By Don M. Chance
Research of Derivatives for the CFA® software introduces scholars and practitioners to a realistic hazard administration method of derivatives. The textbook captures present perform and displays what the final funding practitioner must find out about derivatives. It doesn't easily carry a proof of assorted derivatives tools and positions yet presents motivation for each derivatives place by way of explaining what the executive desires to accomplish sooner than addressing the main points of the location.
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Source: Risk,September 2002, pp. 30-67 for banks and investment banking dealer respondents, and June 2002, pp. The end user survey provides responses from corporations and asset managers. The above results are for corporate respondents only. 3 TYPES O F FORWARD CONTRACTS In this section, we examine the types of forward contracts that fall within the scope of this book. By the word "types," we mean the underlying asset groups on which these forward contracts are created. Because the CFA Program focuses on the asset management industry, our primary interest is in equity, interest rate and fixed-income, and currency forwards.
A forward contract might be constructed that would call for delivery of a 90-day T-bill in 60 days. 9895. Later in this chapter, we shall see how forward prices of T-bills are derived. In addition to forward contracts on zero-coupon bonds~T-bills,we shall consider forward contracts on default-free coupon-bearing bonds, also called Treasury bonds in the United States. These instruments pay interest, typically in semiannual installments, and can sell for more (less) than par value if the yield is lower (higher) than the coupon rate.
This type of problem illustrates the credit risk in a forward contract. We shall cover credit risk in more detail in Section 5 of this chapter and in Chapter 9. To avoid the credit risk, when she re-enters the market to go short the forward contract, she could contact the same counterparty with whom she engaged in the long forward 28 Chapter 2 Forward Markets and Contracts contract. They could agree to cancel both contracts. Because she would be owed $2 at expiration, cancellation of the contract would result in the counterparty paying her the present value of $2.
Analysis of Derivatives for the CFA Program by Don M. Chance