隨著國內逐漸開放衍生品市場，越來越需要有衍生品專業知識的人才。這部分的衍生品主要介紹衍生品的一些基本知識，包括衍生品的種類及市場區分，4大類衍生品的基本定價原理，以及簡單期權策略。
CFA一級考試的Derivatives（金融衍生品）具體的內容知識點包含1個study session，3個reading。
其中，Reading 57對衍生品市場進行了區別，并對4大類衍生品進行了基本定義；
Reading 58講衍生品的定價和估值的基本原理，并對4大類衍生品的基本定價做了介紹；
Reading 59對期權做了進一步分析，介紹兩種期權及兩種期權策略的應用。
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從考試的重要度來看，Reading 58、Reading 59是最重要的，Reading 57其次，其他Reading重要性不大。
以下是高頓教育馮老師對重要的Reading的考點進行了總結，以下內容建議考生們全部掌握。
★ Reading 57:Derivative Markets and Instruments（金融衍生品市場及工具）
金融衍生品的定義；
金融衍生品市場的分類及區別;
金融衍生品的分類；
金融衍生品的優缺點。
★ Reading 58:Basics of Derivative Pricing and Valuation（金融衍生品基本定價和估值原理）
金融衍生品定價的基本原理；
區別遠期和期貨合約的定價以及估值；
合約期初、期中、期末如何計算遠期的價值，以及理解影響遠期價值的因素；
解釋期貨和遠期定價的異同；
解釋互換和遠期定價的不同；
歐式期權價值的計算以及影響因素；
歐式期權的平價公式、遠期平價公式以及二叉樹模型的理解；
美式期權與歐式期權定價的差異。
★ Reading 59:Risk Management Applications of Option Strategies（風險管理應用：期權策略）
看漲期權和看跌期權的到期價值、利潤、小盈虧、盈虧平衡點的計算；
Covered call和protective put的到期價值、利潤、小盈虧、盈虧平衡點的計算。
CFACFA衍生品練習題CFA
"Derivative"Exercise:Swap

Questions 1:

Which of the following derivatives is least likely to be classified as a contingent claim?
A、A futures contract
B、A call option contract
C、A credit default swap
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【Answer to question 1】A
【analysis】
A is correct.A futures contract is classified as a forward commitment in which the buyer undertakes to purchase the underlying asset from the seller at a later date and at a price agreed on by the two parties when the contract is initiated.
B is incorrect.A call option contract is a contingent claim in which the buyer of the option has a right to purchase the underlying asset at a fixed price on or before a prespecified expiration date.
C is incorrect.A credit default swap is a contingent claim in which the credit protection seller provides protection to the credit protection buyer against the credit risk of a third party.
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Questions 2:

A corporation issues five-year fixed-rate bonds.Its treasurer expects interest rates to decline for all maturities for at least the next year.She enters into a one-year agreement with a bank to receive quarterly fixed-rate payments and to make payments based on floating rates benchmarked on three-month Libor.This agreement is best described as a:
A、futures contract.
B、forward contract.
C、swap.
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【Answer to question 2】C
【analysis】
C is correct.A swap is a series of forward payments.Specifically,a swap is an agreement between two parties to exchange a series of future cash flows.The corporation receives fixed interest rate payments and makes variable interest rate payments.Given that the contract is for one year and the floating rate is based on three-month Libor,at least four payments will be made during the year.
A is incorrect.A forward contract includes one payment only.The swap described has a series of four quarterly payments.
B is incorrect.The instrument described is a swap.
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