CFA Level 2: Derivatives
Master the pricing and valuation of forward commitments and contingent claims tested in the CFA Level II Derivatives topic area. This course covers the full 2026 curriculum: pricing equity forwards and futures with the carry arbitrage model, with and without underlying cash flows, valuing forward positions during their life, pricing and valuing forward rate agreements off the MRR spot curve, fixed-income forwards and futures with conversion factors, interest rate, currency, and equity swaps from discount factors, valuing European and American options in one- and two-period binomial trees with hedge ratios and risk-neutral probabilities, valuing interest rate options on a rate lattice, applying the Black-Scholes-Merton model to equities and currencies and the Black model to futures options, caps and floors, and swaptions, interpreting the option Greeks, executing delta hedges, managing gamma risk, and reading implied volatility. Every chapter teaches through runnable Python and assesses in the exam's own vignette format: item sets with data exhibits, three-option questions, and distractors built from real candidate errors. The course closes with a full timed item-set exam. Aligned to the 5-10% CFA Level II exam weight.
- Level: intermediate
- Duration: 4 weeks
- 8 sections
- Price: $20
Topics: forward pricing, forward valuation, carry arbitrage, cash and carry, no-arbitrage pricing, equity forwards, equity index futures, daily settlement, forward rate agreements, FRA pricing, MRR, interest rate futures, fixed-income futures, conversion factor, cheapest to deliver, interest rate swaps, par swap rate, swap valuation, currency swaps, equity swaps, binomial option valuation, hedge ratio, risk-neutral probability, two-period binomial tree, American options, early exercise, interest rate options, option arbitrage, Black-Scholes-Merton, lognormal distribution, Black model, options on futures, interest rate caps and floors, caplet, floorlet, swaptions, option Greeks, delta, gamma, vega, theta, rho, delta hedging, gamma risk, implied volatility, volatility smile, CFA Level II, derivatives, item sets, vignettes
What's inside
- Derivatives (CFA Level II)
- Chapter 1: Equity Forwards and Futures — The Carry Arbitrage Model
- Chapter 2: Interest Rate and Fixed-Income Forwards and Futures
- Chapter 3: Pricing and Valuing Swaps — Interest Rate, Currency, and Equity
- Chapter 4: Binomial Option Valuation
- Chapter 5: Black–Scholes–Merton and the Black Model
- Chapter 6: Option Greeks, Delta Hedging, and Implied Volatility
- Chapter 7: Derivatives Item-Set Exam