金融衍生工具培训教材

IntroductiontoFinancialDerivatives,IntroductiontoFinancialDerivatives,AgendaIntroductiontoDerivativesTypesofDerivativesFRAsFuturesOptionsSwapsExoticsTrading,ClearingandSettlement,2,FactorsDrivinggrowthofDerivatives,Increasedvolatilityinassetpricesinfinancialmarkets.Increasedintegrationofnationalfinancialmarketswiththeinternationalfinancialmarkets.Markedimprovementincommunicationfacilitiesandsharpdeclineintheircosts.Developmentofmoresophisticatedtools,providingeconomicagentsawiderrangeofriskmanagementstrategies.Innovationsinthederivativesmarkets,whichoptimallycombinetherisksandreturnsoveralargenumberoffinancialassetsleadingto:higherreturns,reducedriskThenumberofoptioncontracts,multipliedbyThecontractmultiplierThecontractmultiplier(alsocalledcontractsize)isdifferentformostclassesofoptionsandisdeterminedbyeachexchangeIntheUS,thecontractsizeforoptionsonsharesis100Ifyoubuy10HDFCoptioncontracts,itmeansthatyouhavetherighttobuy1,000HDFCsharesatexpirationifthepriceisright(10 x100).,WhoTradesOptions,Twobroadcategoriesofplayersexistintheoptionmarkets:riskseekersandriskavoidersAriskseeker,isaspeculatorAriskavoider,isahedger,BuyerOnapublicstockexchange(alsoknownasETOs(ExchangeTradedOptions)Implicitlyagreedbetweentwoparties(alsoknownasOTCs(OverTheCounteroptions).,Optionsvs.Stocks,SimilaritiesListedOptionsaresecurities,justlikestocksOptionstradelikestocks,withbuyersmakingbidsandsellersmakingoffersOptionsareactivelytradedinalistedmarket,justlikestocksTheycanbeboughtandsoldjustlikeanyothersecurity,DifferencesOptionsderivetheirvaluefromsomethingelse,theunderlyingsecurityOptionshaveexpirationdates,whilestocksdonotThereisnotafixednumberofoptions,astherearewithstocksharesavailableStockownershaveashareofthecompany,withvotinganddividendright.Optionsconveynosuchrights,OptionsTerminology,CallOption:Itgivestheholdertherightbutnottheobligationtobuyanassetbyacertaindateforacertainprice.PutOption:Itgivestheholdertherightbutnottheobligationtosellanassetbyacertaindateforacertainprice.OptionPremium:Thepriceatwhichtheoptionbuyerpaystotheoptionseller.Strikeprice-amountbuyerpaysfortheassetExercise-actofpayingstrikepricetoreceivetheassetExpiration-whenoptionmustbeexercised,orbecomeworthlessAmericanOption:Theoptionsthatcanbeexercisedatanytimeuptotheexpirationdate.Europeanstyle-onlyexerciseonx-dateBermudanstyle-duringspecifiedperiods,OptionsTerminology,IntheMoneyOption:Itisanoptionthatwouldleadtoapositivecashflowtotheholderifitwereexercisedimmediately.Acalloptionontheindexissaidtobeinthemoneywhenthecurrentindexstandsatalevelhigherthanthestrikeprice(i.e.Spotpricestrikeprice).Inthecaseofput,theputisITMiftheindexisbelowthestrikeprice.AtthemoneyOption:Itisanoptionthatwouldleadtozerocashflowifitwereexerciseimmediately.Anoptionisatthemoneywhenthecurrentindexequalsthestrikeprice.,41,OptionsTerminology,OutofthemoneyOption:ItisanoptionthatwouldleadtoanegativeCashflowifitwereexercisedimmediately.Acalloptionontheindexisoutofthemoneywhenthecurrentindexstandsatalevel,whichislessthanthestrikeprice(i.e.spotpricestrikeprice).Inthecaseofput,theputisOTMiftheindexisabovethestrikeprice.,42,YourStrategy,InBullMarketsBuyCalls,ProtectivePutsInBearMarketsBuyPuts,WhyTradeOptions,OptiontradingprovidesmanyadvantagesoverotherinvestmentvehiclesLeverageLimitedriskInsuranceProfitinginbearmarketsEachwaybettingMarketgoingnowhere,AnExample,AninvestorbuysaPutonHDFCstockwithastrikepriceof1000(thefutureexchangeprice)andanexercisedateofMay1,2010,andpaysapremiumof50forthisputoption.Thecurrentpriceis1200AssumepriceonMay1is900youwillexercisetheoptionandendupwithaprofitof50,Straddles,Rs.4300BuyCallaswaphaszerovalueatthebeginning.Onepartytendstopayafixedratewhiletheotherpaysonthemovementoftheunderlyingasset.However,aswapcanbestructuredsothatbothpartiespayeachotheronthemovementofanunderlyingasset.Partiesmakepaymentstoeachotheronasettlementdate.Partiesmaydecidetoagreetojustexchangethedifferencethatisduetoeachother.Thisiscallednetting.Finalpaymentismadeontheterminationdate.Usuallytradedintheover-the-countermarket.Thismeanstheyaresubjecttocreditrisk.,TypesofSwaps,InterestRateswaps:Itisanagreementbetween2partiestoexchangeinterestobligationsorreceiptsinthesamecurrencyonanagreedamountofnotionalprincipalforanagreedperiodoftime.Maincharacteristics:Iteffectivelytranslatesafloatingrateborrowingintoafixedrateborrowingandviceversa.Thenetinterestdifferentialispaidorreceived,asthecasemaybe.ThereisnoexchangeofprincipalrepaymentobligationsItisstructuredasaseparatecontractdistinctfromtheunderlyingloanagreementItisapplicabletonewaswellasexistingborrowings,54,TypicalUsesofanInterestRateSwap,Convertingaliabilityfromfixedratetofloatingratefloatingratetofixedrate,Convertinganinvestmentfromfixedratetofloatingratefloatingratetofixedrate,TypesofSwaps,CurrencySwap:Itisanagreementbetween2partiestoexchangepaymentsorreceiptsinonecurrencyforpaymentsorreceiptsinanother.Currencyswapsinvolve:AnexchangeofprincipalamountstodayAnexchangeofinterestpaymentsduringthecurrencyoftheloansAre-exchangeofprincipalamountsatthetimeofmaturity,56,SWAP-Process,Currencyswapisacontracttoexchangecashflowstreamsfromsomefixedincomeobligations(-swappingpaymentsfromafixed-rateloanforpaymentsfromafloatingrateloan).Inacurrencyswap,thecashflowsareindifferentcurrencies,sotheycantnet.Instead,fullprincipalandinterestpaymentsareexchanged.Attheoriginationofaswapagreement,thecounterpartiesexchangenotionalprincipalsinthetwocurrencies.Duringthelifeoftheswap,eachpartypaysinterest(inthecurrencyoftheprincipalreceived)totheother.Atmaturity,eachmakesafinalexchange(atthesamespotrate)oftheinitialprincipalamounts,therebyreversingtheinitialexchange.Generally,eachpartyintheagreementhasacomparativeadvantageovertheotherwithrespecttofixedorfloatingratesforacertaincurrency.,WhySwapsWork,PeoplehaveoppositepositionsSpreaddifferentialsinmarketsMarketaccessMoredifficultforsmallfirmstoborrowinEuropeanmarketsv.USmarketsCheaptoeliminaterisk,EXOTICS,ExoticsIntroduction,Anexoticisaderivativewhichhasfeaturesmakingitmorecomplexthancommonlytradedproducts(vanillaoptions).Theseproductsareusuallytradedover-the-counter(OTC)Exoticsasopposedtovanillareferstothefactthatthepayoffisnotstandard,asisthecaseforaregularcalloption.,ExoticsCharacteristics,Anexoticproductcouldhaveoneormoreofthefollowingfeatures:Thepayoffatmaturitydependsnotjustonthevalueoftheunderlyingindexatmaturity,butatitsvalueatseveraltimesduringthecontractslife:couldbeanAsianoptiondependingonsomeaverage,alookbackoptiondependingonthemaximumorminimum,abarrieroptionwhichceasestoexistifacertainlevelisreachedornotreachedbytheunderlying,adigitaloption)Itcoulddependonmorethanoneindex(asinbasketoptions)Therecouldbecallabilityandputabilityrights.,Exotics-Types,ChooserOptionAllowsthebuyertodeterminethecharacteristicsofanoptionduringapre-determinedsettimespan.LookBackOptionAffordsthebuyertheluxuryof“lookingback”duringthelifeoftheoptionandchoosethepricelevelthatwouldgeneratethemostgain.AsianOptionPayoffisnotdeterminedbytheunderlyingpriceatmaturitybutbytheaverageunderlyingpriceoversomepre-setperiodoftime.BasketOptionOptionwhoseunderlyingassetisabasketofcommodities,securities,orcurrencies,Exotics-Types,BinaryOptionPayoffiseithersomefixedamountofsomeassetornothingatall.Theoptionsarebinaryinnaturebecausethereareonlytwopossibleoutcomes.Theyarealsocalledall-or-nothingoptionsordigitaloptions.BarrierOptionOptiontoexercisedependsontheunderlyingcrossingorreachingagivenbarrierlevel.Inoptionsstarttheirlivesworthlessandonlybecomeactiveintheeventapredeterminedknock-inbarrierpriceisbreached.Outoptionsstarttheirlivesactiveandbecomenullandvoidintheeventacertainknock-outbarrierpriceisbreached.BermudanOptionOptionexercisableonlyonpredetermineddates.NeitherAmericannorAmerican.,Trading,Clearing&SettlementSystemsforExchangeTradedDerivatives,64,FeaturesofExchangeTradedDerivatives,CentralizationofTradingNocounterpartyriskStandardizationofcontractsLiquidityMarktoMarket(MTM)marginingsystemSquaredoffincashonexpiration.Threeseriestradeatanypointintime.ContractexpiresonlastThursdayofthemonth.,Benefitsofferedbyafullyautomatedtradingplatformoveritsopen-outcrycounterpart,TransparencySpeedofexecutionReducedmarketimpactNoissuesofunmatchedtradesStraightthroughprocessing(STP),66,ClearingandSettlementsystems,Allderivativesmarketcontractsarefixedperiodscontracts,havingmaturitydates.Thesescontractsgettradedontheexchangetilltheirmaturitydate.Entitiesinaderivativesmarketclearingandsettlementsystemwouldbe:Exchange(s)TradingMembers(TM)ClearingMembers(CM)Trading-clearingmemberCustodialclearingmemberProfessionalclearingmember,67,ClearingandSettlementsystems,ClientsInterfacesMonitoringandsurveillancesystemMarginingsystemCollateralsystemDepositoriesCorporateactionsystemClearingbanksCurrency,68,Clearingistheprocessofdeterminingobligations(cashanddelivery)resultingfromthebuying/sellingofaderivativescontractGenerallyunderstoodasCentralCounterpartyclearingMostexchange-tradedcontractsarebydefaultsubjecttoCCPclearing,Clearingandriskmanagementforderivativesmarkets-Concept,Clearingprocess,Clearingmechanismessentiallyinvolvesworkingoutopenpositionorobligationofmembers.Theendofdaypositionbeforemakinganyadjustmentsforexerciseorexpiryarecalledpre-adjustedposition.Theclearingsystemvalidatestheexcisesagainstavailablelongpositionandmoney-nessoftheoptioncontracts.Incasetheexercisingmemberdoesnthavesufficientlongpositionasmentionedintheexerciserequestortheoptioncontractsisnotin-the-money,theexerciserequestisrejected.,70,Clearingprocess,Allvalidatedexercisesaresummedandthetotalexercisedpositionintermsofmarketablelotsisdetermined.Theseexercisedpositionsareassignedtomembershavingopenshortpositionattheendoftheday.Allopensalepositionsatclientslevelattheendofthedayareconsideredforthepurposeofassignment.Assignmentisusuallydoneonarandombasis.Afterdeterminationoftheexercisedandassignedquantitiesagainstthemembers,thepositionarerecomputed.Thepositionsnowheldinthesystemarecalledpost-adjustedpositi