V-Derivatives-3

Question 1

Derivatives 分类

1. Contract feature分类2
2. trading place分类2

Answer 1

1. forward commitment: forward, swap, futures

contingent claim: option, CDS

2. exchange-traded: futures, option

OTC: forward, swap, option

Question 2

对于liquidity的理解

3

Answer 2

1. 通常认为exchange流动性更强，但有时OTC也可以更具有流动性
2. OTC forward，如果对同一交易对手反向操作offsetting实现交易日前出手，则很有流动性
3. liquidity: focus on trading interest

Question 3

Forward features

two Zs

Future featues

1. Z
2. price

Answer 3

1. zero-sum game
2. initially zero value. (later into time, value will deviate. 3月后3.5元买入的合约，临近交割日时spot price接近4元，则合约的value即0.5)
3. 由于mark to market,每日结算，结算后变得没有value
4. futures price converges to spot priceat expiration

体会price/ value的区别

Question 4

Futures

三大机制解决credit risk

（详细说明）

Answer 4

1. margin: initial, maintain, variable (initial - current balance)
2. mark to market (daily settlement)
3. daily price limit: locked limit (限定每日trading band，交易价格高于或低于时，交易停止)

Question 5

futures margin/ equity margin

区别-从以下角度

1. interest
2. replenish margin

Answer 5

1. futures: no borrow, no interest
   equity: borrow money from exchange, loan interest
2. futures: to IM
   equity: to MM

Question 7

【option】

1. in the money/ at/ out of
2. option value 三联等式
3. intrinsic value of call/put
4. at expiration, option value=

Answer 7

1. ITM: positive payoff (如：exercize price=5, current underlying = 8) 一行权能赚钱

ATM: breakeven， OTM：行权不赚钱

2. option value = option premium = intrinsic value + time value (time value距离合约终止日期越远，认为赚钱机会越多，time value越大)
3. call: max[0, S-X]
   put: max [0, X-S]
4. opt value=intrinsic value

Question 8

【option】

1. long call: 图形、盈亏
2. long put: 图形，盈亏
3. short call: 图形，盈亏
4. short put: 图形，盈亏
5. which option is like insurance?

Answer 8

1. long call: max loss=premium, unlimited gain
2. long put: max loss=premium, max gain=X
3. short call: max gain=premium,unlimited loss
4. short put: max gain=premium, max loss=X
5. long put: 资产表现差，就会得到补偿。如果表现好，就当交了一笔保险

Question 9

【credit derivatives】介绍

1. total return swap
2. credit spread option
3. credit-linked note
4. CDS: credit default swap

Answer 9

1. 将债权所有收益passover给对手方。对手方给你固定CF。这样一旦债权违约，可确保自身
2. credit spread超过一定程度可行权
3. 持有可能违约的债权，以此为underlying发行CLN，如果债权违约，CLNprinciple也无法支付（但自身资金得到保证）
4. 固定交一笔保险费。

Question 10

【underlyings】

1. equity: 最常见衍生品
2. fixed-income & interest rate
3. currency
4. commodities

Answer 10

1. options
2. interest rate: the most widely used derivatives
3. 同时有currency exchange & interest 两种risk
4. 最早的futures

Question 11

【derivatives valuation basics】

估值基本做法三部曲

Answer 11

1. 用一个underlying和一个derivatives构建一个hedge portfolio，可以完全eliminate risk
2. this combination should earn risk-free rate，使得portfolio获得rfr的derivatives价格即是
3. law of one price一价法则是基础。如偏离，套利会使价格恢复一价