DFC Cheat Sheet — Futures, Options, Formulas, Payoffs, Swaps, Checklists and Glossary

Use this as your last-mile DFC review. Pair it with the Guide Home, the Study Plan, the FAQ, the Official Resources, and exact DFC practice on MasteryExamPrep.

Official blueprint (CSI)

DFC is 65 multiple-choice questions. Weightings below map to target question counts.

Sources: https://www.csi.ca/en/learning/courses/dfc/curriculum and https://www.csi.ca/en/learning/courses/dfc/exam-credits

DFC in one paragraph

DFC rewards candidates who can identify the contract first, then apply the right payoff, pricing, or purpose logic. Most misses happen because candidates confuse instrument structure, not because the arithmetic is hard.

Derivatives in one picture

    flowchart LR
	  U[Underlying] --> F["Futures/Forwards (linear)"]
	  U --> O["Options (non-linear)"]
	  U --> S["Swaps (linear legs)"]
	  F --> H["Hedge or speculate"]
	  O --> P["Protect, generate income, or gain leverage"]
	  S --> X["Swap one exposure for another"]

Pressure map

Futures fundamentals

Futures vs forwards

• Forward: OTC, customized, bilateral credit exposure.
• Future: exchange-traded, standardized, cleared, and marked to market daily.

Futures profit and loss

[ \text{Futures P/L}=\Delta F \times M \times N ]

Where:

• (\Delta F) is the price move
• (M) is the contract multiplier
• (N) is the number of contracts

Direction check:

• long benefits from rising futures prices
• short benefits from falling futures prices

Margin and marking to market

• Initial margin: amount posted to open or maintain the position
• Variation margin: daily gain or loss settlement
• Margin call: triggered when equity falls below the required threshold

Carry, basis, and convergence

[ F_0 \approx S_0 e^{(r-q)T} ]

• Basis: (S-F)
• Convergence: futures and spot approach each other near expiry

Use basis to explain why a hedge may be imperfect.

Hedge rule

Choose the futures position that moves opposite the exposure you need to protect.

Exchange-traded options

Moneyness

Intrinsic value

[ \text{Call intrinsic}=\max(S-K,0) ] [ \text{Put intrinsic}=\max(K-S,0) ]

Time value is premium minus intrinsic value.

Core payoff formulas

• Long call profit: (\max(S_T-K,0)-P)
• Short call profit: (P-\max(S_T-K,0))
• Long put profit: (\max(K-S_T,0)-P)
• Short put profit: (P-\max(K-S_T,0))

Option price drivers

• underlying price
• strike price
• time to expiry
• volatility
• interest rates

Delta

• call delta is usually positive
• put delta is usually negative

Swaps

Interest rate swap

• one side pays fixed and receives floating, or vice versa
• used to change interest-rate exposure

Currency swap

• exchanges principal and interest in different currencies
• used to manage FX exposure and funding structure

Credit swap

• transfers credit risk
• exam questions usually center on credit exposure and control language

Funds, structured products, and operations

Why funds use derivatives

• manage cash flows efficiently
• hedge FX or rate exposure
• gain or adjust exposure without trading the underlying directly

PPN intuition

• zero-coupon bond for principal protection at maturity
• option exposure for upside participation

Operational risk buckets

• market risk
• credit risk
• liquidity risk
• operational risk

Start by identifying the risk, then choose the better control or monitoring answer.

DFC route check

Pressure checklist

• identify the contract before using the formula
• identify whether the fact pattern is hedge or speculation
• check position direction before calculating profit or loss
• separate futures, options, and swaps vocabulary
• take the operational question if it is easy and clean