PART 01
장외옵션

CHAPTER 01 옵션의 기초와 응용전략
1절 옵션의 정의 ·························································· 2
1 개별주식옵션 _ 2
2 주가지수 콜옵션 _ 3
3 채권선물에 대한 선물옵션 _ 4
2절 옵션 수익구조의 수식 표현 ································ 5
3절 옵션의 프리미엄 사이에 성립하는
기본 관계식 ·························································· 6
4절 풋-콜 패리티와 그 응용 ····································· 8
5절 옵션가격의 결정 ················································ 19
1 이항모형 가격결정 _ 19
2 블랙-숄즈 공식 _ 23
6절 옵션의 포지션 분석 ··········································· 25
1 델타(Δ) _ 25
2 감마(Γ) _ 27
3 세타(θ) _ 29
4 베가(Λ) _ 30
5 로(ρ) _ 31
6 포지션 분석의 응용：스트래들의 포지션 분석 _ 32
단원정리문제 ································································· 34

CHAPTER 02 장외옵션의 종류
1절 경로의존형 ·························································· 36
1 극한치의존형 _ 37
2 평균옵션 _ 43
2절 첨점수익구조형 ·················································· 44
3절 시간의존형 ·························································· 46
4절 다중변수옵션 ······················································ 48
5절 복합옵션 ····························································· 51
6절 레버리지형 ·························································· 52
단원정리문제 ································································· 54

CHAPTER 03 장외옵션의 신용위험
1절 일반적인 논의 ···················································· 56
2절 불스프레드와 베어스프레드의 신용위험 ········ 59
3절 비율수직스프레드의 신용위험 ························· 60
4절 백스프레드의 신용위험 ····································· 61
5절 스트래들의 신용위험 ········································· 61
6절 나비스프레드의 신용위험 ································· 62
단원정리문제 ································································· 63
실전예상문제 ································································· 65


PART 02
스왑

CHAPTER 01 스왑거래의 생성과 발전
1절 스왑거래의 생성과정 ········································· 73
2절 스왑시장의 변천 ················································ 76
3절 스왑거래의 생성 이유 ······································· 77
단원정리문제································································· 79

CHAPTER 02 스왑거래의 기초개념
1절 스왑거래의 기본적 형태 ··································· 81
2절 스왑거래의 적용금리 ········································· 83
1 고정금리 _ 83
2 변동금리 _ 84
3 금리계산 기준 _ 85
3절 스왑가격의 고시 ················································ 88
4절 FRA와 선도금리의 결정 91
1 FRA 개요 _ 91
2 FRA 관련 용어 및 FRA의 기간 구성 _ 92
3 FRA의 거래 예 및 결제절차 _ 93
4 FRA가격의 결정원리 _ 95
5 FRA가격의 고시 _ 99
5절 스왑거래 주요 용어 ········································· 100
단원정리문제 ······························································· 102

CHAPTER 03 금리스왑
1절 금리스왑의 개요 ·············································· 105
2절 금리스왑의 가격고시 ······································· 108
3절 금리스왑의 거래동기 및 활용 ························ 111
1 기업 경영계획 수립 _ 111
2 금리상승 우려 _ 112
3 금리하락 기대 _ 113
4 고정금리 자금조달 애로 _ 114
5 차입비용 절감 _ 114
6 cash flow 조절목적 _ 116
7 기회비용의 절감을 위한 자산 혹은 부채의 금리구조 조정 _ 116
단원정리문제 ······························································· 118

CHAPTER 04 통화스왑
1절 통화스왑 개요 ·················································· 121
2절 통화스왑의 기본 유형 ····································· 123
3절 장기선물환과 통화스왑의 비교 ······················ 125
4절 통화스왑의 가격고시 ······································· 126
1 Cross Currency Coupon Swap 가격 _ 126
2 Cross Currency Basis Swap 가격 _ 127
5절 통화스왑의 기본적 이용 ································· 129
1 차입자 입장에서의 이용 _ 129
2 투자자 입장에서의 이용 _ 131
6절 통화스왑의 거래동기 및 활용 ························ 133
1 최고의 비교우위가 있는 자본시장을 통한
자금조달 _ 133
2 장기 외화부채의 환리스크 관리 _ 135
3 환리스크의 우려 없이 자산구성의 다양화 _ 136
단원정리문제 ······························································· 138

CHAPTER 05 변형 스왑거래
1절 거래금액의 변형 ·············································· 141
2절 swap rate의 변형 143
3절 거래 개시시점의 변형 ····································· 145
단원정리문제 ······························································· 146

CHAPTER 06 스왑가격의 결정
1절 스왑가격 결정의 기본원리 ····························· 148
2절 swap pricing을 위한 기초개념 150
1 미래가치와 현재가치 _ 150
2 만기수익률 _ 151
3 spot rate _ 151
4 forward rate _ 152
5 할인계수 _ 153
6 보간법 _ 154
3절 swap pricing 155
1 가치평가의 기준 _ 156
2 금리스왑 pricing _ 157
3 통화스왑 pricing _ 162