Instruments(金融工程-南開大學(xué),王小麓))

1、McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-1Chapter 2McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-2Major Classes of Financial Assets or SecuritiesnDebt- Money market instruments- BondsnCommon stocknPreferred st

2、ocknDerivative 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 Companies, Inc. All righ

3、ts reserved.2-4Money Market Instrumentsn Treasury billsn Certificates of depositn Commercial Papern Bankers Acceptancesn Eurodollarsn Repurchase Agreements (RPs) and Reverse RPsn Federal FundsMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-5Money Market Instr

4、ument 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 reserv

5、ed.2-6Bank Discount Rate (T-Bills)%890360000,10800, 9000,10800, 9:90:360000,10000,10rrbdbdPdayExamplenPRbd = 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 YieldnCan

6、t compare T-bill directly to bond:- 360 vs 365 days - Return is figured on par vs. 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-Bill%28. 80828.0556. 40204.903

7、65800, 9800, 9000,10:365000,10rrrBEYBEYBEYBillTSamplenPPMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-9Capital Market - Fixed Income InstrumentsnPublicly Issued Instruments- US Treasury Bonds and Notes- Agency Issues (Fed Gov)- Municipal BondsnPrivately Iss

8、ued Instruments- Corporate Bonds- Mortgage-Backed SecuritiesMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-10Capital Market - EquitynCommon stock- Residual claim- Limited liabilitynPreferred stock- Fixed dividends - limited- Priority over common- Tax treatme

9、ntMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-11Stock Indexesn Uses- Track average returns- Comparing performance of managers- Base of derivativesn Factors in constructing or using an Index- Representative?- Broad or narrow?- How is it constructed?McGraw-

10、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 CompositenNYSE CompositenWilshire 5000McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, In

11、c. 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-Hill Companies, Inc. All rights reserved.2-14Bond IndexesnLehman BrothersnMer

12、rill 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 (DJIA)- Market-value weighted (S&P500, NASDAQ)- Equally weighted (Val

13、ue 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%Arithmetic Average.10 + (-.05) + .2 / 3 = 8.33%Geo

14、metric 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 SecuritiesOptionsn Basic Positions- Call (Buy)- Put (Sell)n Terms- Exercise Price- Expiration Date- AssetsFutures n Basic Positions- Long (Buy)- Short

15、(Sell)n Terms- Delivery Date- AssetsMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-18Chapter 2McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-19Major Classes of Financial Assets or SecuritiesnDebt- Money market instru

16、ments- BondsnCommon stocknPreferred stocknDerivative securitiesMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-20Markets and InstrumentsnMoney Market- Debt Instruments- DerivativesnCapital Market- Bonds- Equity- DerivativesMcGraw-Hill/IrwinCopyright 2001 by T

17、he McGraw-Hill Companies, Inc. All rights reserved.2-21Money Market Instrumentsn Treasury billsn Certificates of depositn Commercial Papern Bankers Acceptancesn Eurodollarsn Repurchase Agreements (RPs) and Reverse RPsn Federal FundsMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. A

18、ll rights reserved.2-22Money Market 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 McGr

19、aw-Hill Companies, Inc. All rights reserved.2-23Bank Discount Rate (T-Bills)%890360000,10800, 9000,10800, 9:90:360000,10000,10rrbdbdPdayExamplenPRbd = bank discount rateP = market price of the billn = number of days to maturityMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All ri

20、ghts reserved.2-24Bond Equivalent YieldnCant compare T-bill directly to bond:- 360 vs 365 days - Return is figured on par vs. price paidnAdjust the bank discounted rate to make it comparable.McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-25Bond Equivalent Yi

21、eld: Sample T-Bill%28. 80828.0556. 40204.90365800, 9800, 9000,10:365000,10rrrBEYBEYBEYBillTSamplenPPMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-26Capital Market - Fixed Income InstrumentsnPublicly Issued Instruments- US Treasury Bonds and Notes- Agency Is

22、sues (Fed Gov)- Municipal BondsnPrivately Issued Instruments- Corporate Bonds- Mortgage-Backed SecuritiesMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-27Capital Market - EquitynCommon stock- Residual claim- Limited liabilitynPreferred stock- Fixed dividends

23、 - limited- Priority over common- Tax treatmentMcGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-28Stock Indexesn Uses- Track average returns- Comparing performance of managers- Base of derivativesn Factors in constructing or using an Index- Representative?- Br

24、oad or narrow?- How is it constructed?McGraw-Hill/IrwinCopyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-29Examples of Indexes - DomesticnDow Jones Industrial Average (30 Stocks)nStandard & Poors 500 CompositenNASDAQ CompositenNYSE CompositenWilshire 5000McGraw-Hill/IrwinCo

25、pyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.2-30Examples 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-Hill Companies, Inc. All rights reserved.2-31Bond IndexesnLehman BrothersnMerrill LynchnSalomon BrothersnSpecialized Indexes- Merrill Lynch MortgageMcGraw-Hill/Irwin