《金融資產(chǎn)評估雙語》課程教學大綱

《金融資產(chǎn)評估（雙語）》課程教學大綱一、課程基本信息課程代碼：課程名稱：金融資產(chǎn)評估（雙語）英文名稱：Financialassetappraisal課程類別：專業(yè)課學時：48學分：3適用對象：資產(chǎn)評估專業(yè)考核方式：考試先修課程：資產(chǎn)評估概論、微觀經(jīng)濟學、宏觀經(jīng)濟學二、課程簡介《金融資產(chǎn)評估（雙語）》是普通高等學校資產(chǎn)評估專業(yè)本科生專業(yè)必修課程，屬于資產(chǎn)評估專業(yè)核心課程之一。課程主要介紹金融市場中主要的金融機構及其業(yè)務，金融市場交易機制，債務工具和期貨、遠期、期權、互換等金融衍生工具的基本原理、作用、定價理論與方法等內(nèi)容，幫助學生認識和了解金融機構，理解金融市場中的交易機制，熟悉現(xiàn)代金融工具及其風險構成，掌握債務工具與金融衍生品的相關定價理論與方法，能夠合理運用相關估價理論與方法開展資產(chǎn)評估工作，具備獨立閱讀金融相關英文文獻的基本能力，以及從事金融資產(chǎn)評估和其他相關金融類職業(yè)的基本技能與素質(zhì)。三、課程性質(zhì)與教學目的《金融資產(chǎn)評估（雙語）》是資產(chǎn)評估專業(yè)本科生的專業(yè)必修課程，采用中英雙語教學方式。通過本課程學習，要求學生了解主要金融機構及其業(yè)務類型，理解金融市場的交易機制，熟悉金融工具的基本原理及其風險構成，掌握金融相關英文專業(yè)術語及其含義，掌握金融資產(chǎn)價值評估與分析的相關理論與方法，包括債務工具與金融衍生品的定價原理與具體方法，能夠在實踐中合理利用金融資產(chǎn)評估理論與方法評定金融工具的價值。專業(yè)課程思政教育融入是培養(yǎng)中國特色社會主義事業(yè)合格建設者和可靠接班人，落實立德樹人根本任務的重要渠道，是進行社會主義核心價值觀教育、幫助大學生樹立正確世界觀人生觀價值觀的重要方式。在金融資產(chǎn)評估課程思政教學實踐中，充分考慮本科生的知識結構、理論水平和應用能力要求，按照教育部頒布的《高等學校課程思政建設指導綱要》，從誠信品質(zhì)、職業(yè)道德、責任意識、敬業(yè)精神、社會責任等方面，將金融資產(chǎn)評估理論知識與思想政治教育相結合，著重培育學生經(jīng)世濟民、誠信服務、德法兼修的職業(yè)素養(yǎng)。在授課方式上，堅持與時俱進，開拓視野，激發(fā)學生的學習興趣，培養(yǎng)多元能力，樹立誠信意識，增強愛國意識，堅定道路自信與制度自信，做德才兼?zhèn)涞膬?yōu)秀人才。四、教學內(nèi)容及要求第1章Introduction（一）目的與要求WhatafinancialassetisThedistinctionbetweenadebtinstrumentandanequityinstrumentThegeneralprinciplesfordeterminingthepriceofafinancialassetTenpropertiesoffinancialassetsTheprincipaleconomicfunctionsoffinancialassetsWhatafinancialmarketisandtheprincipaleconomicfunctionsitperformsThedifferentwaystoclassifyfinancialmarketsWhatismeantbyaderivativeinstrumentThereasonsfortheglobalizationoffinancialmarketsWhatismeantbyanassetclass通過金融資產(chǎn)概念、金融資產(chǎn)定價基本原理與金融市場全球化等講解，融入“愛國、法治、敬業(yè)、誠信”社會主義核心價值觀，幫助學生增強愛國主義情懷，樹立守法合規(guī)、誠實守信的正確價值觀，提升敬業(yè)精神和誠信評估意識。（二）教學內(nèi)容第1節(jié)FinancialAssets1.主要內(nèi)容FinancialassetsDebtversusEquityClaimsTheValueofaFinancialAssetEstimatingTheCashFlowThreereasonswhycashflowofotherdebtinstrumentsisnotknownTheAppropriateInterestRateForDiscountingTheCashFlowProcessforValuingaFinancialAsset結合“法治、誠信”社會主義核心價值觀分析金融資產(chǎn)定價基本原則與步驟，合理合規(guī)確定各定價要素，樹立責任意識，誠信評估，愛崗敬業(yè)。TheRoleofFinancialAssets結合金融資產(chǎn)與實物資產(chǎn)的關系，闡明金融的主要功能還是要為實體經(jīng)濟服務的。金融雖然追求的是高收益、高凈值的投資獲利，但金融的本質(zhì)還是要為實體經(jīng)濟的穩(wěn)健發(fā)展提供資金保障，還是要落實到國家建設與發(fā)展大計上來。PropertiesofFinancialAssets2.基本概念和知識點AssetTangibleassetIntangibleassetsIssuerInvestorDebtInstrumentEquityClaim(residualclaim)FixedIncomeInstrumentsFundamentalPrincipleofValuationRiskMoneynessDivisibilityanddenominationReversibilityTermtomaturityLiquidity ConvertibilityCurrencyCashflowandreturnpredictabilityComplexityTaxstatus3.問題與應用（能力要求）What’sdifferencebetweenafinancialassetandatangibleasset?What’sdifferencebetweentheclaimsofadebtholderofFordMotorCorporationandacommonstockholderofthat?Whatfactorsaffecttheinterestrateusedtodiscountthecashflowexpectedfromafinancialasset?第2節(jié)FinancialMarkets1.主要內(nèi)容TheRoleofFinancialMarketsClassificationofFinancialMarketsGlobalizationofFinancialMarketsInstitutionalizationoffinancialmarketsClassificationofGlobalFinancialMarkets結合“愛國、法治”社會主義核心價值觀分析金融市場全球化，理性辯證看待金融全球化，增強愛國主義情懷，堅定道路自信與制度自信。2.基本概念和知識點FinancialmarketSearchCostsInformationCostsCapitalMarketPrimaryMarketEmergingmarketsForeignmarket第3節(jié)DerivativeMarketsandAssetClasses1.主要內(nèi)容DerivativeInstrumentsFourmajorassetclassesdefinedbyinvestmentattributeAssetclassesexpandedbyseparatingforeignsecuritiesfromU.S.securitiesCharacteristicsofEmergingMarkets2.基本概念和知識點OptionscontractsFuturescontractsForwardcontractsSwapagreementsCapandflooragreementsMarketCapitalizationMortgage-backedsecurities(MBS)Emergingmarketforeignstocks3.問題與應用（能力要求）Whatarethecharacteristicsofemergingmarkets?（三）思考與實踐AU.S.investorwhopurchasesthebondsissuedbyJapanesegovernmentmadethefollowingcomment:“AssumingthattheJapanesegovernmentdoesnotdefault,Iknownthatthecashflowofthebondwillbe.”Explainwhyyouagreeordisagreethat?Whyliquiditymaydependnotonlyonthetypeoffinancialassetbutalsoonthequantityonewishestosellorbuy?（四）教學方法與手段本章主要采用課堂講授、多媒體教學和課堂討論的教學方法和手段。第2章OverviewofMarketParticipantsandFinancialInnovation（一）目的與要求ParticipantsinfinancialmarketsBusinessoffinancialinstitutionsWhatafinancialintermediaryisHowdofinancialintermediariesprovideatleastoneoffoureconomicfunctionsThenatureofthemanagementofassetsandliabilitiesbyfinancialintermediariesHowdifferentfinancialinstitutionsusedifferingdegreesofknowledgeandcertaintyabouttheamountandtimingofthecashoutlayoftheirliabilitiesThetypicaljustificationforgovernmentalregulationofmarketsHowthegovernmentregulatesfinancialmarketsWhatismeantbyfinancialinnovationandthecausesoffinancialinnovationWhatsecuritizationis通過證券化原理的講解，融入“自由、公正、法治、愛國”社會主義核心價值觀，啟發(fā)學生“道路自信”、“制度自信”，增強學生愛國主義情懷。（二）教學內(nèi)容第1節(jié)ThePlayers&FinancialInstitutions1.主要內(nèi)容Who’rethePlayersinfinancialmarketsFinancialinstitutionsprovideavarietyofservicesRoleofFinancialIntermediariesAsset/LiabilityManagementforFinancialInstitutions2.基本概念和知識點NonfinancialCorporationsDepositoryInstitutionsAssetManagementFirmsInvestmentBanksFinancialinstitutionsFinancialintermediariesUnderwritingMaturityIntermediationRiskReductionviaDiversificationReducingtheCostsofContractingandInformationProcessingProvidingaPaymentMechanismNatureofLiabilities3.問題與應用（能力要求）Whatservicesdofinancialinstitutionsprovide?第2節(jié)RegulationofFinancialMarkets&FinancialInnovation1.主要內(nèi)容JustificationforRegulationCategorizationsofFinancialInnovationsMotivationforFinancialInnovationSecuritizationandFinancialInnovation結合“自由、公正、法治、愛國”社會主義核心價值觀，分析美國2008次貸危機案例，討論其產(chǎn)生原因與教訓，幫助學生理解資本主義制度的天生缺陷。2.基本概念和知識點MarketfailureDisclosureRegulationFinancialActivityRegulationFinancialInstitutionRegulationForeignParticipantRegulationPrice-risk-transferringinnovationsCredit-risk-transferringinstrumentsLiquidity-generatinginnovationsCredit-generatinginstrumentsEquity-generatinginstrumentsSecuritization（三）思考與實踐What’stheRoleofFinancialIntermediaries?What’sthemotivationforfinancialinnovation?如何理解證券化等金融創(chuàng)新的兩面性？（四）教學方法與手段本章主要采用課堂講授、多媒體教學和課堂討論的教學方法和手段。第6章InvestmentBankingFirms（一）目的與要求WhatisthenatureoftheinvestmentbankingbusinessWhatareinvestmentbankrevenuegeneratingactivitiesWhatinvestmentbankingactivitiesrequiringcommitmentoftheirowncapitalWhatistheinvestmentbankerroleinunderwritingsecuritiesWhatarethedifferenttypesofunderwritingarrangementsWhatarethedifferencesbetweenrisklessandriskarbitrageWhatrolesdoinvestmentbankersplayinmergers&acquisitionsWhatismerchantbankingWhyInvestmentBankingFirmscreateandtraderiskcontrolinstruments（二）教學內(nèi)容第1節(jié)InvestmentBanking1.主要內(nèi)容InvestmentbankersperformtwogeneralfunctionsRepealofGlass-SteagallActof19342.基本概念和知識點Bank-affiliatedinvestmentbanksIndependentinvestmentbanksFullserviceinvestmentbanksSpreadincome3.問題與應用（能力要求）Whatareinvestmentbankrevenuegeneratingactivities?第2節(jié)PublicOffering(Underwriting)ofSecurities1.主要內(nèi)容RoleoftheunderwritingofsecuritiesUnderwritingFunction2.基本概念和知識點UnderwritingFirm-commitmentBest-effortsunderwritingUnderwritingspreadSyndicateConcessionpriceIPOSecondarycommonstockoffering3.問題與應用（能力要求）Whatarethedifferenttypesofunderwritingarrangements?第3節(jié)TradingofSecurities1.主要內(nèi)容VarioustradingstrategiesusedPrivatePlacementofSecuritiesSecuritizationofAssets2.基本概念和知識點MarketmakerBid-askspreadRisklessArbitrageRiskArbitrageSpeculationProprietaryTradingAsset-backedsecuritiesMortgage-backedsecurities3.問題與應用（能力要求）Whatarethedifferencesbetweenrisklessandriskarbitrage?第4節(jié)MergersandAcquisitions1.主要內(nèi)容MerchantBankingBridgefinancingFinancialRestructuringAdvisingTradingandCreationofDerivativeInstruments2.基本概念和知識點LBOSecuritiesfinanceSecuritieslendingPrimeBrokerageDerivativesRiskmanagementAssetManagement（三）思考與實踐WhyInvestmentBankingFirmscreateandtraderiskcontrolinstruments?Whatrolesdoinvestmentbankersplayinmergers&acquisitions?（四）教學方法與手段本章主要采用課堂講授、多媒體教學和課堂討論的教學方法和手段。第7章PrimaryandSecondaryMarkets（一）目的與要求HowdoestheSECregulatenewissuedsecuritiesWhatisaregistrationstatementWhatisashelfregistration(rule415)WhatisatraditionalprivateplacementofferingWhatisRule144AanditspotentialimpactonprivateplacementmarketBoughtdealunderwritingforabondissueandwhyit’susedCompetitivebiddingunderwritingPreemptiverightsofferingWhatisthesecondarymarketanditsneedWhatareorderandquotedrivenmarketsTherequirementsofaperfectmarketWhydoactualmarketsdifferfromperfectmarketsTypesoforders,marginsandshortsWhatissecuritiesfinanceWhatisthemarketmakerandcostsOperationalefficiencyofamarketWhatispricingefficiencyandthedifferentformsWhataretheimplicationsofpricingefficiencyWhataretransactioncosts（二）教學內(nèi)容第1節(jié)PrimaryMarkets1.主要內(nèi)容RegulationofIssuanceofSecuritiesRule415:ShelfRegistrationRulePrivatePlacementRule144AofferingVariationsinUnderwritingofSecuritiesAuctionProcessPreemptiveRightsOffering2.基本概念和知識點PrimaryMarketSECRegistrationstatementProspectusWaitingperiodRedherringDuediligenceLiquidityconcernsBoughtDealCompetitiveBiddingUnderwritingDutchauctionMultiple-priceauctionStandbyunderwritingarrangement3.問題與應用（能力要求）Whypreferboughtdeal?Whataretherealworldcapitalmarketsmostlylike?第2節(jié)SecondaryMarkets1.主要內(nèi)容PrimarydifferencebetweentheprimaryandsecondarymarketFunctionofSecondaryMarketsArchitecturalStructureofSecondaryMarketsTypesofMarketsTradingLocationsSecondaryMarketTradingMechanicsSecuritiesFinanceRoleofBrokersandDealersinRealMarketsMarketEfficiency2.基本概念和知識點SecondaryMarketConsensuspricePotentialPartiestoaTradeDealervsBrokerOrder-DrivenMarketQuote-DrivenMarketContinuousOrder-DrivenMarketPeriodicCallAuctionMarketPricescanauctionSealedbid/askauctionExchangesOTCMarketordersLimitordersShortSellingBuyingonmarginCallmoneyrateMarginrequirementsMargincallsSecuritiesLendingRebaterateRepurchaseAgreementsReporateRepomarginMarketMakersPerfectMarketsOperationalEfficiencyPricingEfficiencyTransactionCostsInformation-motivatedTrades3.問題與應用（能力要求）Whydoactualmarketsdifferfromperfectmarkets?（三）思考與實踐Whatistheeconomicmotivationforasecuritylenderinasecuritieslendingtransaction?（四）教學方法與手段本章主要采用課堂講授、多媒體教學和課堂討論的教學方法和手段。第10章IntroductiontoFinancialFuturesMarkets（一）目的與要求WhatisafuturescontractBasiceconomicfunctionsofafuturescontractSpecificationofafuturescontractDifferencebetweenfuturesandforwardcontractsTheroleoftheclearinghouseMark-to-market,marginrequirementsandmarketquotesoffuturescontractsWhatiscounterpartyriskRisk/returnrelationshipoffuturespositionsHowisafuturescontractpricedMeasuringInterestRatesandContinuouscompoundingWhytheactualfuturespricemaydifferfromthetheoreticalfuturespriceWhatisthevalueofaforwardcontractPrinciplesofhedgingandtherisksRoleoffuturesmarketsintheeconomy分析“富強、公正、誠信”社會主義核心價值觀在利率計量中的體現(xiàn)，幫助學生強化責任意識與誠信意識，樹立正確的消費觀，防范不良校園貸現(xiàn)象。（二）教學內(nèi)容第1節(jié)MechanicsofFuturesTrading1.主要內(nèi)容BasiceconomicfunctionoffuturesmarketsSpecificationofaFuturescontractAlternativesforliquidatingafuturespositionTheRoleoftheClearinghouseMarginRequirementsMarking-to-market2.基本概念和知識點FuturescontractUnderlyingInstrumentCommodityfuturesSettlementdateLiquidatingaPositionClearinghouseCounterpartyriskInitialMarginMaintenanceMarginVariationMarginMarkedtomarketDailyPriceLimitsPositionLimits3.問題與應用（能力要求）What’stheRoleoftheClearinghouse?第2節(jié)FuturesversusForwardContracts1.主要內(nèi)容CompareFutureswithForwardContractsRiskandReturnCharacteristicsofFuturesLeveragingAspectofFutures2.基本概念和知識點ForwardcontractExchangesCreditriskLongFuturesShortFuturesFuturesprice3.問題與應用（能力要求）What’sShortFutures?第3節(jié)PricingofFuturesContractsandValuingaForwardContract1.主要內(nèi)容TheoreticalFuturesPriceBasedonArbitrageModelFuturesPriceConvergenceMeasuringInterestRatesSomeofthefactorsforthedifferenceoftheactualpricefromthetheoreticalpriceValuingaForwardContract以支付寶借唄、京東金條等互聯(lián)網(wǎng)消費信貸為例，討論互聯(lián)網(wǎng)消費信貸資金使用的真實成本，分析借入者對展示利率可能存在的認識誤區(qū)及其產(chǎn)生原因，讓學生認清消費信貸的實際用資成本，意識到利率計量與展示宣傳的可能差異，避免過度、盲目消費，強化自身責任意識與誠信意識，樹立正確的消費觀。2.基本概念和知識點CashandcarrytradeReversecashandcarrytradeArbitrageprinciplesEquilibriumpriceFinancingcostCostofcarryContinuousCompoundingEquivalentTransformationForwardPriceValueofaLongForwardContract3.問題與應用（能力要求）What’stheconditionofequilibrium?What’sthevalueofaforwardcontract?第4節(jié)GeneralPrinciplesofHedgingWithFutures1.主要內(nèi)容RisksAssociatedwithHedgingShortHedgeandLongHedgeHedgingIllustrationsPerfectHedgeImperfectHedgeCross-HedgingTheRoleofFuturesinFinancialMarketsEffectofFuturesonVolatilityofUnderlyingAsset2.基本概念和知識點HedgingCashpositionPriceriskBasisriskShortHedgeLongHedgeLiftedUnwindingBasisWidensCross-hedgingriskRiskexposureDestabilizationHypothesis3.問題與應用（能力要求）Howtohedgewithfutures?（三）思考與實踐What’sthedifferencebetweenfuturesandforwardcontracts?What’stherisk/returnrelationshipoffuturesposition?Whytheactualfuturespricemaydifferfromthetheoreticalfuturesprice?What’sthePrinciplesofhedgingandtherisks?結合現(xiàn)實生活中耳聞目睹或者自己使用過的信貸產(chǎn)品，計算并分析資金使用的真實成本，澄清可能存在的錯誤理念。（四）教學方法與手段本章主要采用課堂講授、多媒體教學和課堂討論的教學方法和手段。第11章IntroductiontoOptionsMarkets（一）目的與要求WhatanoptioncontractisDifferencebetweenafuturescontractandanoptionscontractTherisk/returncharacteristicsofanoptionThebasiccomponentsoftheoptionpriceThefactorsinfluencetheoptionpriceFundamentalsofoptionpricingmodelsUpperandLowerboundsforoptionpriceandhowthey’rederived(stockoption)Put-CallParityRelationshipPrinciplesofbinomialoptionpricingmodelandhowit’sderivedB-SoptionpricingmodelTheroleofoptionsinfinancialmarketsTwotypesofexoticoptionsknownasalternativeoptionsandoutperformanceoptions（二）教學內(nèi)容第1節(jié)OptionContractDefined1.主要內(nèi)容ElementsofanOptionsContractMarginRequirementsforOptionsExchange-TradedversusOTCOptionsDifferencesBetweenOptionsandFutures2.基本概念和知識點OptionOptionpriceCalloptionPutoptionStrikeprice/ExercisepriceExpirationdateAmericanoptionEuropeanoptionWriterTailor-madeoptionRisk/rewardrelationship3.問題與應用（能力要求）What’stheDifferencesbetweenOptionsandFutures?WhyweneedOTCOptions?第2節(jié)Payoff,RiskandReturnCharacteristicsofOptions1.主要內(nèi)容FourbasicoptionpositionsandtheirpayoffRiskandReturnCharacteristics2.基本概念和知識點StockoptionLongcallpositionShortcallpositionLongputpositionShortputpositionOptionpremiumPayoffNetpayoff3.問題與應用（能力要求）What’sthenetpayofffromalong/shortpositioninaEuropeanput/calloption?第3節(jié)FactorsthatInfluencetheOptionPrice1.主要內(nèi)容BasicComponentsofOptionsPriceFactorsthatInfluencetheOptionPriceEffectonthepriceofastockoptionfromeachFactor2.基本概念和知識點IntrinsicvalueTimepremiumInthemoneyAtthemoneyOutofthemoneyCurrentstockpriceStrikepriceTimetoexpirationExpectedvolatilityofthestockpriceRisk-freeinterestrateDividendsthatareexpectedtobepaid3.問題與應用（能力要求）What’stheeffectonthepriceofastockoptionfromeachfactor?第4節(jié)UpperandLowerBoundsForStockOptionPrices1.主要內(nèi)容UpperBoundsForAmericanorEuropeancalloptionUpperBoundForAmericanputoptionUpperBoundForEuropeanputoptionLowerBoundforCallsonNon-Dividend-PayingStocksLowerBoundforEuropeanPutsonNon-Dividend-PayingStocksPut-CallParityRelationshiponNon-Dividend-PayingStocksBoundsforCallOptionsBoundsforPutOptionsEffectofDividendsandLowerBoundforCallsandPutsPut–CallParitywithDividends2.基本概念和知識點EuropeanOptionsPut-CallParityAmericanOptionsPut-CallParityAmericanCallsOnANon-Dividend-PayingStockAmericanPutsOnANon-Dividend-PayingStockEarlyExercisePut–CallParitywithDividends3.問題與應用（能力要求）What’sthePut-CallParityRelationship?第5節(jié)BinomialOptionPricingModelandRisk-NeutralValuation1.主要內(nèi)容One-stepBinomialModelNo-arbitrageArgumentPricingRisk-NeutralValuationTwo-StepBinomialTreesBinomialTreesforAmericanOptionTheBinomialTreeFormulas2.基本概念和知識點BinomialTreesRandomwalkRisklessportfolioHedgeRatioRisk-neutralRealWorldvs.Risk-NeutralWorldTheProbabilityofanupmovementofstockinarisk-neutralworldRisk-freerateDeltahedging3.問題與應用（能力要求）HowtousetheTwo-StepBinomialTreestopriceOption?第6節(jié)Black–Scholes–MertonModel1.主要內(nèi)容Black–Scholes–MertonmodelBlack–Scholes–MertonPricingFormulasforEuropeancallandputoptionsonaNon-Dividend-PayingStock2.基本概念和知識點NormalDistributionLognormalPropertyofStockPricesTheDistributionoftheRateofReturnVolatilityAssumptionsunderlyingB-S-MDifferentialEquation3.問題與應用（能力要求）What’stheBlack–Scholes–MertonPricingFormulas?第7節(jié)RoleofOptionMarketsandExoticOptions1.主要內(nèi)容EconomicRoleoftheOptionMarketsExoticOptions2.基本概念和知識點OTCoptionsDealercreatedoptionsBermudaOptionAtlanticOptionAlternativeoptionOutperformanceoption（三）思考與實踐What’stheUpperandLowerboundsforstockoptionpriceandhowthey’rederived?ExplainthePrinciplesofbinomialoptionpricingmodelandhowit’sderived?ExplaintheB-Soptionpricingmodel.（四）教學方法與手段本章主要采用課堂講授、多媒體教學和課堂討論的教學方法和手段。第12章IntroductiontoSwaps,Caps,andFloorsMarkets（一）目的與要求WhatisaswapWhatismeantbynotionalamountInterestrateswapInterestrate-equityswapEquityswapCurrencyswapRelationshipbetweenaswapandforwardcontractWhatacreditdefaultswapisApplicationsofSwap(usedforasset/liabilitymanagement&createsecurities)ValuationofInterestRateSwapsWhatacapandafloorareRelationshipbetweenacapandafloorandanoptionHowacapcanbeusedbyadepositoryinstitution（二）教學內(nèi)容第1節(jié)IntroductiontoSwaps1.主要內(nèi)容SwapAgreementsTypesofSwapsCreditDefaultSwap(CDS)InterpretationofaSwap2.基本概念和知識點SwapNotionalprincipalCounterpartyRiskInterestRateSwapFixedinterestrateFloatinginterestrateReferenceRateTradeDateEffectiveDateMaturityDateInterestrate-equityswapEquityswapCurrencyswapCreditderivativesReferenceentityReferenceobligationCrediteventSingle-namecreditdefaultswapBasketcreditdefaultswapCreditdefaultswapindexSwappremiumPhysicalsettlementDeliverableobligations3.問題與應用（能力要求）AreSwapsredundantinstruments?Why?第2節(jié)ApplicationofInterestRateSwap1.主要內(nèi)容MechanicsofInterestRateSwapsIllustrationofInterestRateSwapsUsingtheSwaptoTransformaLiabilityUsingtheSwaptoTransformanAssetApplicationtoAsset/LiabilityManagementApplicationtoCreationofaSecurity2.基本概念和知識點PlainvanillaLIBORPrimerateFixedrateFloatingrateBondBasispointLendingrateBorrowingrate第3節(jié)ValuationofInterestRateSwaps1.主要內(nèi)容RoleofFinancialIntermediaryTheNatureofSwapRatesRelationshipbetweenswapandLIBORmarketsDeterminingLIBOR/SwapZeroRatesValuationintermsofBondPricesValuationintermsofFRAsTermStructureEffectsonSwap2.基本概念和知識點PlainvanillaLIBOR-for-fixedswapsMarketMakersBid-offerspreadSwaprateSwapposition/Fixed-Ratepayer/Floating-RatepayerTheoreticalswaprateParyieldbondsForwardrateagreementsForwardrateTermStructureEffects3.問題與應用（能力要求）What’stheRelationshipbetweenswapandLIBORmarkets?第4節(jié)CapandFloorAgreements1.主要內(nèi)容CapAgreementsFloorAgreementsInterpretationofaCapandaFloorApplicationtoAsset/LiabilityManagement2.基本概念和知識點ReferenceStrikeNotionalPrincipal（三）思考與實踐HowtovaluetheInterestRateSwaps?ExplaintheRelationshipbetweenacaporafloorandanoption?（四）教學方法與手段本章主要采用課堂講授、多媒體教學和課堂討論的教學方法和手段。第18章ValuationofDebtContractsandTheirPriceVolatilityCharacteristics（一）目的與要求ThecashflowcharacteristicsofabondWhatisZeroRatesHowthepriceofabondisdeterminedWhytheyieldtomaturityisusedasameasureofabond’sreturnWhatisParYieldTheimportanceofthereinvestmentrateinrealizingtheyieldtomaturityWhythepriceofabondchangesThattheprice/yieldcurveofanoption-freebondisconvexThatthetwocharacteristicsofabondthataffectitspricevolatilityareitscouponanditsmaturityWhatdurationisandhowitiscalculatedThelimitationsofdurationasameasureofpricevolatilityofabondwheninterestrateschangeWhattheconvexityofabondisandhowitisrelatedtobondpricevolatility（二）教學內(nèi)容第1節(jié)FeaturesofDebtContracts1.主要內(nèi)容TypesofDebtContractsZeroRates2.基本概念和知識點BulletmaturityBalloonpaymentBondParvalueMaturityvalueCouponandCouponrateZero-couponinstrumentsSemiannualcompounding3.問題與應用（能力要求）“Couponrate=Zerorate”,rightofwrong?Andwhy?第2節(jié)BondPricing1.主要內(nèi)容BasicValuationPrincipleofDebtinstrumentReturnfromaBond:YieldtoMaturityMeasurePriceofanOption-FreeBondWhatDeterminesthePremium-ParYieldReasonsforChangesinBondPricesReinvestmentofCashFlowandYield2.基本概念和知識點ThecashflowcharacteristicsofabondDiscountrateSpotrateBondYieldtoMaturityParYieldParyieldcouponParvaluerelationPremiumorDiscountCoupon-equivalentyieldReinvestmentRiskInterestRateRiskZero-couponbond3.問題與應用（能力要求）Explaintheimportanceofthereinvestmentrateinrealizingtheyieldtomaturity第3節(jié)BondPriceVolatility1.主要內(nèi)容ReviewofPrice/YieldRelationshipPriceVolatilityPropertiesCharacteristicsofaBondthatAffectPriceVolatilityMeasureofPriceVolatility:DurationMeasureofPriceVolatility:Convexity2.基本概念和知識點ConvexCouponTermtoMaturityDurationMacaulayDurationCoupon-bearingbondDurationRelationshipModifiedDurationDurationofBondPortfoliosConvexityEffectiveDurationEffectiveConvexity3.問題與應用（能力要求）Whattheconvexityofabondisandhowitisrelatedtobondpricevolatility?（三）思考與實踐Howthepriceofabondisdetermined?Whythepriceofabondchanges?Whytheprice/yieldcurveofanoption-freebondisconvex?What’sthelimitationsofdurationasameasureofpricevolatilityofabondwheninterestrateschange?（四）教學方法與手段本章主要采用課堂講授、多媒體教學和課堂討論的教學方法和手段。第19章TheTermStructureofInterestRates（一）目的與要求WhatismeantbythetermstructureofinterestratesWhatistheyieldcurveDifferentshapesofthetermstructureWhatismeantbyaspotrateandaspotratecurveHowatheoreticalspotratecurvecanbedeterminedfromtheU.S.TreasuryyieldcurveWhatismeantbyanimplicitforwardrateandhowitcanbecalculatedHowlong-termratesarerelatedtothecurrentshort-termrateandshort-termforwardratesForwardRateAgreement(FRA)anditsValuationDifferenttheoriesaboutthedeterminantsoftheshapeofthetermstructureThemaineconomicinfluencesontheshapeoftheU.S.Treasuryyieldcurve（二）教學內(nèi)容第1節(jié)TheYieldCurveandtheTermStructure1.主要內(nèi)容DifferentshapesofthetermstructureUsingYieldCurvetoPriceaBondDeterminingTreasuryZeroRatesUsingSpotRatestoValueaBond2.基本概念和知識點TermstructureofinterestratesYieldcurveSpotRateTreasuryZeroRatesSeparateTradingofRegisteredInterestandPrincipalofSecurities(STRIPS)CouponstripsPrincipalstripsSpotratecurveBootstrapmethodTheoreticalSpotRateCurveInterpolateTheoreticalvalueofabond3.問題與應用（能力要求）Whatismeantbyaspotratean