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Derivative - Coggle Diagram
Derivative
forward contract
purpose
hedge risk
speculate
definition
6大因素
type of underlying asset
forward price of underlying asset
number of underlying assets
type of position: long or short
maturity date
type of settlement: cash or delivery
physical settlement
cash settlement
classification of FWD contract
commodity forward contract
financial forward contract
characteristics
zero sum game
over the counter market
unique customized contracts
little or no regulation
default risk is present
settlement at maturity
no margin deposit required
settling a FWD contract
prior to expiration
offsetting with a different party
offsetting with the original party
at expiration
calculation
non-arbitrage price
value of the FWD contract
when the correlation b/w the asset
value and interest rate is negative
futures contract
definition
characteristics
trades on futures exchange
standardized contracts
regulated
guaranteed by clearinghouse
daily settlement
margin required
initial margin
maintenance margin
variation margin
when correlation b/w the asset
value and interest rate is positive
valuation of futures contract
0 at inception
value reset to 0 after mark to market daily
different from zero b/w the times at which the contract is marked to market
settle previous of maturity
Forward Rate Agreement (FRA)
LIBOR
Euribor
quotation example
Off-the-run FRA
definition
SWAP contract
definition
characteristics
no payment required by either party at initiation
except currrency swaps
custom instrument
traded in OTC
ex.SWAP Bank
much less regulated
default risk
insitution dominates
types of SWAP contracts
interest rate swap
credit default swap (CDS)
credit spread option
credit linked note
total return swap
currency swap
equity swap
swap pricing
fixed rate makes the contract value 0 to both parties at initiation
swap valuation
difference b/w the value of 2 bonds
buy or sell something
spot market
foward/future market
option