更多服务

特色服务

找学习资源

查报考信息

看备考资讯

备考工具箱

报考指南

报名入口

报名流程

考试动态

考试日历

备考指南

资料中心

福利政策

免费题库

全部

2014年12月CFA一级考试大纲（十七）

来源：高顿网校 2014-05-07

　　Derivatives

　　Derivatives-financial instruments that derive their value from the value of some underlying asset-have become increasingly important and fundamental in effectively managing financial risk and creating synthetic exposures to asset classes. As in other security markets, arbitrage and market efficiency play a critical role in establishing prices.

　　This study session builds the conceptual framework for understanding the basic derivatives (forwards, futures, options, and swaps), derivative markets, and the use of options in risk management.

　　READING ASSIGNMENTS

　　Reading 57 Derivative Markets and Instruments Analysis of Derivatives for the Chartered Financial Analyst Program, by Don M. Chance, CFA

　　Reading 58 Forward Markets and Contracts Analysis of Derivatives for the Chartered Financial Analyst Program, by Don M. Chance, CFA

　　Reading 59 Futures Markets and Contracts Analysis of Derivatives for the Chartered Financial Analyst Program, by Don M. Chance, CFA

　　Reading 60 Option Markets and Contracts Analysis of Derivatives for the Chartered Financial Analyst Program,by Don M. Chance, CFA

　　Reading 61 Swap Markets and Contracts Analysis of Derivatives for the Chartered Financial Analyst Program, by Don M. Chance, CFA

　　Reading 62 Risk Management Applications of Option Strategies Analysis of Derivatives for the Chartered Financial Analyst Program,by Don M. Chance, CFA

　　LEARNING OUTCOMES

　　READING 57. DERIVATIVE MARKETS AND INSTRUMENTS

　　The candidate should be able to:

　　a define a derivative, and distinguish between exchange-traded and over-the-counter derivatives;

　　b contrast forward commitments with contingent claims;

　　c define forward contracts, futures contracts, options (calls and puts), swaps, and credit derivatives, and compare their basic characteristics;

　　d describe purposes of, and controversies related to, derivative markets;

　　e explain arbitrage and the role it plays in determining prices and promoting mar?ket efficiency.

　　READING 58. FORWARD MARKETS AND CONTRACTS

　　The candidate should be able to:

　　a explain delivery/settlement and default risk for both long and short positions in a forward contract;

　　b describe the procedures for settling a forward contract at expiration, and how termination prior to expiration can affect credit risk;

　　c distinguish between a dealer and an end user of a forward contract;

　　d describe characteristics of equity forward contracts and forward contracts on zero-coupon and coupon bonds;

　　e describe characteristics of the Eurodollar time deposit market, and define LIBOR and Euribor;

　　f describe forward rate agreements (FRAs) and calculate the gain/loss on a FRA;

　　g calculate and interpret the payoff of a FRA and explain each of the component terms of the payoff formula;

　　h describe characteristics of currency forward contracts.

　　READING 59. FUTURES MARKETS AND CONTRACTS

　　The candidate should be able to:

　　a describe the characteristics of futures contracts;

　　b compare futures contracts and forward contracts;

　　c distinguish between margin in the securities markets and margin in the futures markets, and explain the role of initial margin, maintenance margin, variation margin, and settlement in futures trading;

　　d describe price limits and the process of marking to market, and calculate and interpret the margin balance, given the previous day’s balance and the change in the futures price;

　　e describe how a futures contract can be terminated at or prior to expiration;

　　f describe characteristics of the following types of futures contracts: Treasury bill, Eurodollar, Treasury bond, stock index, and currency.

　　READING 60. OPTION MARKETS AND CONTRACTS

　　The candidate should be able to:

　　a describe call and put options;

　　b distinguish between European and American options;

　　c define the concept of moneyness of an option;

　　d compare exchange-traded options and over-the-counter options;

　　e identify the types of options in terms of the underlying instruments;

　　f compare interest rate options with forward rate agreements (FRAs);

　　g define interest rate caps, floors, and collars;

　　h calculate and interpret option payoffs and explain how interest rate options differ from other types of options;

　　i define intrinsic value and time value, and explain their relationship;

　　j determine the minimum and maximum values of European options and American options;

　　k calculate and interpret the lowest prices of European and American calls and puts based on the rules for minimum values and lower bounds;

　　l explain how option prices are affected by the exercise price and the time to expiration;

　　m explain put-call parity for European options, and explain how put-call parity is related to arbitrage and the construction of synthetic options;

　　n explain how cash flows on the underlying asset affect put-call parity and the lower bounds of option prices;

　　o determine the directional effect of an interest rate change or volatility change on an option’s price.

　　READING 61. SWAP MARKETS AND CONTRACTS

　　The candidate should be able to:

　　a describe characteristics of swap contracts and explain how swaps are terminated;

　　b describe, calculate, and interpret the payments of currency swaps, plain vanilla interest rate swaps, and equity swaps.

　　READING 62. RISK MANAGEMENT APPLICATIONS OF OPTION STRATEGIES

　　The candidate should be able to:

　　a determine the value at expiration, the profit, maximum profit, maximum loss, breakeven underlying price at expiration, and payoff graph of the strategies of buying and selling calls and puts and determine the potential outcomes for investors using these strategies;

　　b determine the value at expiration, profit, maximum profit, maximum loss, breakeven underlying price at expiration, and payoff graph of a covered call strategy and a protective put strategy, and explain the risk management applica?tion of each strategy.

　　扫一扫微信，*9时间获取2014年CFA考试报名时间和考试时间提醒

　　高顿网校特别提醒：已经报名2014年CFA考试的考生可按照复习计划有效进行！另外，高顿网校2014年CFA考试辅导高清网络课程已经开通，通过针对性地讲解、训练、答疑、模考，对学习过程进行全程跟踪、分析、指导，可以帮助考生全面提升备考效果。

　　报考指南：2014年CFA考试备考指南
　　免费题库：2014年CFA免费题库
　　考前冲刺：CFA备考秘籍
　　高清网课：CFA考试网络课程　　

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线

点一下领资料

【超详细保姆教程】CFA考试真题

真题高频考点，刷题全靠这份资料

下载合集

CFA报考指南

梳理核心考点，一图看懂全部章节

下载合集

CFA-L1-考纲-2023

全科备考学习打卡表,备考按照计划走

cfa备考热门问题解答

cfa证书就业岗位有哪些？: cfa考完后可以从事的工作包括公司会计、基金经理助理、投资管理师、股票研究分析师、基金分析师、投资产品分析师、券商助理分析师、交易员等。在全球范围内，cfa会员的雇主包括了摩根大通、汇丰银行等机构。

cfa考试内容有哪些？: cfa考试分为三个等级，cfa一级和二级考试科目包括《职业伦理道德》、《定量分析》、《经济学》、《财务报表分析》、《公司理财》、《投资组合管理》、《权益投资》、《固定收益投资》、《衍生品投资》、《其他类投资》。cfa三级考试科目包括《经济学》、《投资组合管理》、《权益投资》、《职业伦理道德》、《固定收益投资》、《其他类投资》、《衍生工具》。

cfa一年考几次？: cfa每年考试的次数每个级别均有不同，其中CFA一级考试每年设置四次，CFA二级考试每年设置三次，CFA三级考试每年设置两次。需注意，协会规定考生必须要按照CFA考试的三个级别，依次进行报考，且报考两个级别考试的窗口之前需至少间隔6个月。

cfa的含金量如何？: CFA证书全称Chartered Financial Analyst（特许注册金融分析师），是全球投资业里最为严格与高含金量资格认证，为全球投资业在道德操守、专业标准及知识体系等方面设立了规范与标准，具有较高的知名度和影响力。英国的国际学术认证中心，还将持有CFA证书视为拥有硕士学历水平，能让想进修的金融专业人士，充分学习等同于金融硕士的知识课程。此外，人民日报三年内连续四次推荐CFA证书！因此，无论是从国际知名度还是国内知名度来说，CFA资格认证的含金量和认可度都是非常高的。

在线提问

严选名师全流程服务

陈一磊

高顿CFA研究院主任