FUTURESANDOPTIONSMARKETS(跨国公司财务管理-Jos.ppt

1,MultinationalFinancialManagementAlanShapiro7thEditionJ.Wiley&Sons,PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton,2,CHAPTER8,CURRENCYFUTURESANDOPTIONSMARKETS,3,CHAPTEROVERVIEW,I.FUTURESCONTRACTSII.CURRENCYOPTIONS,4,PARTI.FUTURESCONTRACTS,I.CURRENCYFUTURESA.Background1.1972:ChicagoMercantileExchangeopensInternationalMonetaryMarket.(IMM),5,FUTURESCONTRACTS,2.IMMprovidesa.anoutletforhedgingcurrencyriskwithfuturescontracts.b.Definitionoffuturescontracts:contractswrittenrequiringastandardquantityofanavailablecurrencyatafixedexchangerateatasetdeliverydate.,6,FUTURESCONTRACTS,c.AvailableFuturesCurrencies:1.)Britishpound5.)Euro2.)Canadiandollar6.)Japaneseyen3.)Deutschemark7.)Australiandollar4.)Swissfranc,7,FUTURESCONTRACTS,d.StandardContractSizes:contractsizesdifferforeachofthe7availablecurrencies.Examples:Euro=125,000BritishPound=62,500,8,FUTURESCONTRACTS,e.Transactioncosts:paymentofcommissiontoatraderf.Leverageishigh1.)Initialmarginrequiredisrelativelylow(e.g.lessthan.02%ofsterlingcontractvalue).,9,FUTURESCONTRACTS,g.Maximumpricemovements1.)Contractssettoadailypricelimitrestrictingmaximumdailypricemovements.,10,FUTURESCONTRACTS,2.)Iflimitisreached,amargincallmaybenecessarytomaintainaminimummargin.,11,FUTURESCONTRACTS,h.GlobalfuturesexchangesthatarecompetitorstotheIMM:1.)DeutscheTerminBourse2.)L.I.F.F.E.LondonInternationalFinancialFuturesExchange3.)C.B.O.T.ChicagoBoardofTrade,12,FUTURESCONTRACTS,4.)S.I.M.E.X.SingaporeInternationalMonetaryExchange5.)H.K.F.E.HongKongFuturesExchange,13,FUTURESCONTRACTS,B.Forwardvs.FuturesContractsBasicdifferences:1.TradingLocations6.SettlementDate2.Regulation7.Quotes3.Frequencyof8.Transactiondeliverycosts4.Sizeofcontract9.Margins5.Deliverydates10.Creditrisk,14,FUTURESCONTRACTS,Advantagesoffutures:1.)Smallercontractsize2.)Easyliquidation3.)Well-organizedandstablemarket.,Disadvantagesoffutures:1.)Limitedto7currencies2.)Limiteddatesofdelivery3.)Rigidcontractsizes.,15,PARTIICURRENCYOPTIONS,I.OPTIONSA.Currencyoptions1.offeranothermethodtohedgeexchangeraterisk.2.firstofferedonPhiladelphiaExchange(PHLX).3.fastestgrowingsegmentofthehedgemarkets.,16,CURRENCYOPTIONS,4.Definition:acontractfromawriter(theseller)thatgivestherightnottheobligationtotheholder(thebuyer)tobuyorsellastandardamountofanavailablecurrencyatafixedexchangerateforafixedtimeperiod.,17,CURRENCYOPTIONS,5.TypesofCurrencyOptions:a.Americanexercisedatemayoccuranytimeuptotheexpirationdate.b.Europeanexercisedateoccursonlyattheexpirationdate.,18,CURRENCYOPTIONS,7.ExercisePricea.Sometimesknownasthestrikeprice.b.theexchangerateatwhichtheoptionholdercanbuyorsellthecontractedcurrency.,19,CURRENCYOPTIONS,8.Statusofanoptiona.In-the-moneyCall:SpotstrikePut:Spotstrikec.At-the-moneySpot=thestrike,20,CURRENCYOPTIONS,9.Thepremium:thepriceofanoptionthatthewriterchargesthebuyer.,21,CURRENCYOPTIONS,B.WhentoUseCurrencyOptions1.Forthefirmhedgingforeignexchangeriska.Withsizableunrealizedgains.b.Withforeigncurrencyflowsforthcoming.,22,CURRENCYOPTIONS,2.Forspeculators-profitfromfavorableexchangeratechanges.,23,CURRENCYOPTIONS,C.OptionPricingandValuation1.Valueofanoptionequalsa.Intrinsicvalueb.Timevalue,24,CURRENCYOPTIONS,2.IntrinsicValuetheamountin-the-money3.TimeValuetheamounttheoptionisinexcessofitsintrinsicvalue.,25,CURRENCYOPTIONS,4.Otherfactorsaffectingthevalueofanoptiona.valueriseswithlongertimetoexpiration.b.valueriseswhengreatervolatilityintheexchangerate.,26,CURRENCYOPTIONS,5.Valueiscomplicatedbyboththehomeandforeigninterestrates.,27,CURRENCYOPTIONS,D.UsingForwardorFuturesContracts:Forwardandfutur