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

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SCHWESERNOTES™ 2019 LEVEL II CFA® 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