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FRM®一级金融市场与金融产品备考公式
文章来源：网络
发布时间：2021-12-08 15:59
阅读：766次
本文讲述FRM®一级第三部分金融市场与金融产品
Financial Markets and Products
Treasury Bond Futures
In a T-bond futures contract, any government bond with more than 15 years to maturity on the first of the delivery month (and not callable within 15 years) is deliverable on the contract. The procedure to determine which bond is the cheapest-to-deliver (CTD) is as follows:
cash received by the short = (QFP × CF) + AI
cost to purchase bond = QBP + AI
where:
QFP = quoted futures price
CF = conversion factor
QBP = quoted bond price
AI = accrued interest
The CTD is the bond that minimizes the following: QBP – (QFP × CF). This formula calculates the cost of delivering the bond.【点击免费下载>>>更多FRM学习相关资料】
Duration-Based Hedge Ratio
The objective of a duration-based hedge is to create a combined position that does not change in value when yields change by a small amount.
Interest Rate Swaps
Plain vanilla interest rate swap: exchanges fixed for floating-rate payments over the life of the swap. At inception, the value of the swap is zero. After inception, the value of the swap is the difference between the present value of the remaining fixedand floating-rate payments:
Currency Swaps
Exchanges payments in two different currencies (XXX and YYY); payments can be fixed or floating. If a swap has a positive value to one counterparty, that party is exposed to credit risk.
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