一、Derivatives衍生品
1. Derivatives: (1) features合约特点: forward commitment远期承诺(forward远期, futures期货, swap互换); contigent claim或有请求权(option, CDS). 术语: long买入short卖出; (2)place: exchange-traded场内(futures, options), over-the-counter traded直接(forward, swap, option). 术语：long获得一个权利，short卖出一个权利, call买入标的物的权利，put卖出标的物的权利。
2. Forward: London Interbank Offer Rate (LIBOR), Eurbor(similar rate for borrowing and lending in Euros), FRA(forward contact on an interst rate)
3. Futures(deliverable/cash settlement): 与forward对比，类似于场内和场外的对比. (1) Margin(initial, maitenance, variation补回intial); (2) daily price limit; (3) marketing to market盯市制度（交易日后对保证金的调整）
4. Swap: 一系列的远期合约. plain vanilla interest rate swap固定利息换浮动利息(pay-fixed side, pay-floating side)
5. *Option: 权利而非义务. call option看涨期权 (long/short); put option看跌期权(long/short). Price(option premium); X(strick price)→in the money, at the money, out of the money; intrinsic value(the amount that it is in the money, and zero otherwise); time value(the difference between the price of an option and its intrinsic value is due to its time value); option value=intrinsic value+time value.
6.Pricing and valuation of derivatives: no-arbitrage principle无套利原则(老母鸡案例FP=S0机会成本+Carrying Costs持有成本-Carrying Benefits持有时间的利益，需要折现到零时刻); risk neutrality风险中性原则; risk-free asset=asset+derivative; (1) futures:valuation估值会发生变化; (2) 区别futures&forward contracts的区别（没太听懂）;(3) swap是固定和浮动的互换，定的是固定的价格;
二、固定收益Fixed Income一级只讲债权
1.债权基础: 历史
2.Fixed-Income Securities:基本概念已经很熟悉，不在重复. Plain vanilla bond固定利息的常规债权（先息后本）；amortizing loan分期支付债权(fully/partially)；
3.Classification:(1)Types of Issuer: government and government-related sector/corporate sector/securitized sector;(2)credit quality: Baa3 or above moody's investors service, BBB or above by Standard&Poor and Fitch Rating; (3) original maturity: money market/capital market; (4) coupon structure: floating rate/fixed rate;
4.Sovereign Bond: Treasury Bill小于一年/Notes/Bond; agency/quasi-goverment bonds: 事业单位债券如Ginnie Mae/Fannie Mae/Freddie Mae;
5.Bond Valuation: YTM(yield to maturity)到期收益率和票面价格的关系；
6.Fixed-Income Risk and Return: three sources of return include coupon and principal payment, reinvestment of coupon payments and capital gain or loss;
7.Credit Analysis: 4 Cs-capacity, collateral, covenants, character
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