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17 Cards in this Set
- Front
- Back
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Exchange Traded Derivatives v/s Over the Counter (OTC)
5 Points |
Standardised term
no Credit Risk no High Customization Public Price Performance Gurantee through Maintenance Margin and daily market-to-market procedure |
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Difference between Forward and Futures
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Forwards and iliquied, unregulated and have credit Risk.
Realisation is done at the the Contract expiration, but in case of Future is done on daily basis. |
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What is contingent Claim ?
Examples ? |
Is a Perticular type of Derivative that Obligates a party to perform only if a certain condition is met.
Examples: - Options - Callable Bonds - Convertible Bonds - Asset-backed Securities |
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warum ist die payoff linie nicht linear?
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weil aud dem margin konto bekomt man eine zins und das andert sich dass payoff
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expiration date for a FRA?
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Expiration date for a FRA is the start date of the Forward rate agreement.
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Contingent claim?
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Special derivatives which oblige party to to perform only if a special condition is met like
options , callable bonds, convertible bonds, asset backed securities. |
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In how many ways financial derivatives can be used List 4?
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Market completeness, speculation , risk management and trading efficiency.
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conversion factor for a future contract ?
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CBOT has introduced a conversion factor.
price paid/ received = (current future price * conversion factor)+ accrued interest. (Page 48 future valuation) |
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Pricing diagram for future contract?
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Picture from I Phone (page 49 future valuation)
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Forward value valuation formula?
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Vt(0,T)= ( St - PV(D,t,T ) )
- F(0,T) / (1+r) ^ (T-t) |
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Forward price with continuous interes?
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F(0,T) = ( S * e ^ § T) * e ^ r T
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Question with continuos dividend yield from page 17 and 18 ?
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picture from IPhone
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Quesrtion on FRA from page 21 (Foraward valuation ) ?
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Picture from IPhone .
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Formula for currency foraward contract with continuos interest.?
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F (0,T) = S0 * e ^ ( r - r (Fc) ) * T
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Question 5 B on page 60 Don Chance?
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Picture on IPhone
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Question no. 14 page 69 Don chance?
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Picture on IPhone
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You have an Short-Forward aggrement at a Price. after some time if the Price falls, How can u realise the Profit on the Position ?
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You aggreed to pay price x at termination, when price decrease in the running time to new Price y.
you can make a long forward for Price y and at termination you can buy it for y (long -forward) and sell it for x(through short-forward) Profit = x-y. Profit can be realised today by borrow a money which has worth x-y at termination time T with risk free rate r. (x-y) / (1-r) ^T This is the Value formula for Forward. |
