Pourquoi l’achat d’un swap receveur et la combinaison d’un achat de swaption receveuse et de la vente d’une swaption payeuse ont le même payoff?
CFA level 2 · 27. avril 2023
Dans cet article, nous expliquerons pourquoi la combinaison d'une swaption receveur fixe et une swaption payeur avec le même taux d'exercice et l'achat d'un swap receveur-fixe, payeur-variable ont le même payoff. Le topic DERIVATIVES du CFA en général et du CFA niveau 2 en particulier est un de ceux qui pose le plus de problèmes aux candidats.

CFA level 2 · 24. avril 2023
Macaulay duration is a measure of a bond's price sensitivity to changes in interest rates, expressed in years. It takes into account the timing and size of all of the bond's cash flows, including interest payments and the principal repayment at maturity, and calculates the present value-weighted average time until each cash flow is received. Macaulay duration is useful for determining the average maturity of a bond's cash flows and for comparing the interest rate risk of bonds with different...
Why you should not early exercise an in the money call option and why you should early exercise a deep in the money put option…
CFA level 2 · 23. avril 2023
Why you should not early exercise an in the money call option and why you should early exercise a deep in the money put option…

What is the carry arbitrage model?
CFA level 2 · 11. mars 2023
This article explains the carry arbitrage model to price a forward contract to CFA Level 2 candidates.

How to price an interest rate swap?
CFA level 2 · 03. mars 2023
This article explains how to price an interest rate price in order to help you in your préparation for the CFA Level 2.

Why a long a receiver swaption and short a payer swaption with the same exercise rate is equivalent to entering a receive-fixed, pay-floating swap?
CFA level 2 · 15. février 2023
In this article we will explain the reason why a long a receiver swaption and short a payer swaption with the same exercise rate is equivalent to entering a receive-fixed, pay-floating forward swap.

Why the benefits paid in a defined benefit plan are not (always) taken into account in total cash outflow?
CFA level 2 · 19. janvier 2023
In a defined benefit plan, the benefit paid to a retiree are not considered as a cash outflow excepted when there is no funding requirements. We explain the reason why in this article.

CFA level 2 · 05. décembre 2022
NO FREE LUNCH The covered interest parity states that the relative value of 2 currencies should be such that borrowing (shorting) in a low yield currency and lending (investing) the proceeds in a higher yield foreign currency while hedging the exchange rate risk using spot and forward exchange risk should earn the domestic risk free rate. In sum, in the context of an hedged exchange rate risk position the investor should be indifferent between investing in both currencies. EXAMPLE Suppose the...