E-Book Content
Contents 1. Learning Outcome Statements (LOS) 2. Reading 32: The Term Structure and Interest Rate Dynamics 1. Exam Focus 2. Module 32.1: Spot and Forward Rates, Part 1 3. Module 32.2: Spot and Forward Rates, Part 2 4. Module 32.3: The Swap Rate Curve 5. Module 32.4: Spread Measures 6. Module 32.5: Term Structure Theory 7. Module 32.6: Interest Rate Models 8. Key Concepts 9. Answer Key for Module Quizzes 3. Reading 33: The Arbitrage-Free Valuation Framework 1. Exam Focus 2. Module 33.1: Binomial Trees, Part 1 3. Module 33.2: Binomial Trees, Part 2 4. Key Concepts 5. Answer Key for Module Quizzes 4. Reading 34: Valuation and Analysis of Bonds With Embedded Options 1. Exam Focus 2. Module 34.1: Types of Embedded Options 3. Module 34.2: Valuing Bonds With Embedded Options, Part 1 4. Module 34.3: Valuing Bonds With Embedded Options, Part 2 5. Module 34.4: Option-Adjusted Spread 6. Module 34.5: Duration 7. Module 34.6: Key Rate Duration 8. Module 34.7: Capped and Floored Floaters 9. Module 34.8: Convertible Bonds 10. Key Concepts 11. Answer Key for Module Quizzes 5. Reading 35:Credit Analysis Models 1. Exam Focus 2. Module 35.1: Credit Risk Measures 3. Module 35.2: Analysis of Credit Risk 4. Module 35.3: Credit Scores and Credit Ratings 5. Module 35.4: Structural and Reduced Form Models 6. Module 35.5: Credit Spread Analysis 7. Module 35.6: Credit Spread 8. Module 35.7: Credit Analysis of Securitized Debt 9. Key Concepts 10. Answer Key for Module Quizzes 6. Reading 36: Credit Default Swaps 1. Exam Focus 2. Module 36.1: CDS Features and Terms 3. Module 36.2: Factors Affecting CDS Pricing 4. Module 36.3: CDS Usage 5. Key Concepts 6. Answer Key for Module Quiz 7. Topic Assessment Answers: Fixed Income 8. Topic Assessment: Fixed Income 9. Reading 37: Pricing and Valuation of Forward Commitments 1. Exam Focus 2. Module 37.1: Pricing and Valuation Concepts 3. Module 37.2: Pricing and Valuation of Equity Forwards 4. Module 37.3: Pricing and Valuation of Fixed Income Forwards 5. Module 37.4: Pricing Forward Rate Agreements 6. Module 37.5: Valuation of Forward Rate Agreements 7. Module 37.6: Pricing and Valuation of Currency Contracts 8. Module 37.7: Pricing and Valuation of Interest Rate Swaps 9. Module 37.8: Currency Swaps 10. Module 37.9: Equity Swaps 11. Key Concepts 12. Answer Key for Module Quizzes 10. Reading 38: Valuation of Contingent Claims 1. Exam Focus 2. Module 38.1: The Binomial Model 3. Module 38.2: Two Period Binomial Model and Put-Call Parity 4. Module 38.3: American Options 5. Module 38.4: Hedge Ratio 6. Module 38.5: Interest Rate Options 7. Module 38.6: Black-Scholes-Merton and Swaptions 8. Module 38.7: Option Greeks and Dynamic Hedging 9. Key Concepts 10. Answer Key for Module Quizzes 11. Topic Assessment: Derivatives 12. Topic Assessment Answers: Derivatives 13. Formulas 14. Copyright List of Pages 1. 2. 3. 4. 5. 6. 7. 8. 9. 10. 11. 12. 13. 14. 15. 16. 17. 18. 19. 20. 21. 22. 23. 24. 25. 26. 27. 28. 29. 30. 31. 32. 33. 34. 35. 36. 37. 38. 39. 40. 41. 42. 43. 44. 45. 46. 47. vi vii viii ix 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 33 34 35 36 37 38 39 40 41 42 43 44 48. 49. 50. 51. 52. 53. 54. 55. 56. 57. 58. 59. 60. 61. 62. 63. 64. 65. 66. 67. 68. 69. 70. 71. 72. 73. 74. 75. 76. 77. 78. 79. 80. 81. 82. 83. 84. 85. 86. 87. 88. 89. 90. 91. 92. 93. 94. 95. 96. 97. 98. 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 91 92 93 94 95 96 99. 100. 101. 102. 103. 104. 105. 106. 107. 108. 109. 110. 111. 112. 113. 114. 115. 116. 117. 118. 119. 120. 121. 122. 123. 124. 125. 126. 127. 128. 129. 130. 131. 132. 133. 134. 135. 136. 137. 138. 139. 140. 141. 142. 143. 144. 145. 146. 147. 148. 149. 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 1