Instruments(金融工程-南开大学,王小麓))

McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-1FinancialMarketsandInstrumentsChapter2McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-2MajorClassesofFinancialAssetsorSecuritiesDebt-Moneymarketinstruments-BondsCommonstockPreferredstockDerivativesecuritiesMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-3MarketsandInstrumentsMoneyMarket-DebtInstruments-DerivativesCapitalMarket-Bonds-Equity-DerivativesMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-4MoneyMarketInstrumentsTreasurybillsCertificatesofdepositCommercialPaperBankersAcceptancesEurodollarsRepurchaseAgreements(RPs)andReverseRPsFederalFundsMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-5MoneyMarketInstrumentYieldsYieldsonMoneyMarketInstrumentsarenotalwaysdirectlycomparable.Factorsinfluencingyields.Parvaluevs.investmentvalue360vs.365daysassumedinayear(366leapyear)BondequivalentyieldMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-6BankDiscountRate(T-Bills)%890360000,10800,9000,10800,9:90:360000,10000,10rrbdbdPdayExamplenPRbd=bankdiscountrateP=marketpriceofthebilln=numberofdaystomaturityMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-7BondEquivalentYieldCan’tcompareT-billdirectlytobond:-360vs365days-Returnisfiguredonparvs.pricepaidAdjustthebankdiscountedratetomakeitcomparable.McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-8BondEquivalentYield:SampleT-Bill%28.80828.0556.40204.90365800,9800,9000,10:365000,10rrrBEYBEYBEYBillTSamplenPPMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-9CapitalMarket-FixedIncomeInstrumentsPubliclyIssuedInstruments-USTreasuryBondsandNotes-AgencyIssues(FedGov)-MunicipalBondsPrivatelyIssuedInstruments-CorporateBonds-Mortgage-BackedSecuritiesMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-10CapitalMarket-EquityCommonstock-Residualclaim-LimitedliabilityPreferredstock-Fixeddividends-limited-Priorityovercommon-TaxtreatmentMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-11StockIndexesUses-Trackaveragereturns-Comparingperformanceofmanagers-BaseofderivativesFactorsinconstructingorusinganIndex-Representative?-Broadornarrow?-Howisitconstructed?McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-12ExamplesofIndexes-DomesticDowJonesIndustrialAverage(30Stocks)Standard&Poor’s500CompositeNASDAQCompositeNYSECompositeWilshire5000McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-13ExamplesofIndexes-Int’lNikkei225&Nikkei300FTSE(FinancialTimesofLondon)DaxRegionandCountryIndexes-EAFE-FarEast-UnitedKingdomMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-14BondIndexesLehmanBrothersMerrillLynchSalomonBrothersSpecializedIndexes-MerrillLynchMortgageMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-15ConstructionofIndexesHowarestocksweighted?-Priceweighted(DJIA)-Market-valueweighted(S&P500,NASDAQ)-Equallyweighted(ValueLineIndex)Howreturnsareaveraged?-Arithmetic(DJIAandS&P500)-Geometric(ValueLineIndex)McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-16AveragingMethodsComponentReturnA=10%B=(-5%)C=20%ArithmeticAverage[.10+(-.05)+.2]/3=8.33%GeometricAverage[(1.1)(.95)(1.2)]1/3-1=7.84%McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-17DerivativesSecuritiesOptionsBasicPositions-Call(Buy)-Put(Sell)Terms-ExercisePrice-ExpirationDate-AssetsFuturesBasicPositions-Long(Buy)-Short(Sell)Terms-DeliveryDate-AssetsMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-18FinancialMarketsandInstrumentsChapter2McGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-19MajorClassesofFinancialAssetsorSecuritiesDebt-Moneymarketinstruments-BondsCommonstockPreferredstockDerivativesecuritiesMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-20MarketsandInstrumentsMoneyMarket-DebtInstruments-DerivativesCapitalMarket-Bonds-Equity-DerivativesMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-21MoneyMarketInstrumentsTreasurybillsCertificatesofdepositCommercialPaperBankersAcceptancesEurodollarsRepurchaseAgreements(RPs)andReverseRPsFederalFundsMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-22MoneyMarketInstrumentYieldsYieldsonMoneyMarketInstrumentsarenotalwaysdirectlycomparable.Factorsinfluencingyields.Parvaluevs.investmentvalue360vs.365daysassumedinayear(366leapyear)BondequivalentyieldMcGraw-Hill/IrwinCopyright©2001byTheMcGraw-HillCompanies,Inc.Allrightsreserved.2-23BankDiscountRate(T-Bills)%890360000,10800,9000,10800,9:90:360