标题: advice on derivatives [打印本页] 作者: stockjaguar 时间: 2011-7-11 19:45 标题: advice on derivatives
For those who didn't know IR swaps before this level2, and now feel comfortable with it, what did you feel was the best way to learn? Meaning, reading and doing the problems out of Schweser, or the actual CFAI text, or both, or something else? How long did it take you?
Thanks作者: lucasg85 时间: 2011-7-11 19:45
Think of them as bonds. There is a great thread about this posted a couple of weeks ago. Use the search function and bump it for those who haven't seen it.作者: scarecrow 时间: 2011-7-11 19:45
Practice problems and watching Stalla videos. I must say Dave Hetherington is really good at breaking down derivatives into bite sized pieces.
NO EXCUSES作者: mp3bu 时间: 2011-7-11 19:45
i do it this way, which is similar to what was posted in a previous thread
(1) Start with the FIXED payer - this is easy, just like a bond. Figure out what the cash flows will be. SO assume we just initiated a $1 million semiannual pay 5% (i.e. this is the fixed rate) swap. At the time of the swap, 180 day LIBOR (annualized) is 4.5%. The cash flows for the FIXED payer will be:
in 180 days - 25,000
in 360 days - 25,000
in 360 days - 1,000,000 (i know notional isnt actually swapped, but its easier to do it this way)
Just discount those cash flows above to get the PV of the fixed rate payments. Now on to floating. Its actually easier and less work, because a floating rate bond will reset to par value at each payment date. Therefore all we have to do is.
in 180 days - 22,500
in 180 days - 1,000,000.
Just discount those cash flows now to get the PV of the floating rate payments.
The PV of floating payments minus the PV of the fixed payments is the value to the fixed payer (i.e., the value of what i'm receiving minus the value of what i'm paying).
If you have an actual example, we can go in more detail. But this is the way i do it, and it seems to work.作者: defour44 时间: 2011-7-11 19:45
Ok thanks bro.作者: ningning1984 时间: 2011-7-11 19:45
bpdulog Wrote:
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> Practice problems and watching Stalla videos. I
> must say Dave Hetherington is really good at
> breaking down derivatives into bite sized pieces.
