{"id":19461,"date":"2021-08-12T15:33:10","date_gmt":"2021-08-12T15:33:10","guid":{"rendered":"https:\/\/analystprep.com\/study-notes\/?p=19461"},"modified":"2026-03-18T10:21:58","modified_gmt":"2026-03-18T10:21:58","slug":"study-notes-for-cfa-level-ii-derivatives-offered-by-analystprep","status":"publish","type":"post","link":"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/study-notes-for-cfa-level-ii-derivatives-offered-by-analystprep\/","title":{"rendered":"Study Notes for CFA\u00ae Level II \u2013 Derivatives \u2013 offered by AnalystPrep"},"content":{"rendered":"\r\n<h2>Reading 33: Pricing and Valuation of Forward Commitments<\/h2>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/the-carry-arbitrage-model\/\" target=\"_blank\" rel=\"noopener\"><em>-a. Describe the carry arbitrage model without underlying cashflows and with underlying cashflows;<\/em><\/a><\/p>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-equity-forwards-and-futures\/\" target=\"_blank\" rel=\"noopener\"><em>-b. Describe how equity forwards and futures are priced, and calculate and interpret their no-arbitrage value;<\/em><\/a><\/p>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/interest-rate-forward-and-futures-contracts\/\" target=\"_blank\" rel=\"noopener\"><em>-c. Describe how interest rate forwards and futures are priced, and calculate and interpret their no-arbitrage value;<\/em><\/a><\/p>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-fixed-income-forward-and-futures\/\" target=\"_blank\" rel=\"noopener\"><em>-d. Describe how fixed-income forwards and futures are priced, and calculate and interpret their no-arbitrage value;<\/em><\/a><\/p>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-and-valuing-interest-rate-swap-contracts\/\" target=\"_blank\" rel=\"noopener\"><em>-e. Describe how interest rate swaps are priced, and calculate and interpret their no- arbitrage value;<\/em><\/a><\/p>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-and-valuing-currency-swap-contracts\/\" target=\"_blank\" rel=\"noopener\"><em>-f. Describe how currency swaps are priced, and calculate and interpret their no- arbitrage value;<\/em><\/a><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/pricing-and-valuing-equity-swap-contracts\/\" target=\"_blank\" rel=\"noopener\">-g. Describe how equity swaps are priced, and calculate and interpret their no- arbitrage value.<\/a><\/em><\/p>\r\n<h2>Reading 34: Valuation of Contingent Claims<\/h2>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-and-interpret-the-binomial-option-valuation-model-and-its-component-terms\/\" target=\"_blank\" rel=\"noopener\">-a. Describe and interpret the binomial option valuation model and its component terms;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-the-no-arbitrage-values-of-european-and-american-options-using-a-two-period-binomial-model\/\" target=\"_blank\" rel=\"noopener\">-b. Calculate the no-arbitrage values of European and American options using a two-period binomial model;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/identify-an-arbitrage-opportunity-involving-options-and-describe-the-related-arbitrage\/\" target=\"_blank\" rel=\"noopener\">-c. Identify an arbitrage opportunity involving options and describe the related arbitrage;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/calculate-and-interpret-the-value-of-an-interest-rate-option-using-a-two-period-binomial-model\/\" target=\"_blank\" rel=\"noopener\">-d. Calculate and interpret the value of an interest rate option using a two-period binomial model;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-the-value-of-a-european-option-can-be-analyzed-as-the-present-value-of-the-options-expected-payoff-at-expiration\/\" target=\"_blank\" rel=\"noopener\">-e. Describe how the value of a European option can be analyzed as the present value of the option\u2019s expected payoff at expiration;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/identify-assumptions-of-the-black-scholes-merton-option-valuation-model\/\" target=\"_blank\" rel=\"noopener\">-f. Identify assumptions of the Black\u2013Scholes\u2013Merton option valuation model;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/interpret-the-components-of-the-black-scholes-merton-model-as-applied-to-call-options-in-terms-of-a-leveraged-position-in-the-underlying\/\" target=\"_blank\" rel=\"noopener\">-g. Interpret the components of the Black\u2013Scholes\u2013Merton model as applied to call options in terms of a leveraged position in the underlying;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-the-black-scholes-merton-model-is-used-to-value-european-options-on-equities-and-currencies\/\" target=\"_blank\" rel=\"noopener\">-h. Describe how the Black\u2013Scholes\u2013Merton model is used to value European options on equities and currencies;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-the-black-model-is-used-to-value-european-options-on-futures\/\" target=\"_blank\" rel=\"noopener\">-i. Describe how the Black model is used to value European options on futures;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-the-black-model-is-used-to-value-european-interest-rate-options-and-european-swaptions\/\" target=\"_blank\" rel=\"noopener\">-j. Describe how the Black model is used to value European interest rate options and European swaptions;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/interpret-each-of-the-option-greeks\/\" target=\"_blank\" rel=\"noopener\">-k. Interpret each of the option Greeks;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-how-a-delta-hedge-is-executed\/\" target=\"_blank\" rel=\"noopener\">-l. Describe how a delta hedge is executed;<\/a><\/em><\/p>\r\n<p><em><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/describe-the-role-of-gamma-risk-in-options-trading\/\" target=\"_blank\" rel=\"noopener\">-m. Describe the role of gamma risk in options trading;<\/a><\/em><\/p>\r\n<p><a href=\"https:\/\/analystprep.com\/study-notes\/cfa-level-2\/implied-volatility-2\/\" target=\"_blank\" rel=\"noopener\"><em>-n. Define implied volatility and explain how it is used in options trading.<\/em><\/a><\/p>\r\n","protected":false},"excerpt":{"rendered":"<p>Reading 33: Pricing and Valuation of Forward Commitments -a. Describe the carry arbitrage model without underlying cashflows and with underlying cashflows; -b. Describe how equity forwards and futures are priced, and calculate and interpret their no-arbitrage value; -c. Describe how&#8230;<\/p>\n","protected":false},"author":4,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":""},"categories":[102,302],"tags":[],"class_list":["post-19461","post","type-post","status-publish","format-standard","hentry","category-cfa-level-2","category-derivatives","blog-post","no-post-thumbnail","animate"],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO plugin v26.9 - https:\/\/yoast.com\/product\/yoast-seo-wordpress\/ -->\n<title>CFA Level 2 Derivatives Study Notes Overview<\/title>\n<meta name=\"description\" content=\"Explore CFA Level 2 derivatives topics, including forward pricing, futures, swaps, and carry arbitrage models used in valuation. 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