远期定价的异同；
解释互换和远期定价的不同；
欧式期权价值的计算以及影响因素；
欧式期权的平价公式、远期平价公式以及二叉树模型的理解；
美式期权与欧式期权定价的差异。
★ Reading 59:Risk Management Applications of Option Strategies（风险管理应用：期权策略）
看涨期权和看跌期权的到期价值、利润、小盈亏、盈亏平衡点的计算；
Covered call和protective put的到期价值、利润、小盈亏、盈亏平衡点的计算。
CFA衍生品练习题
"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.
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衍生品练习题＂Derivative＂Exercise:Spot exchange rate and forward exchange rate】的全部内容，如果你想学习更多CFA相关知识，欢迎大家前往
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