您必须关注的CFA一级知识点大剖析 - Derivatives
1. A trader enters into a short position of 20 futures contracts at an initial futures price $ 85.00. Initial margin, per contract, is $7.50. Maintenance margin, per contract, is $7.00. Each contract is for one unit of the underlying asset. Over the next three days, the contract settles at $86.00, $84.25, $85.5, his/her margin account during the period, but does post variation margin sufficient to meet any maintenance margin calls, the balance in the margin account will be：
A. $150.00 at initiation and $140.00 at settlement on day 3
B. $150.00 at initiation and $150.00 at settlement on day 3
C. $150.00 at initiation and $160.00 at settlement on day 3
Correct answer = C
当遇到MARGIN CALL时，应该回复到initial margin，该题正确解题过程应该是initial margin=20*7.5=150dollar，
第一天损失（86-85）*20=20dollar，第一天末余额为130，需要存入20dollar，余额为150
第二天收益（８６-８４.２５）*２０＝３５dollar第二天末余额为１８５dollar
第三天损失（８５.５-８４.２５）*20=２５dollar第三天末余额为160dollar
2. 四种利率衍生产品
第一种：FRAs
1) 基础资产：LIBOR
2) Descriptive Notation: 比如The term (maturity) of a forward rate agreement is 90 days and the underlying rate is 180-day LIBOR.——Descriptive Notation 是3*9。
3) FRA到期日结算金的计算：
[名义本金×(市场LIBOR – FRA rate)×(贷款期限/360)]/[1+市场LIBOR×(贷款期限/360)]
第二种：Short-Term Interest Rate Futures
1) T-bill futures:
- 基础资产：90-day $1,000,000 U.S. Treasury bill
- 报价方式：报的是折价率，如5%，那么T-bill futures的价格是$1,000,000*[1 – 5%*(90/360)]
2) Eurodollar futures
- 基础资产：90天的欧洲美元存款（这是一种短期存款，价值和利率是负相关关系）
- 多头方何时获利：当LIBOR下降时，欧洲美元短期存款的价值上升，此时对long方是好事，即long方获利。
- 报价方式：1) IMM Index 2) Each basis point (0.01%) move for both futures is equivalent to $25.
Example:
Q1. The IMM index price in yesterday’s newspaper for a September Eurodollar futures contract is 95.23. What is the actual price of this contract?
Rate= 100-95.23=4.77
Actual price: 1,000,000*(1-rate*(90/360)) = 988,075
Q2. The IMM index price in today’s newspaper for the contract mentioned above is 95.25. How much is the change in the actual futures price of the contract since the previous day?
New Rate= 100-95.25=4.75
New Rate- Rate=-2 basis points
The change: 2*$25=$50
第三种：Interest Rate Options
1) 基础资产：利率。利率上升，call option的long方是盈利的， put option的long方是亏损的。
2) 和FRA的关系：FRA=long interest rate call option + short interest rate put option
3) Expiration Date和Settlement date是不同的，而且在到期日如果Libor>X（对于Call）时，才会执行。
第四种：Interest Rate Swaps
1) 定义：固定利率和浮动利率的交换
2) 特点：1）期初本金不交换；2）中间利息交换的是净值（netting）；3）期末本金也不交换。
3) 结算金：
4) (Net fixed-rate payment)t=(notional principal)(swap fixed rate – LIBORt-1) (number of days/360)
5) 注意：1）上述公式是pay fixed rate一方的payment。2）用到的浮动利率是上一期的LIBOR，而不是本期的LIBOR。
？它们有什么样的关系
1. 当利率上升时，FRA的long方是盈利的，但是T-bill futures & Eurodollar futures的long方是亏损的。
2. FRA=long interest rate call option + short interest rate put option
3. Interest rate swaps是一系列的FRA。
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