Upload
jawwad-farid
View
219
Download
0
Embed Size (px)
Citation preview
8/2/2019 Derivative Products TOC
1/3
DERIVATIVEPRODUCTS
ByJawwadAhmedFarid
8/2/2019 Derivative Products TOC
2/3
D E R I V A T I V E P R O D U C T S
Pleasedonotphotocopyordistributewithoutpermission.AllrightsreservedAlchemySoftwarePvtLimited.
http://FourQuants.com
Page3of27
CONTENTS
DERIVATIVEPRODUCTS................................................................................................................................5
1. REVIEW.............................................................................................................................................5
Asecondlookatderivativecontracts.......................................................................................................5
StandardTemplateforEvaluatingDerivatives..........................................................................................62. VANILLAPRODUCTS.............................................................................................................................7
Options......................................................................................................................................................7
3. PRICINGBASICS..................................................................................................................................10
OptionPrice..............................................................................................................................................10
AssetPrice.....................................................................................................................................10
ExercisePrice................................................................................................................................10
InterestRates................................................................................................................................10
VolatilityoftheAssetPrice...........................................................................................................10
Timetoexpiration.........................................................................................................................10
CashDistributions.........................................................................................................................10
Europeanoptionprice..............................................................................................................................11
4. GREEKSANDBINOMIALTREES...............................................................................................................11
Americanoptionprice...............................................................................................................................13
5. OPTIONSONSHARES,STOCKS,CURRENCIESANDEQUITIES...........................................................................15
StockOptions............................................................................................................................................15
ForeignCurrencyOptions.........................................................................................................................15
IndexOptions............................................................................................................................................15
FuturesOptions.........................................................................................................................................15
Warrants...................................................................................................................................................15EmployeeStockOptions...........................................................................................................................16
Convertibles..............................................................................................................................................16
6. OPTIONSONRATES.............................................................................................................................16
BondOptions............................................................................................................................................16
EmbeddedBondOptions..............................................................................................................16
InterestRateCaps/Floors/Collars...........................................................................................................17
EuropeanSwapOptions............................................................................................................................17
7. EXOTICOPTIONS.................................................................................................................................18
Bermudaoption........................................................................................................................................18
Quantooption...........................................................................................................................................18
Compositeoption......................................................................................................................................18
DigitalorBinaryorAllornothingoptions.............................................................................................18
Barrieroptions..........................................................................................................................................18
Asianoptions.............................................................................................................................................19
AverageStrikeOptions..............................................................................................................................19
Lookbackoptions.....................................................................................................................................19
Compoundoptions....................................................................................................................................19
Chooser(Asyoulikeit)options................................................................................................................19
Exchangeoptions......................................................................................................................................19Forwardstartoptions...............................................................................................................................19
8/2/2019 Derivative Products TOC
3/3
D E R I V A T I V E P R O D U C T S
Pleasedonotphotocopyordistributewithoutpermission.AllrightsreservedAlchemySoftwarePvtLimited.
http://FourQuants.com
Page4of27
Basketoptions...........................................................................................................................................20
Shoutoptions............................................................................................................................................20
8. FORWARDCONTRACTS.........................................................................................................................20
ForwardPrice............................................................................................................................................21
Forwardpriceofasecuritywithnoincome:................................................................................21
Forwardpriceofasecuritywithknowncashincome:.................................................................21
Forwardpriceofasecuritywithknowndividendyield:...............................................................21
SyntheticForwardContract......................................................................................................................21
ForwardRateAgreement..........................................................................................................................22
9. FUTURES...........................................................................................................................................22
Futuresprice.............................................................................................................................................22
StockIndexfutures...................................................................................................................................23
Futurescontractsoncurrencies................................................................................................................23
Futurescontractsoncommodities...........................................................................................................23
InterestRateFutures................................................................................................................................23TreasuryBondFutures..................................................................................................................23
TreasuryNoteFutures..................................................................................................................23
5-yearTreasuryNoteFutures.......................................................................................................24
TreasuryBillFutures.....................................................................................................................24
EurodollarFutures........................................................................................................................24
10. SWAPS............................................................................................................................................24
InterestRateSwap....................................................................................................................................24
CurrencySwap..........................................................................................................................................25
Fixedforfixedcurrencyswap.......................................................................................................25
Floatingforfloatingcurrencyswap..............................................................................................25
Cross-currencyinterestrateswap................................................................................................25
VariationstoPlainVanillaSwaps..............................................................................................................25
Step-upSwaps..............................................................................................................................25
AmortizingSwaps.........................................................................................................................25
BasisRateSwap............................................................................................................................25
ForwardorDeferredSwaps..........................................................................................................25
CompoundingSwaps....................................................................................................................25
LIBOR-in-ArrearsSwap.................................................................................................................26
ConstantMaturitySwap...............................................................................................................26ConstantMaturityTreasurySwap................................................................................................26
DifferentialSwaporQuanto.........................................................................................................26
VarianceorVolatilitySwap...........................................................................................................26
EquitySwap..................................................................................................................................26
CommoditySwap..........................................................................................................................26
AssetSwap....................................................................................................................................26
AccrualSwap.................................................................................................................................26
CancelableSwap...........................................................................................................................26
ExtendableSwap...........................................................................................................................26
DISCLAIMER..............................................................................................................................................27