CFA 2019 Schweser - Level 2 SchweserNotes Book 4: FIXED INCOME AND DERIVATIVES

Contents......Page 2
List of pages......Page 4
Learning Outcome Statements (LOS)......Page 10
Exam Focus......Page 17
Module 34.1: Spot and Forward Rates, Part 1......Page 18
Module 34.2: Spot and Forward Rates, Part 2......Page 24
Module 34.3: The Swap Rate Curve......Page 28
Module 34.4: Spread Measures......Page 29
Module 34.5: Term Structure Theory......Page 33
Module 34.6: Interest Rate Models......Page 36
Key Concepts......Page 42
Answer Key for Module Quizzes......Page 46
Exam Focus......Page 48
Module 35.1: Binomial Trees, Part 1......Page 49
Module 35.2: Binomial Trees, Part 2......Page 56
Key Concepts......Page 65
Answer Key for Module Quizzes......Page 66
Module 36.1: Types of Embedded Options......Page 69
Module 36.2: Valuing Bonds With Embedded Options, Part 1......Page 71
Module 36.4: Option-Adjusted Spread......Page 75
Module 36.5: Duration......Page 78
Module 36.6: Key Rate Duration......Page 80
Module 36.7: Capped and Floored Floaters......Page 83
Module 36.8: Convertible Bonds......Page 87
Key Concepts......Page 94
Answer Key for Module Quizzes......Page 97
Module 37.1: Credit Risk Measures......Page 103
Module 37.2: Analysis of Credit Risk......Page 106
Module 37.3: Credit Scores and Credit Ratings......Page 108
Module 37.4: Structural and Reduced Form Models......Page 110
Module 37.5: Credit Spread Analysis......Page 112
Module 37.6: Credit Spread......Page 116
Module 37.7: Credit Analysis of Securitized Debt......Page 120
Key Concepts......Page 122
Answer Key for Module Quizzes......Page 124
Module 38.1: CDS Features and Terms......Page 129
Module 38.2: Factors Affecting CDS Pricing......Page 132
Module 38.3: CDS Usage......Page 134
Key Concepts......Page 138
Answer Key for Module Quiz......Page 140
Topic Assessment: Fixed Income......Page 142
Topic Assessment Answers: Fixed Income......Page 145
Module 39.1: Pricing and Valuation Concepts......Page 147
Module 39.2: Pricing and Valuation of Equity Forwards......Page 152
Module 39.3: Pricing and Valuation of Fixed Income Forwards......Page 155
Module 39.4: Pricing Forward Rate Agreements......Page 158
Module 39.5: Valuation of Forward Rate Agreements......Page 161
Module 39.6: Pricing and Valuation of Currency Contracts......Page 163
Module 39.7: Pricing and Valuation of Interest Rate Swaps......Page 166
Module 39.9: Equity Swaps......Page 173
Key Concepts......Page 175
Answer Key for Module Quizzes......Page 179
Module 40.1: The Binomial Model......Page 183
Module 40.2: Two Period Binomial Model and Put-Call Parity......Page 186
Module 40.3: American Options......Page 189
Module 40.4: Hedge Ratio......Page 191
Module 40.5: Interest Rate Options......Page 193
Module 40.6: Black-Scholes-Merton and Swaptions......Page 195
Module 40.7: Option Greeks and Dynamic Hedging......Page 201
Key Concepts......Page 210
Answer Key for Module Quizzes......Page 213
Module 41.1: Portfolio Management Using Derivatives......Page 216
Module 41.2: Option Strategies, Part 1......Page 221
Module 41.3: Option Strategies, Part 2......Page 223
Module 41.4: Option Strategies, Part 3......Page 229
Module 41.5: Option Strategies, Part 4......Page 233
Key Concepts......Page 237
Answer Key for Module Quiz......Page 240
Topic Assessment: Derivatives......Page 242
Topic Assessment Answers: Derivatives......Page 244
Formulas......Page 246