Instruments(金融工程-南开大学,王小麓))vpe.pptx
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1、McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-1 Financial Marketsand InstrumentsChapter 2McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-2Major Classes of Financial Assets or SecuritiesnDebt-Money market instruments-Bond
2、snCommon stocknPreferred stocknDerivative securitiesMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-3Markets and InstrumentsnMoney Market-Debt Instruments-DerivativesnCapital Market-Bonds-Equity-DerivativesMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Comp
3、anies,Inc.All rights reserved.2-4Money Market InstrumentsnTreasury billsnCertificates of depositnCommercial PapernBankers AcceptancesnEurodollarsnRepurchase Agreements(RPs)and Reverse RPsnFederal FundsMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-5Money Marke
4、t Instrument YieldsnYields on Money Market Instruments are not always directly comparable.nFactors influencing yields.nPar value vs.investment valuen360 vs.365 days assumed in a year(366 leap year)nBond equivalent yieldMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reser
5、ved.2-6Bank Discount Rate(T-Bills)Rbd=bank discount rateP=market price of the billn=number of days to maturityMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-7Bond Equivalent YieldnCant compare T-bill directly to bond:-360 vs 365 days-Return is figured on par v
6、s.price paidnAdjust the bank discounted rate to make it comparable.McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-8Bond Equivalent Yield:Sample T-BillMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-9Capital Market-Fixed I
7、ncome InstrumentsnPublicly Issued Instruments-US Treasury Bonds and Notes-Agency Issues(Fed Gov)-Municipal BondsnPrivately Issued Instruments-Corporate Bonds-Mortgage-Backed SecuritiesMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-10Capital Market-EquitynCommo
8、n stock-Residual claim-Limited liabilitynPreferred stock-Fixed dividends-limited-Priority over common-Tax treatmentMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-11Stock IndexesnUses-Track average returns-Comparing performance of managers-Base of derivativesnF
9、actors in constructing or using an Index-Representative?-Broad or narrow?-How is it constructed?McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-12Examples of Indexes-DomesticnDow Jones Industrial Average(30 Stocks)nStandard&Poors 500 CompositenNASDAQ Compositen
10、NYSE CompositenWilshire 5000McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-13Examples of Indexes-IntlnNikkei 225&Nikkei 300nFTSE(Financial Times of London)nDaxnRegion and Country Indexes-EAFE-Far East-United KingdomMcGraw-Hill/IrwinCopyright 2001 by The McGraw
11、-Hill Companies,Inc.All rights reserved.2-14Bond IndexesnLehman BrothersnMerrill LynchnSalomon BrothersnSpecialized Indexes-Merrill Lynch MortgageMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-15Construction of IndexesnHow are stocks weighted?-Price weighted(D
12、JIA)-Market-value weighted(S&P500,NASDAQ)-Equally weighted(Value Line Index)nHow returns are averaged?-Arithmetic(DJIA and S&P500)-Geometric(Value Line Index)McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-16Averaging MethodsComponent ReturnA=10%B=(-5%)C=20%Ari
13、thmetic Average.10+(-.05)+.2/3=8.33%Geometric Average(1.1)(.95)(1.2)1/3-1=7.84%McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies,Inc.All rights reserved.2-17Derivatives SecuritiesOptionsnBasic Positions-Call(Buy)-Put(Sell)nTerms-Exercise Price-Expiration Date-AssetsFutures nBasic Position
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