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CFA一级培训项目Quantitative MethodsCFA一级培训项目Quantitative Methods单晨玮金程教育高级培训师地点：■上海□北京□深圳Topic Weightings in CFA Level IContent WeightingsSession NO.Ethics & Professional Standards15Study Session 1Quantitative Analysis12Study Session 2-3Economics10Study Session 4-6Financial Reporting and Analysis20Study Session 7-10Corporate Finance8Study Session 11Study Session 12Portfolio Management and Wealth Planning5Study Session 13-14Equity Investment10Study Session 15-16Fixed Income12Study Session 17Derivatives5Study Session 18Alternative Investments32-82100% Contribution Breeds ProfessionalismQuantitative Methods??Time Value CalculationzR5 The Time Value of MoneyzR6 Discounted Cash Flow Applications??Probability & StatisticszR7 Statistical Concepts and Market ReturnszR8 Probability ConceptszR9 Common Probability Distributions??Inferential statistics zR10 Sampling and EstimationzR11 Hypothesis Testing3-82100% Contribution Breeds ProfessionalismR5 Time Value of Money??Time Value of MoneyzInterestratezEARzAnnuities的计算：FV, PV, required payment 4-82100% Contribution Breeds ProfessionalismR5 Time Value of Money??Required rate of return iszaffected by the supply and demand of fundsin the market;zthe return that investors and savers require to get them to willingly lend their funds;zusually for particular investment.??Discount rate iszthe interest rate we use todiscount payments to be made in the future.zusually used interchangeably with the interest rate.??Opportunity cost iszalso understood as a form of interest rate. It is the value that investors forgo by choosing a particular course of action.5-82100% Contribution Breeds ProfessionalismR5 Time Value of MoneyEAR calculation:mmrr1+EAR=1+=eEAR=(1+periodic rate)??1mz那么如果是semi, m=2; 如果是quarterly, m=4annual intz如果是连续复利，公式则变为EAR = e -1??定性（EAR和计息次数有关）zThe greater the compounding frequency, the greater the EAR will be in comparison to the stated rate6-82100% Contribution Breeds ProfessionalismR5 Time Value of Money??Future value (FV): Amount to which investment grows after one or more compounding periods.??Present value (PV): Current value of some future cash flow??Annuities: is a stream of equal cash flowsthat occurs at equal intervalsover a given period??内容：zN = number of periodszI/Y = interest rate per periodzPV = present valuezPMT = amount of each periodic paymentzFV= future value7-82100% Contribution Breeds ProfessionalismR5 Time Value of MoneyAn example of ordinary annuities（后付年金）:Example: What’s the FV of an ordinary annuity that pays 100 per year at the end ofeach of the next 3 years, given the discount rate is 10%Solutions:enter relevant data for calculate.N=3, I/Y=10, PMT=-100, PV=0, CPT→FV=3318-82100% Contribution Breeds ProfessionalismR5 Time Value of Money??About an annuity due（先付年金）zDefinition:an annuity where the annuity payments occur at the beginningof each compounding period.zCalculation:9Measure 1:put the calculator in the BGNmode and input relevant data.9Measure 2: treat as an ordinary annuity and simply multiple the resulting PV by (1+I/Y)9-82100% Contribution Breeds ProfessionalismR5 Example: Time Value of Money1.A company plans to borrow $50,000 for five ye ars. The company’s bank will lend the money at a rate of 9% and requires that the loan be paid off in five equal end-of-year payments. Calculate the amount of the payment that the company must make in order to fully amortize this loan in five years.??Answer:??N=5, I/Y=9, PV=50,000, FV=0; CPT: PMT=-12,ing the loan described in the preceding example, determine thepayment amount if the bank requires the company to make quarterly payments.??Answer:??N=5×4=20, I/Y=9/4=2.25, PV=50,000, FV=0; CPT: PMT=-3,132.1010-82100% Contribution Breeds ProfessionalismR5 Example: 房贷月供问题??张女士买了一套价值100万的房子，首付比例30%，她从银行贷款70万，贷款的年利率为6.2%，期限为20年。
2018CFAlevel1知识点——QuantitativeMethodsThe time value of moneyTime value of money concepts and applications/doc/bd1209418.html,pound interest (interest on interest)复利2.Future value3.Present valueUsing financial calculator1.Set up P/Y to”1”Time lines1.It is often a good idea to draw a time line before you start to solve a TVMproblem.2.Discounting贴现/doc/bd1209418.html,pounding4.Equilibrium interest rates均衡利率are the required rate of return for aparticular investment.5.Interest rates are also referred to as discount rates贴现率.6.We can also view interest rates as the opportunity cost of current consumption.7.Real risk-free rate真正的无风险利率: It is a theoretical rate on a single-periodloan that has no expectation of inflation in it.8.Nominal risk-free rate名义无风险利率= real risk-free rate+ expected inflationrate9.Default risk违约风险: The risk that a borrower will not make the promisedpayments in a timely manner.10.Liquidity risk流动性风险: The risk of receiving less than fair value for aninvestment if it must be sold for cash quickly.11.Maturity risk到期风险: The prices of longer-term bonds are more volatile不稳定的than those of shorter-term bonds. Longer maturity bonds have more maturity risk than shorter-term bonds and require a maturity risk premium.12.Required interest rate on a security= nominal risk-free rate+ default riskpremium+ liquidity premium+ maturity risk premium13.Effective annual rate (EAR) 实际年利率represents the annual rate of returnactually being earned after adjustments have been made for different compounding periods.14.EAR=(1+periodic rate)m-1Future value of a single sum1.Future value factor: (1+r)n2.FV=PV(1+r)nPresent value of a single sum1.Present value factor: 1/(1+r)n2.Annuities1.An annuity is a stream of equal cash flow that occurs at equal intervals over agiven period.2.Ordinary annuities普通年金: Cash flow occurs at the end of each period.3.Annuities due期初应付年金：Cash flow occurs at thebeginning of each period.Future value of an annuity due1.Future value of annuity due= future value of ordinary annuity*(1+n)2.做和annuity due相关的题目的时候都可以用两种方法，第一种是用计算器的BGN模式，另一种是用上面那条公式（用计算器的普通模式计算出结果，然后乘以“1+n”）。
Course Descriptionsfor Full-time Bilingual Top-up Bachelor ProgramsMANAGEMENT FINANCE ENGLISHBUSINESS INFORMATION TECHNOLOGY MANAGEMENTCourse Code: MGT01Course Title: 管理定量分析（Quantitative Analysis for Management）Credits: 3Course Description:管理定量分析课程是研究如何利用数据信息，作出最优决策的一门学科，是管理学科的主干课程之一。
本课程的任务是阐述管理科学中定量分析的基本思想、基本原理和方法，使学生对定量分析方法有较为全面的了解和认识，学会科学地分析已有的数据信息，统筹安排管理工作中的整体步骤，避免决策的随意性和盲目性。
其主要环节包括经验数据的提取、整理和分析、数学模型的建立、发展趋势的预测和推断、决策, 方案优劣的评判以及最优方案的确定等。
There has been an increasing tendency to turn to quantitative methods and models as a potential means for solving many of the problems that arise in management. The aims of this course are to enable students to familiarized themselves with the quantitative approaches to management decision marking, to enhance their reasoning and analytical capabilities and to develop their problem-solving skills. This course will impart an understanding of the application of quantitative methods to the areas of planning and control and to other management branches.Course Code: MGT02Course Title: 经济学（Economics）Credits: 3Course Description:本课程主要介绍有关现代经济学的一些基本原理及其应用。
quantitative 翻译quantitative的中文翻译是“定量的”或“数量的”。
它通常用于描述可用数字或数值来表示的事物或概念，以及与量化数据相关的分析和研究。
以下是一些关于quantitative的中英文对照例句和用法：1. Quantitative analysis is a systematic approach used to understand and interpret numerical data. (定量分析是一种系统的方法，用于理解和解释数字数据。
)2. The researcher conducted a quantitative study to determine the correlation between income and education level. (研究人员进行了一项定量研究，以确定收入与教育水平之间的相关性。
)3. The survey collected both qualitative and quantitative data to provide a comprehensive analysis of consumer behavior. (该调查收集了定性和定量数据，以提供对消费者行为的全面分析。
)4. The company used quantitative methods to assess the effectiveness of its advertising campaign. (该公司使用定量方法评估其广告活动的有效性。
)5. The researcher employed statistical techniques to analyze the quantitative data and identify significant patterns. (研究人员采用统计技术分析定量数据，并确定重要的模式。
)6. In order to support their arguments, the authors included quantitative evidence from multiple studies. (为了支持他们的论点，作者引用了多个研究中的定量证据。
国大计量金融专业(Quantitative Finance）介绍背景自二十世纪五十年代马科维茨(Markowitz)提出量化投资组合模型之后，数学在金融中的应用日益增多。
七十年代偏微分方程形式的布莱克·舒尔斯期权定价模型(Black–Scholes model)的提出更是在金融市场中起到了革命性的作用。
在如今的金融领域，交易和投资决策的制定以及风险管理运用了大量的数学模型；同时，愈发复杂和智能的模型也在逐渐创造新的交易投资模式(例如：量化交易Algorithm Trading)。
与传统的投资银行以及交易销售业务不同，了解和掌握复杂的数学模型需要很强的数学功底；开发这些数学模型则有着更高的门槛。
计量金融专业也正式在这个背景下应运而生的，值得注意的是，这个专业还有很多别的名称，例如金融工程(Financial Engineering)，数理金融(Mathematical Finance)等等。
它们指的都是上面所述的近几十年来在金融领域中逐渐兴起的分析方式。
区别于传统金融的分析方法，比如基本面(Fundamental Analysis)和技术面分析(Technical Analysis)，计量金融更倾向于构建数学模型，通过计算机辅助运算来模拟和分析金融市场，然后基于分析的结果做出交易，投资，以及风险管理的决策。
在华尔街作计量分析的人一般被称作宽客(Quant)，他们最初大都是从数学和物理的博士甚至教授转行过去的，比较著名的有文艺复兴公司(Renaissance)的James Simons（陈省身的学生）。
后来一些大学针对业界对宽客的不断需求，开始培养金融工程硕士(Master of Financial Engineering)。
而QF本科学位的出现则是近十几年来才有的事了。
作为一个多学科交叉的专业，QF专业可以放在不同的院系中，比如香港科技大学和新加坡管理大学的QF都属于商学院，北大的金融数学系在数学学院内。
