国际财务管理第六版中文版第五章

国际财务管理 EUN RESNICK SixthEdition INTERNATIONALFINANCIALMANAGEMENT EUN RESNICK FourthEdition 外汇市场交易时间 北京时间 FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarket FunctionandStructureoftheFXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarket FunctionandStructureoftheFXMarketTheSpotMarketSpotRateQuotationsTheBid AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarket FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross ExchangeRatesSwapTransactionsForwardPremium 外汇市场的功能和结构外汇即期市场外汇远期市场 ChapterOutline 外汇市场的功能和结构 将全球范围的协助交易的货币交易银行 非银行交易商和外汇经纪人联系在一起 外汇市场的参与者 FXMarketParticipants 外汇市场可分为两个层级 银行同业市场 Wholesale 客户市场 Retail 据2010年国际清算银行统计 14 为零售交易量 86 为银行同业交易 市场参与者包括 国际银行internationalbanks银行客户bank scustomers非银行交易商nobankdealers外汇经纪人FXbrokers俗称中介中央银行centralbanks 通汇关系 国际银行间的外汇交易如何结算的 Theinterbankmarketisanetworkofcorrespondentbankingrelationships画图中国进口商从荷兰进口一批商品 采用欧元结算 进口商 出口商 国际银行 国际银行 通汇账户 即期外汇市场TheSpotMarket 即期汇率标价套算汇率标价汇率买卖价差即期外汇交易三角套利 即期外汇标价 直接标价DirectquotationtheU S dollarequivalente g aJapaneseYenisworthaboutapenny 间接标价IndirectQuotationthepriceofaU S dollarintheforeigncurrencye g youget100yentothedollar 见表5 3 SpotRateQuotations SpotRateQuotations ThedirectquoteforBritishpoundis 1 1 9077 SpotRateQuotations TheindirectquoteforBritishpoundis 5242 1 SpotRateQuotations Notethatthedirectquoteisthereciprocaloftheindirectquote 5242 1 9077 1 请解释以下外汇标价含义S 0 8171 S 0 010854S HKD 0 1283S 0 6824 套算汇率标价 SupposethatS 1 4655i e 1 4655 1 andthatS 1 1975i e 1 1975 1 0Whatmustthe crossratebe 美式标价法欧式标价法一个美式与一个欧式标价汇率P117计算题1 汇率买卖价差TheBid AskSpread 买价 Thebidpriceisthepriceadealeriswillingtopayyouforsomething 卖价 Theaskpriceistheamountthedealerwantsyoutopayforthething 买卖价差 Thebid askspreadisthedifferencebetweenthebidandaskprices 思考 Sa 和Sa 以及Sb 和Sb 含义 关系 写出公式 TheBid AskSpread Adealercouldofferbidpriceof 1 25per askpriceof 1 26per askprice大于bidpriceThebid askspreadrepresentsthedealer sexpectedprofit TheBid AskSpread Adealerwouldlikelyquotethesepricesas50 55 Itispresumedthatanyonetrading 10malreadyknowsthe bigfigure 买卖价差 回答P107表中的含义 套算汇率买卖价差的计算以表5 6为例 辅以板书计算题P118第8和第9题 三角套利 CreditLyonnaisS 1 50 CreditAgricoleS 85 BarclaysS 120 书上的例子5 3 TriangularArbitrage CreditLyonnaisS 1 50 CreditAgricoleS 85 BarclaysS 120 TheimpliedS crossrateis CreditAgricolehaspostedaquoteofS 85sothereisanarbitrageopportunity So howcanwemakemoney 1 00 80 1 50 1 00 1 00 120 Thentradeyenforyourpreferredcurrency Buythe 80 sell 85 TriangularArbitrage CreditLyonnaisS 1 50 CreditAgricoleS 85 BarclaysS 120 Aseasyas1 2 3 1 Sellour for 2 Sellour for 3 Sellthose for 1 2 3 TriangularArbitrage Sell 100 000for atS 1 50receive 150 000 Sellour 150 000for atS 85receive 12 750 000 Sell 12 750 000for atS 120 receive 106 250 profitperroundtrip 106 250 100 000 6 250 TriangularArbitrage CreditLyonnaisS 1 50 CreditAgricoleS 85 BarclaysS 120 Herewehavetogo clockwise tomakemoney butitdoesn tmatterwherewestart 1 2 3 Ifwewent counterclockwise wewouldbethesourceofarbitrageprofits nottherecipient 即期外汇市场的微观结构 市场的围观结构是指市场运作的基本机制 即期外汇市场的买卖价差随着 外汇汇率波动程度的上升而增加 随着交易商竞争的家去而下降 私有信息 Privateinformation 是影响即期汇率的重要因素 isanimportantdeterminantofspotexchangerates 远期外汇市场 远期汇率标价远期多头和空头远期套算汇率远期升水互换交易 远期外汇市场 Aforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday 远期合约的例子 比如你订购一件畅销品的衣服 外汇远期市场涉及为了买入 卖出外汇而在现在签订合约 远期合约中 常见的到期期限分别为1 3 6 9 and12monthLonger termswapsareavailable 远期汇率标价 Considertheexample forBritishpounds thespotrateis 1 9077 1 00Whilethe180 dayforwardrateis 1 8904 1 00远期外汇汇率如何标价 ForwardRateQuotations SpotRateQuotations Spotrate Forwardrateislessthanspotrate 远期汇率标价 美式标价和欧式标价S SF 0 8662 F1 SF 0 8671 F3 SF 0 8686 F6 SF 0 8715 称为瑞士法郎对美元的远期升水 那么 远期升水的幅度是多少 远期多头与空头 比如F3 SF 0 8686若3个月后的即期汇率为0 8716或者为0 8616 黑板上画图例5 4 预期瑞士法郎会贬值 持有空头 卖出远期外汇合约 远期多头与空头 Ifyouhaveagreedtosellanything spotorforward youare short Ifyouhaveagreedtobuyanything forwardorspot youare long IfyouhaveagreedtosellFXforward youareshort IfyouhaveagreedtobuyFXforward youarelong 远期套算汇率 FN j k FN j FN k 采用美式标价套算采用欧式标价套算 ForwardCrossExchangeRates Ingenericterms Noticethatthe scancel ForwardCrossExchangeRates F6 CAD F6 CAD F6 1 2412 1 8904 2 3464 远期升水或贴水 远期升水或贴水的计算例5 5Forexample supposethe isappreciatingfromS 1 25toF180 1 30The180 dayforwardpremiumisgivenby 0 08 互换交易 Swaptransaction 买入 或卖出 远期外汇的同时 卖出 或买入 大约等量的即期外汇 比如 sohu公司要在墨西哥投资一子公司 需要100万比索 1年后子公司将会归还100万比索 sohu公司如何避免汇率波动风险 远期点数标价 即期1 1545 1 15481个月12 103个月32 386个月71 65 即期1 2365 1 23681个月2 43个月9 126个月10 20 CurrencySymbols Inadditiontothefamiliarcurrencysymbols e g therearethree lettercodesforallcurrencies Itisalonglist butselectedcodesinclude CHFSwissfrancsGBPBritishpoundZARSouthAfricanrandCADCanadiandollarJPYJapaneseyen Summary SpotratequotationsDirectandindirectquotesBidandaskpricesCrossRatesTriangulararbitrageForwardRateQuotationsForwardpremium discount Forwardpoints PracticeProblem Thecurrentspotexchangerateis 1 55 andthethree monthforwardrateis 1 50 Basedonyouranalysisoftheexchangerate youareconfidentthatthespotexchangeratewillbe 1 52 inthreemonths Assumethatyouwouldliketobuyorsell 1 000 000 a Whatactionsdoyouneedtotaketospeculateintheforwardmarket Whatistheexpecteddollarprofitfromspeculation b Whatwouldbeyourspeculativeprofitindollartermsifthespotexchangerateactuallyturnsouttobe 1 46 c Graphyourresults Solution a Ifyoubelievethespotexchangeratewillbe 1 52 inthreemon