MASTER IN DE HANDELSWETENSCHAPPEN KULEUVEN: FINANCIEEL MANAGEMENT
2025-
2026
BELEGINGSLEER MODULE II:
FIXED INCOME INSTRUMENTS,
DERIVATIVES & ACTIVE PORTFOLIO
MANAGEMENT
PROF: NICO DEWAELHEYNS
DIEN VAN DEN EYNDE
,INHOUDSOPGAVEWAAR
Master in de Handelswetenschappen KULeuven: Financieel management ................................ 0
Vastrentende instrumenten-Afgeleide producten-Actief Portefeuillebeheer ............................. 7
1. Introductie, prijszetting & yields (BKM H14 – Bond Prices and Yields) ................................ 7
Obligaties................................................................................................................................................. 7
Waarom obligaties uitgeven? .................................................................................................................... 7
Risico/rendement ..................................................................................................................................... 8
Crisisbestendigheid ............................................................................................................................................... 9
Lange termijn rendementen en risico (1900-2000) ................................................................................................. 10
Gebruik in modelportefeuilles ..................................................................................................................11
Belang vastrentende effecten...................................................................................................................11
Totale wereldwijde geschatte marktwaardes (1 jan 2025) ...................................................................................... 12
BelaNg vastrentende effecten: emissies ............................................................................................................... 12
Nieuwe uitgiften: hoeveel geld ga ik elk jaar ophalen met dit .................................................................................. 12
Types vastrentende effecten ....................................................................................................................13
Overheidsobligaties .................................................................................................................................13
Amerikaanse overheidsobligaties .............................................................................................................13
Rapportering van obligatieprijzen .............................................................................................................14
Bedrijfsobligaties .....................................................................................................................................14
Bedrijfsobligaties : modaliteiten ........................................................................................................................... 15
Bedrijfsobligaties: kredietrisico emittent (default risk) ........................................................................................... 16
Default premia ........................................................................................................................................17
Government bond spreads .......................................................................................................................18
Prijsbepaling obligaties ............................................................................................................................19
Relatie rendement/prijs ...........................................................................................................................20
If yields go up, prices go down .............................................................................................................................. 21
Verlopen interest .....................................................................................................................................21
Yields ......................................................................................................................................................22
Yield-to-maturity .....................................................................................................................................23
Current Yields .........................................................................................................................................23
Yield-to-call ............................................................................................................................................24
YTM: assumpties ................................................................................................................................................. 25
Gerealiseerde rendementen ....................................................................................................................25
Holding period returns .............................................................................................................................26
Holding period returns: evolutie premiums/discounts naargelang de looptijd ......................................................... 27
Default Premia en yields ..........................................................................................................................28
Speciale obligatietypes ............................................................................................................................29
1) Zero-coupon obligatie ....................................................................................................................29
1
, 2) Perpetuele obligaties .....................................................................................................................30
3) Inflatiegelinkte obligaties................................................................................................................30
4) Floating rate obligaties ...................................................................................................................32
Floating rates: SOFR ............................................................................................................................................ 33
Floating rates: 6 maand EURIBOR......................................................................................................................... 33
Floating rate obligaties & risicopremies ................................................................................................................ 34
Berekeningen in excel ..............................................................................................................................36
Extra oefeningen ......................................................................................................................................36
2. Termijnstructuur (zie BKM H15 – The Term Structure of Interest Rates) ............................ 37
yieldcurve ...............................................................................................................................................37
Yield curve (VS).................................................................................................................................................... 37
Yield curve (VK).................................................................................................................................................... 38
Yield curve (België) .............................................................................................................................................. 38
Overheidsobligaties (België) .....................................................................................................................38
Overheidsobligaties (België): Staatsbon................................................................................................................ 39
Termijnstructuur en pricing ......................................................................................................................39
Wet van 1 prijs (law of one price) .......................................................................................................................... 40
Termijnstructuur: arbitrage .................................................................................................................................. 40
Termijnstructuur: verklaringen ............................................................................................................................. 40
Spot rates en short rates ..........................................................................................................................41
Short rates .......................................................................................................................................................... 42
Forward rates ..........................................................................................................................................42
Termijnstructuur: theorieën .....................................................................................................................43
1) (Pure) Expectations Hypothesis ................................................................................................................. 43
2) Liquidity Preference Hypothesis ................................................................................................................ 43
Termijnstructuur & liquiditeitspremies .................................................................................................................. 44
Interpretatie van termijnstructuur.............................................................................................................44
Term premium (VS) ..................................................................................................................................44
Gebruik van forward rates ........................................................................................................................45
Gebruik van forward rates: synthetic forward loans ............................................................................................... 45
Extra oefeningen ......................................................................................................................................46
3. Beheer van obligatieportefeuilles (zie BKM H16 – Managing Bond Portfolios) ................... 47
Portefeuillebeheer van obligaties .............................................................................................................47
Interestgevoeligheid ................................................................................................................................47
Duration ..................................................................................................................................................48
Duration en prijswijzigingen ................................................................................................................................. 50
Duration: eigenschappen ..................................................................................................................................... 51
Convexity ................................................................................................................................................51
Convexity: eigenschappen ................................................................................................................................... 53
Passieve portefeuillestrategieën ..............................................................................................................54
Bond Indexing...................................................................................................................................................... 54
Immunisatie ........................................................................................................................................................ 56
2
, Floating rate obligaties.............................................................................................................................60
Inverse floating rate obligaties ..................................................................................................................61
Cash flow matching .................................................................................................................................62
Actief portefeuillebeheer .........................................................................................................................63
Actieve obligatiefondsen ...................................................................................................................................... 63
Underperformance t.o.v. passief (Europa) ................................................................................................63
Underperformance t.o.v. passief (VS) .......................................................................................................64
Extra oefeningen ......................................................................................................................................64
4. Afgeleide producten: Opties (zie BKM H20 – Options Markets: Introduction) .................... 65
Afgeleide producten ................................................................................................................................65
Call opties ...............................................................................................................................................65
Call opties: standpunt van de houder ................................................................................................................... 66
Call opties: standpunt van de writer ..................................................................................................................... 67
Optievervaldagen (VS) .............................................................................................................................67
Put opties ................................................................................................................................................68
Put opties: standpunt van de houder .................................................................................................................... 68
Beurshandel in calls en puts ....................................................................................................................69
Opties: belangrijke begrippen...................................................................................................................69
Opties: andere onderliggende activa ........................................................................................................70
Hefboomwerking van opties .....................................................................................................................70
Optiestrategieën......................................................................................................................................72
1) Protective put ........................................................................................................................................... 72
2) Covered call ............................................................................................................................................. 73
3) Straddle.................................................................................................................................................... 74
4) Strangle .................................................................................................................................................... 75
• Spreads ....................................................................................................................................................... 75
Put-call parity ..........................................................................................................................................76
Instrumenten met impliciete opties: callable obligaties.............................................................................77
Instrumenten met impliciete opties: converteerbare obligaties..................................................................77
Instrumenten met impliciete opties: warrants ...........................................................................................78
Instrumenten met impliciete opties: leningen met onderpand ...................................................................78
Instrumenten met impliciete opties: corporate debt & equity .....................................................................79
Instrumenten met impliciete opties: beleggingsfondsen met kapitaalbescherming ....................................79
Instrumenten met impliciete opties: certificaten met kapitaalbescherming................................................79
Exotische opties ......................................................................................................................................80
Extra oefeningen ......................................................................................................................................80
5. Afgeleide producten: Waarderen van Opties (zie BKM H21 – Options Valuation) ............... 81
Componenten van een optieprijs ..............................................................................................................81
3
2025-
2026
BELEGINGSLEER MODULE II:
FIXED INCOME INSTRUMENTS,
DERIVATIVES & ACTIVE PORTFOLIO
MANAGEMENT
PROF: NICO DEWAELHEYNS
DIEN VAN DEN EYNDE
,INHOUDSOPGAVEWAAR
Master in de Handelswetenschappen KULeuven: Financieel management ................................ 0
Vastrentende instrumenten-Afgeleide producten-Actief Portefeuillebeheer ............................. 7
1. Introductie, prijszetting & yields (BKM H14 – Bond Prices and Yields) ................................ 7
Obligaties................................................................................................................................................. 7
Waarom obligaties uitgeven? .................................................................................................................... 7
Risico/rendement ..................................................................................................................................... 8
Crisisbestendigheid ............................................................................................................................................... 9
Lange termijn rendementen en risico (1900-2000) ................................................................................................. 10
Gebruik in modelportefeuilles ..................................................................................................................11
Belang vastrentende effecten...................................................................................................................11
Totale wereldwijde geschatte marktwaardes (1 jan 2025) ...................................................................................... 12
BelaNg vastrentende effecten: emissies ............................................................................................................... 12
Nieuwe uitgiften: hoeveel geld ga ik elk jaar ophalen met dit .................................................................................. 12
Types vastrentende effecten ....................................................................................................................13
Overheidsobligaties .................................................................................................................................13
Amerikaanse overheidsobligaties .............................................................................................................13
Rapportering van obligatieprijzen .............................................................................................................14
Bedrijfsobligaties .....................................................................................................................................14
Bedrijfsobligaties : modaliteiten ........................................................................................................................... 15
Bedrijfsobligaties: kredietrisico emittent (default risk) ........................................................................................... 16
Default premia ........................................................................................................................................17
Government bond spreads .......................................................................................................................18
Prijsbepaling obligaties ............................................................................................................................19
Relatie rendement/prijs ...........................................................................................................................20
If yields go up, prices go down .............................................................................................................................. 21
Verlopen interest .....................................................................................................................................21
Yields ......................................................................................................................................................22
Yield-to-maturity .....................................................................................................................................23
Current Yields .........................................................................................................................................23
Yield-to-call ............................................................................................................................................24
YTM: assumpties ................................................................................................................................................. 25
Gerealiseerde rendementen ....................................................................................................................25
Holding period returns .............................................................................................................................26
Holding period returns: evolutie premiums/discounts naargelang de looptijd ......................................................... 27
Default Premia en yields ..........................................................................................................................28
Speciale obligatietypes ............................................................................................................................29
1) Zero-coupon obligatie ....................................................................................................................29
1
, 2) Perpetuele obligaties .....................................................................................................................30
3) Inflatiegelinkte obligaties................................................................................................................30
4) Floating rate obligaties ...................................................................................................................32
Floating rates: SOFR ............................................................................................................................................ 33
Floating rates: 6 maand EURIBOR......................................................................................................................... 33
Floating rate obligaties & risicopremies ................................................................................................................ 34
Berekeningen in excel ..............................................................................................................................36
Extra oefeningen ......................................................................................................................................36
2. Termijnstructuur (zie BKM H15 – The Term Structure of Interest Rates) ............................ 37
yieldcurve ...............................................................................................................................................37
Yield curve (VS).................................................................................................................................................... 37
Yield curve (VK).................................................................................................................................................... 38
Yield curve (België) .............................................................................................................................................. 38
Overheidsobligaties (België) .....................................................................................................................38
Overheidsobligaties (België): Staatsbon................................................................................................................ 39
Termijnstructuur en pricing ......................................................................................................................39
Wet van 1 prijs (law of one price) .......................................................................................................................... 40
Termijnstructuur: arbitrage .................................................................................................................................. 40
Termijnstructuur: verklaringen ............................................................................................................................. 40
Spot rates en short rates ..........................................................................................................................41
Short rates .......................................................................................................................................................... 42
Forward rates ..........................................................................................................................................42
Termijnstructuur: theorieën .....................................................................................................................43
1) (Pure) Expectations Hypothesis ................................................................................................................. 43
2) Liquidity Preference Hypothesis ................................................................................................................ 43
Termijnstructuur & liquiditeitspremies .................................................................................................................. 44
Interpretatie van termijnstructuur.............................................................................................................44
Term premium (VS) ..................................................................................................................................44
Gebruik van forward rates ........................................................................................................................45
Gebruik van forward rates: synthetic forward loans ............................................................................................... 45
Extra oefeningen ......................................................................................................................................46
3. Beheer van obligatieportefeuilles (zie BKM H16 – Managing Bond Portfolios) ................... 47
Portefeuillebeheer van obligaties .............................................................................................................47
Interestgevoeligheid ................................................................................................................................47
Duration ..................................................................................................................................................48
Duration en prijswijzigingen ................................................................................................................................. 50
Duration: eigenschappen ..................................................................................................................................... 51
Convexity ................................................................................................................................................51
Convexity: eigenschappen ................................................................................................................................... 53
Passieve portefeuillestrategieën ..............................................................................................................54
Bond Indexing...................................................................................................................................................... 54
Immunisatie ........................................................................................................................................................ 56
2
, Floating rate obligaties.............................................................................................................................60
Inverse floating rate obligaties ..................................................................................................................61
Cash flow matching .................................................................................................................................62
Actief portefeuillebeheer .........................................................................................................................63
Actieve obligatiefondsen ...................................................................................................................................... 63
Underperformance t.o.v. passief (Europa) ................................................................................................63
Underperformance t.o.v. passief (VS) .......................................................................................................64
Extra oefeningen ......................................................................................................................................64
4. Afgeleide producten: Opties (zie BKM H20 – Options Markets: Introduction) .................... 65
Afgeleide producten ................................................................................................................................65
Call opties ...............................................................................................................................................65
Call opties: standpunt van de houder ................................................................................................................... 66
Call opties: standpunt van de writer ..................................................................................................................... 67
Optievervaldagen (VS) .............................................................................................................................67
Put opties ................................................................................................................................................68
Put opties: standpunt van de houder .................................................................................................................... 68
Beurshandel in calls en puts ....................................................................................................................69
Opties: belangrijke begrippen...................................................................................................................69
Opties: andere onderliggende activa ........................................................................................................70
Hefboomwerking van opties .....................................................................................................................70
Optiestrategieën......................................................................................................................................72
1) Protective put ........................................................................................................................................... 72
2) Covered call ............................................................................................................................................. 73
3) Straddle.................................................................................................................................................... 74
4) Strangle .................................................................................................................................................... 75
• Spreads ....................................................................................................................................................... 75
Put-call parity ..........................................................................................................................................76
Instrumenten met impliciete opties: callable obligaties.............................................................................77
Instrumenten met impliciete opties: converteerbare obligaties..................................................................77
Instrumenten met impliciete opties: warrants ...........................................................................................78
Instrumenten met impliciete opties: leningen met onderpand ...................................................................78
Instrumenten met impliciete opties: corporate debt & equity .....................................................................79
Instrumenten met impliciete opties: beleggingsfondsen met kapitaalbescherming ....................................79
Instrumenten met impliciete opties: certificaten met kapitaalbescherming................................................79
Exotische opties ......................................................................................................................................80
Extra oefeningen ......................................................................................................................................80
5. Afgeleide producten: Waarderen van Opties (zie BKM H21 – Options Valuation) ............... 81
Componenten van een optieprijs ..............................................................................................................81
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