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1、Fixed Income Level Reading35:TheArbitrage-FreeValuationFrameworkValuationReading36:ValuationandAnalysis:BondswithEmbeddedOptionsInterestrateriskReading34:TheTermStructureandInterestRateDynamicsRjSkReading37:CreditAnalysisModelsCreditriskReading38:CreditDefaultSwapsArbitrage-freevaluation+ValuationBi
2、nomialInterestRateTreeMonteCarloSimulationCallable/putablebonds+Capped/flooredfloating-ratebonds*ConvertiblebondsReading35ArbitrageThelawofonepriceBondswithembeddedoptionValuation磅Callable/putablebondsValuationofoptionOASInterestrateriskReading36Cappedfloating-ratebondsDefinitionFkxredfloating-rateb
3、ondsCdPPed/flooredHoatingMdtebondsCappedfloating-ratebondsValuation卜/Flredfloating-ratebondsConvertiblebondConversionratioTerms三1il(PrkeValueConvertiblebondsConvertiblebondValuationCallableconvertiblebondPuttableconvertiblebondRisk-returncharacteristicsBenchfrarkRateSpotrateForwardrateYTMDefinitionS
4、wap spreadI-spreadInterest Rate RiskReading 34Yield Spread * Z-spreadTED spreadSwap rateLibor-OIS spreadAdvantagesTraditionaltermstructuremodelsTermStructureTheoriesModerntermstructuremodelsYieldcurvefactorYieldCurveRiskManagingyieldcurveriskYieldcurvevolatilityMeasuresofcreditriskCreditmodelsBasicc
5、onceptsCDS二(PriCingApplicationDefinition1.ongCDSShortCDSNotionala11xuntFeaturesCDSspreadCDScouponrateUpfrontpaymentBaskconceptsBankruptcyCrediteventsFailuretopayRestructuringSettlementPhysical SettJementCashsettlementTysSingle name CDS !*Reading 38CDSIndex CDS Upfront premiumPricing, CDS spread Adju
6、stmentofcreditexposureNakedCDSLong/short tradeManagingcreditexposure-ApplicationCurvetrade9BasistradeValuationdisparityArbitragetrade!Case1ThefollowinginformationrelatestoQuestions1-6CaidenJackson,aprivateentrepreneur,ispreparingforhispost-retirementinvestmentplan.Heplanstoobtainmoreinvestmentknowle
7、dgebytakingtheCFAexamandhealsohiresaseniorfinancialconsultantWesleySongtohelphim.JacksontellsSongthathehaspassedtheCFAlevelItwoyearsagoandwantstofinishtheuncompletedlevelsafterretirement.DuringstudyinglevelI,hefoundanunfamiliarconceptrisk-neutrality”whichwasonlyinvolvedinderivativespartandheignoredt
8、heconceptatthattime.Butnowhefindsthattheconceptisalsousedinthepartofthetraditionaltermstructuretheories.JacksonasksSongthatifthereisanyinvestmenttheorydoesnotinvolvethisconceptsincehethinksitisnotpracticallysignificant.SonganswersJackson,squestionandexplainshisopinionsabouttherisk-neutralconcept.Thr
9、oughhard-workingandwithSong,shelp,JacksonfinishedalllevelsofCFAexamthreeyearslaterandplanstoinvestinthefixedincomefieldbyhimselffirst.HecollectsthecurrentmarketinformationshowninExhibit1,Year1Year2Year3Year4Parrate(%)2.53.54.55.5Case1Accordingtohisanalysisandprediction,healsosummarizesabinomialtreeo
10、finterestrateinExhibit2.Year 1Year 2Year 3Year 42.5%2.9%3.6%4.6%2.7%3.3%4.2%3.0%3.8%3.4%Somedayslater,themarketpriceofthe3-yearannuallypaymentbondwiththecouponrateof4.5%revertstothepricethatJacksoncalculated.Thisresultstrengthenshisconfidenceintheinvestmentfield.Fivedayslater,hepurchasesanannuallypa
11、ymentcallablebondat$99.2.Theinformationforthebondaregivenbelow.iCase1TenorCouponpaymentProvisionBondA3year$4peryearCallableat$102inoneyearandtwoyearsfromtodayBecauseofthepreviouslysuccessfuljudgments,Jacksonwantstoexpandhisavailableinvestmentsetoffixed-incomeproducts.Recently,hehasintenseinterestsin
12、creditdefaultswaps(CDS).JacksonnoticesHiTechcompanyintheITindustryissufferedfromuncertaintyintheleadershiptransition.JacksonfindsthattheHi-Techcompanybondsyields4%andmaturesinthreeyears.TherelevantCDSontheHi-Techcompanybondhasa1.75%creditspread.JacksonforecaststhatthenewleaderfortheHi-Techcompanyisg
13、oingtoacquireatargetcompanybyissuingadditionaldebt.AftertheanalysisoftheHi-Techcompany,Jacksonlearnscollateralizeddebtobligation(CDO)throughafinancialproseminar.JacksonseeksadvicefromSongaboutCDO.SongrespondsthatCDOcanbecreatedbycollectingapoolofdefault-freebondsandundertakingasaprotectionsellerinCD
14、S.1.WhichoneofthefollowingtheoriesismostsuitableforJackson,srequirement?A.UnbiasedexpectationtheoryB.LocalexpectationtheoryC1Preferredhabitattheory2.AccordingtotheExhibit1,thespotrateofyear4isclosesttoA.5.65%B.5.61%C.6.68%3.AccordingtotheExhibits1and2ifthepriceofa3-yearannuallystraightbondisatpar,th
15、eintrinsicvalueofa3-yearbondisclosestto?A.104.66768B.102.77452C.103.265474.AccordingtoExhibits2and3,theoptioncostofthecallablebondisclosestto:A.0.03B.0.05C.0.07A-SnO(Dup=nusPUoqAUEdlUOORLJHUoSaO=DSPUEPUoqAUPdiU0。qoH,Hfq二一UsU?Sno(usUIISPUoqAUPdul0。qalIHUosuAnqPUPPUoqAUPdIU0。qoHHUq二IUSPQA-SnousUJ-SPUo
16、qAUBduIo。IPgUHUosuAnqPUEPUoqAUBduJo。05-AnqUSjSJ(Dc-PUPWd一。ucdJo.J0ydIUgUIAPd2Ooq=MJ。JJOJ三SIgqCoNSSgOOJdSlSA-BUBI-P巴。Oouq=MJEJoq三SIoqONotooscQ3CoiPjPMgJm-UOJUISlqCoNw留A一号JJoO-UPoIUWJnIurulsUqlUoluIUgEISoJSlEI-Jq三三Sl三S2q-qMiuoSIM三JPJ=P2。-ocSICoN.0.JgMOJJOqIgluulodEJoSUBUUOJJgdJSEdUqlUOPUSPqSIC三gsnpugq
17、J。-UOJ三SIqCoNw留A.djugjjo。MUPEJEPgJOUqlUo-5srtSCqdOSOfSIT-15.AccordingtotheExhibits1and2,theZ-spreadofbondAisclosestto:A.30basispointB.40basispointC.50basispoint16.AccordingtotheExhibits3and4,thefairlyestimatedpriceofthefloating-ratebondBisclosestto:A.99.19B.100.00C.10l.2517.AccordingtotheExhibits3and4,thecostofdownsideprotectionfortheinterestrateisclosestto:A.2.91B.0.95C.0.8118.Basedontheconsultantsstatement,whichoneofthefollowingbondsismostlikelyinvested?A.Thecappedfloating-ratebondB.Theflooredfloating-ratebondC.Thefloating-ratebond
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