随着国内逐渐开放衍生品市场，越来越需要有衍生品专业知识的人才。这部分的衍生品主要介绍衍生品的一些基本知识，包括衍生品的种类及市场区分，4大类衍生品的基本定价原理，以及简单期权策略。
CFA一级考试的Derivatives（金融衍生品）具体的内容知识点包含1个study session，3个reading。
其中，Reading 57对衍生品市场进行了区别，并对4大类衍生品进行了基本定义；
Reading 58讲衍生品的定价和估值的基本原理，并对4大类衍生品的基本定价做了介绍；
Reading 59对期权做了进一步分析，介绍两种期权及两种期权策略的应用。
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从考试的重要度来看，Reading 58、Reading 59是最重要的，Reading 57其次，其他Reading重要性不大。
以下是高顿教育冯老师对重要的Reading的考点进行了总结，以下内容建议考生们全部掌握。
★ Reading 57:Derivative Markets and Instruments（金融衍生品市场及工具）
金融衍生品的定义；
金融衍生品市场的分类及区别;
金融衍生品的分类；
金融衍生品的优缺点。
★ Reading 58:Basics of Derivative Pricing and Valuation（金融衍生品基本定价和估值原理）
金融衍生品定价的基本原理；
区别远期和期货合约的定价以及估值；
合约期初、期中、期末如何计算远期的价值，以及理解影响远期价值的因素；
解释期货和远期定价的异同；
解释互换和远期定价的不同；
欧式期权价值的计算以及影响因素；
欧式期权的平价公式、远期平价公式以及二叉树模型的理解；
美式期权与欧式期权定价的差异。
★ Reading 59:Risk Management Applications of Option Strategies（风险管理应用：期权策略）
看涨期权和看跌期权的到期价值、利润、小盈亏、盈亏平衡点的计算；
Covered call和protective put的到期价值、利润、小盈亏、盈亏平衡点的计算。
CFACFA衍生品练习题CFA
"Derivative"exercise:Exercise of a European put option

Questions 1:

A swap that involves the exchange of a fixed payment for a floating payment is most likely equivalent to a series of:
A、off-market forward contracts.
B、forward contracts that all have an initial positive value.
C、forward contracts that all have an initial value equal to the fixed payment
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【Answer to question 1】A
【analysis】
A is correct.Because the cost of carrying an asset over different time periods will vary,the values of the implicit forward contracts embedded in the swap will not be equal:some may be positive,and some may be negative.Off-market forward contracts satisfy this condition because they can be set at any value.
B is incorrect.Because the initial market value of the swap is zero by definition,it cannot be replicated by a series of forward contracts with an initial positive value.
C is incorrect.Because the cost of carrying an asset over different time periods will vary,the prices of the implicit forward contracts embedded in the swap cannot all be equal.
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Questions 2:

Exercise of a European put option is most likely justified if:
A、the option is out of the money.
B、the exercise price exceeds the value of the underlying.
C、the exercise value is negative.
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【Answer to question 2】B
【analysis】
B is correct.If the exercise price exceeds the value of the underlying at expiration,the option has positive exercise value and may be exercised.
A is incorrect.An out-of-the-money option should not be exercised and will expire worthless.
C is incorrect.An option that generates a negative cash flow when exercised should not be exercised.
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