书名： Capital Market- Products and Trading Strategies  页数： 109
出版： 2002

目录：

Characteristics of Fixed-Income Securities 07
Bonds – Definition 08
Lifetime and Remaining Lifetime 09
Nominal and Actual Rate of Interest (Coupon and Yield) 09
Accrued Interest 10
The Yield Curve 11
Bond Valuation 14
Macaulay Duration 16
Modified Duration 16
Convexity – the Tracking Error of Duration

Eurex Capital Market Products 18
Characteristics of Exchange-traded Financial Derivatives 18
Introduction 18
Flexibility 18
Transparency and Liquidity 18

Leverage Effect
Introduction to Capital Market Futures 19
What are Capital Market Futures? – Definition 19
Futures Positions – Obligations 20
Settlement or Closeout 21
Contract Specifications 22
Overview of Eurex Capital Market Futures 22
Futures Spread Margin and Additional Margin 23
Variation Margin 24
The Futures Price – Fair Value 26
Cost-of-Carry and Basis 27

Conversion Factor (Price Factor) and Cheapest-to-Deliver (CTD) Bond 28
Identifying the Cheapest-to-Deliver Bond
Contents


Applications of Capital Market Futures 32
Trading Strategies 32
Basic Futures Strategies 33
Long Positions (”Bullish“ Strategies) 35
Short Positions (”Bearish” Strategies) 36
Spread Strategies 37
Time Spread 38
Inter-Product Spread 40
Hedging Strategies 41
Choice of the Futures Contract 41
”Perfect Hedge“ versus ”Cross Hedge“ 41
Hedging Considerations 42
Determining the Hedge Ratio 43
Nominal Value Method 43
Modified Duration Method 45
Sensitivity Method 47
Static and Dynamic Hedging 47
Cash-and-Carry Arbitrage

Introduction to Options on Capital Market Futures 49
Options on Capital Market Futures – Definition 49
Options on Capital Market Futures – Rights and Obligations 50
Closeout 50
Exercising Options on Capital Market Futures 51
Contract Specifications – Options on Capital Market Futures 52
Premium Payment and Risk Based Margining 54
Options on Capital Market Futures – Overview


Option Price 55
Components 55
Intrinsic Value 55
Time Value 56
Determining Factors 56
Volatility of the Underlying Instrument 56
Remaining Lifetime of the Option 57
Influencing Factors
Important Risk Parameters
“Greeks” 58
Delta 60
Gamma 61
Vega (Kappa) 61
Theta

Trading Strategies forOptions on Capital Market Futures 62
Long Call 63
Short Call 65
Long Put 66
Short Put 67
Bull Call Spread 68
Bear Put Spread 69
Long Straddle 71
Long Strangle 72
Impact of Time Value Decay and Volatility 72
Time Value Decay 73
Impact of Fluctuations in Market Volatility 74
Trading Volatility – Maintaining a Delta-Neutral Position with Futures Hedging Strategies 77
Hedging Strategies for a Fixed Time Horizon 79
Delta Hedging 80
Gamma Hedging 82
Zero Cost Collar



Futures/Options Relationships,
Arbitrage Strategies 83
Synthetic Capital Market Option and Futures Positions 83
Synthetic Long Call 85
Synthetic Short Call 86
Synthetic Long Put 88
Synthetic Short Put 88
Synthetic Long Future/Reversal 90
Synthetic Short Future/Conversion 91
Synthetic Options and Futures Positions – Overview Glossary 92
Appendix 1: Valuation
Formulae and Indicators 100
Single-Period Remaining Lifetime 100
Multi-Period Remaining Lifetime 100
Macaulay Duration 101
Convexity
Appendix 2:
Conversion Factors 102
Bonds Denominated in Euros 102
Bonds Denominated in Swiss Francs
Appendix 3:
List of Diagrams
Contacts 105
Further Information