货币期货与期权市场(国际财务管理,JosephFGre.ppt

1,MultinationalFinancialManagementAlanShapiro7thEditionJ.Wiley&Sons,PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton,2,CHAPTER8,货币期货与期权市场,3,CHAPTEROVERVIEW,I.期货合约II.货币期权,4,PARTI.FUTURESCONTRACTS期货合约,I.货币期货A.背景1.1972:芝加哥商业交易所成立了国际货币市场部.(IMM),5,FUTURESCONTRACTS,2.IMMprovidesa.为货币投机者和希望减少货币风险者提供了一个交易场所.b.Definitionoffuturescontracts:contractswrittenrequiring给定货币的特定数量汇率在合约生效时确定交割日确定.,6,FUTURESCONTRACTS,c.AvailableFuturesCurrencies:1.)Britishpound5.)Euro2.)Canadiandollar6.)Japaneseyen3.)Deutschemark7.)Australiandollar4.)Swissfranc,7,FUTURESCONTRACTS,d.合约金额是标准化的:contractsizesdifferforeachofthe7availablecurrencies.Examples:Euro=125,000BritishPound=62,500,8,FUTURESCONTRACTS,e.交易费用:paymentofcommissiontoatraderf.较高的杠杆作用(P233)1.)Initialmarginrequiredisrelativelylow(e.g.lessthan.02%ofsterlingcontractvalue).,9,FUTURESCONTRACTS,g.限制每日价格变动的最大幅度1.)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.远期合约与期货合约的基本差异:1.交易方式6.结算2.管制7.标价法3.交割的频率8.交易费用4.合约金额9.保证金5.到期日10.信用风险235-236,14,FUTURESCONTRACTS,Advantagesoffutures:1.)Smallercontractsize2.)Easyliquidation3.)Well-organizedandstablemarket.,Disadvantagesoffutures:1.)Limitedto7currencies2.)Limiteddatesofdelivery3.)Rigidcontractsizes.,15,PARTIICURRENCYOPTIONS货币期权,I.OPTIONSA.Currencyoptions1.获得汇率有利变动所带来的好处.2.费城股票交易所(PHLX)1983.3.成长速度最快的风险套期市场.,16,CURRENCYOPTIONS,4.Definition:定义acontractfromawriter(theseller)thatgivestherightnottheobligationtotheholder(thebuyer)tobuyorsellastandardamountofanavailablecurrencyatafixedexchangerateforafixedtimeperiod.,17,CURRENCYOPTIONS,5.类型:a.Americanexercisedatemayoccuranytimeuptotheexpirationdate.b.Europeanexercisedateoccursonlyattheexpirationdate.,18,CURRENCYOPTIONS,7.ExercisePrice协定价格a.Sometimesknownasthestrikeprice.b.theexchangerateatwhichtheoptionholdercanbuyorsellthecontractedcurrency.,19,CURRENCYOPTIONS,8.Statusofanoptiona.In-the-money实值期权Call:SpotstrikePut:Spotstrikec.At-the-money平价Spot=thestrike,20,CURRENCYOPTIONS,9.期权费:thepriceofanoptionthatthewriterchargesthebuyer.,21,CURRENCYOPTIONS,B.如何使用货币期权1.Forthefirmhedgingforeignexchangeriska.Withsizableunrealizedgains.b.Withforeigncurrencyflowsforthcoming.,22,CURRENCYOPTIONS,2.Forspeculators-profitfromfavorableexchangeratechanges.,23,CURRENCYOPTIONS,C.期权定价及其价值1.Valueofanoptionequalsa.内在价值b.时间价值,24,CURRENCYOPTIONS,2.内在价值实值期权的价值量到期日前看涨期权的价值当前即期汇率协定价格3.时间价值theamounttheoptionisinexcessofitsintrinsicvalue.,25,CURRENCYOPTIONS,4.Otherfactorsaffectingthevalueofanoptiona.valueriseswithlongertimetoexpiration.b.valueriseswhengreatervolatilityintheexchangerate.,26,CURRENCYOPTIONS,5.Valueiscomplicatedbyboththehomeandforeigninterestrates.,27,CURRENCYOPTIONS,D.UsingForwardorFuturesContracts:Forwardandfuturescontractsaremoresuita