FRM一级 金融市场与产品（阅读版）.docx

该【FRM一级 金融市场与产品（阅读版） 】是由【经管专家】上传分享，文档一共【301】页，该文档可以免费在线阅读，需要了解更多关于【FRM一级 金融市场与产品（阅读版） 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。FinancialMarketsandProductsFRM一级培训讲义-基础班TopicWeightingsinFRMPartⅠ-303Framework??BondMarket??InterestRatesTreasuryMarketandCorporateBondDerivativesMarket????IntroductionofDerivativesMarketForwardandFuturesSwapsOptionsMarkets??MBSFinancialInstitutionsBank???InsuranceFundManagement4-303BondMarketTopic1:-303MarketRate?CommonMarketRatelüü-freeratesinthesensethatitisconsideredhighlyunlikelythatthegovernmentofadevelopedcountrywilldefaultondebtissuedinitsowncurrency。lüüSOFRThereareplanstobeginphasingoutLiborandreplaceitwitharatebasedonactualtransactions。-basedSecuredOvernightFinancingRate(SOFR)6-303MarketRate??CommonMarketRatelüRepoRatesInarepurchaseagreement,thedifferencebetweensellingprice(today)andtherepurchasedprice(tomorroworlater)-FreeRatelTherisk-,becauseitisusuallyartificiallylow,mainlyduetothefollowingtworeasons:üü(suchastheUnitedStates),-303Compounding?(mperannum)=PV1+FV=PVeCm1Tm2TmTR1m1R2m2RPV1+m=PVeRTCPV1+=PV1+m8-303SpotRateandForwardRate?SpotRatelAt-periodspotrate,orzerorate,ü:,%,%,%respectively,the2yearzerorateofa2yearbondwithaparvalueofü$100andamarketvalueof$(semi-annual)couponattherateof2%peryearcanbecalculatedasfollows:1111011+R/24+++=+++-303SpotRateandForwardRatelForwardratesü(T?T)T21+R11+F=1+R221RT?RT2211RT×eFT2?T1=eR2T2→F=e11T2?T1?ParRatelLet',,,thevalueofthebondisexactlyequaltotheparvalue,-%.00%.00%.00%.00%.00%.00%.00%Maturity(year)%%%%%%%%%%%%%%(year)%,%21+1+=1+,1=%11-303