国际财务管理之外汇市场ppt课件

TheMarketforForeignExchange,ChapterFour,现在，你觉得有没有进行交叉汇率套利的机会？描述一下你的结论是如何形成的。,ChapterOutline,FunctionandStructureoftheFXMarket外汇市场的功能与结构FXMarketParticipants外汇市场参与者CorrespondentBankingRelationships代理银行关系TheSpotMarket即期市场SpotRateQuotations即期市场报价TheBid-AskSpread买卖差价SpotFXTrading外汇即期市场交易CrossExchangeRateQuotations交叉汇率报价TriangularArbitrage三角套利SpotForeignExchangeMarketMicrostructure即期外汇市场的微观结构,4-3,#-3,ChapterOutlineContinued,TheForwardMarket远期市场ForwardRateQuotations远期利率报价LongandShortForwardPositions多头与空头ForwardCross-ExchangeRates三角远期汇率SwapTransactions掉期交易ForwardPremium远期溢价Exchange-TradedCurrencyFunds外汇交易货币基金,4-4,#-4,FXMarketParticipants远期市场参与者,TheFXmarketisatwo-tieredmarket:远期市场是双重市场Interbankmarket(wholesale)银行同业市场（批发）About100-200banksworldwidestandreadytomakeamarketinforeignexchange.造市商有100-200家Nonbankdealersaccountforabout40%ofthemarket.非银行交易商占市场的40%ThereareFXbrokerswhomatchbuyandsellordersbutdonotcarryinventoryandFXspecialists.经纪商只匹配交易，无有存货与专业人员。Clientmarket(retail)客户端市场（零售）Marketparticipantsincludeinternationalbanks,theircustomers,nonbankdealers,FXbrokers,andcentralbanks.,4-5,#-5,CircadianRhythmsoftheFXMarket外汇市场的交易节奏,4-6,Source:SamY.Cross,AllAbouttheForeignExchangeMarketintheUnitedStates,FederalReserveBankofNewYork,.,#-6,CorrespondentBankingRelationships银行同业关系,Largecommercialbanksmaintaindemanddepositaccountswithoneanother,whichfacilitatestheefficientfunctioningoftheFXmarket.大型商业银行之间要求对方保持存款账户，有利于外汇市场的有效运行。,4-7,#-7,CorrespondentBankingRelationships,BankAisinLondon.BankBisinNewYork.Thecurrentexchangerateis1.00=$2.00.AcurrencytraderemployedatBankAbuys100mfromacurrencytraderatBankBfor$200msettledusingitscorrespondentrelationship.利用两个银行之间的同业关系，A银行的一个货币交易者，从B银行的货币交易者，购买100m，交予对方$200m。,BankALondon,BankBNYC,4-8,一个美国人在London,一个英国人在NYC,#-8,Youcancheckyourwork:makesurethat1,300m=$1,200 x(1/$2)+100+600,BankAbuys100mfromBankBfor$200m,CorrespondentBankingRelationships,AssetsLiabilities,depositatB,300m,OtherAssets,600m,BsDeposit,$1,000m,OtherLheisasking$1.9720.Hewillpay.5071for$1andwillcharge.5072for$1,CurrencyConversionwithBid-AskSpreads不同货币差价转化,AspeculatorinNewYorkwantstotakea$10,000positioninthepound.一个纽约的投机者想用美元买英镑Afterhistrade,whatwillbehisposition?交易完成后他的头寸是多少？,4-20,#-20,Hesells250,000atthedealersbidprice:,Hesells500,000atthedealersaskprice:,SampleProblem,AbusinessmanhasjustcompletedtransactionsinItalyandEngland.Heisnowholding250,000and500,000andwantstoconverttoU.S.dollars.一个商人在意大利和英国做完了生意。Hiscurrencydealerprovidesthisquotation:GBP/USD0.502576USD/EUR1.473944,Whatarehisproceedsfromconversion?他换回多少美元？,#-21,AnotherSampleProblem,AnItalianhasjustcompletedtransactionsinAmericaandEngland.Heisnowholding$100,000and500,000,andwantstoconvertbothamountstotheeuro.一个意大利人在美国和英国完成了交易。Hiscurrencydealerprovidesthisquotation:GBP/USD0.502576USD/EUR1.473944,Whatarehisproceedsfromconversion?他换回多少欧元？,4-22,#-22,SpotFXTrading即期市场,Intheinterbankmarket,thestandardsizetradeisaboutU.S.$10million.在同业市场，一个交易标准单位是1000万美元。Abanktradingroomisanoisy,activeplace.银行的交易厅是一个吵杂而活跃的地方Thestakesarehigh.赌注很高。The“longterm”isabout10minutes.在这里，“长期”指10分钟。,4-23,#-23,1.00=0.75,Payattentiontoyour“currencyalgebra”!货币代数,CrossRates交叉（三角）汇率,SupposethatS($/)=1.50(i.e.,$1.50=1.00)andthatS($/)=2.00(i.e.,1.00=$2.00).Whatmustthe/crossratebe?,4-24,#-24,10,000,$19,712,13,371,CrossRateswithBid-AskSpreads交叉汇率下的买卖差价,Tofindthe/crossbidrate,consideraretailcustomerwho:为了知道/的交叉汇率，假设有一个零售客户：,10,000,=13,370.65,Startswith10,000,sellsfor$,andbuys:,Hehaseffectivelysoldata/bidpriceof1.3371/.他以1.3371/的买价，卖掉了英镑，买入欧元。,4-25,#-25,7,475,$14,738,10,000,CrossRateswithBid-AskSpreads,Tofindthe/crossaskrate,consideraretailcustomerwhostartswith10,000,sellsfor$,andbuys:,10,000,=7,474.97,Hehaseffectivelyboughtata/askpriceof1.3378/.他以1.3371/的卖价，买入了英镑。,4-26,#-26,CrossRateswithBid-AskSpreads,direct,indirect,RecallthatthereciprocaloftheS(/)bidistheS(/)ask.回忆下，直接和间接标价法的买价与卖家互为倒数。,4-27,思考：如果第三方的报价如此，有无套利机会？,#-27,TriangularArbitrage三角套利,Supposeweobservethesebankspostingtheseexchangerates.Aswehavecalculatedthe“noarbitrage”/crossbidandaskrates,wecanseethatthereisanarbitrageopportunity:假设这些银行各自的交易价格如上。“无套利”交叉汇率的买卖已经算好了。可以发现，如此报价存在着套利机会：,4-28,法国里昂信贷银行,法国农业信贷银行,德意志银行,#-28,TriangularArbitrage,BygoingthroughDeutscheBankandCreditLyonnais,wecansellpoundsfor1.3371.,ThearbitrageistobuythepoundsfromCreditAgricolefor1.3317.,4-29,#-29,TriangularArbitrage,Startwith1m.SelltoDeutscheBankfor$1,971,200:,BuyfromCreditLyonnais,receive1,337,132:,BuyfromCreditAgricole,receive1,004,078.89.,4-30,#-30,SpotForeignExchangeMicrostructure即期外汇市场结构,Marketmicrostructurereferstothemechanicsofhowamarketplaceoperates.是指市场运作的机制。Thebid-askspreadsinthespotFXmarket:即期市场的买卖差价IncreasewithFXexchangeratevolatility.随着汇率波动而增加。Decreasewithdealercompetition.随着交易商竞争而减小。Privateinformationisanimportantdeterminantofspotexchangerates.非公众信息是即期汇率的重要决定因素。,4-31,#-31,TheForwardMarket远期市场,ForwardRateQuotations远期汇率报价LongandShortForwardPositions远期多头与空头ForwardCrossExchangeRates远期交叉汇率ForwardPremium远期溢价SwapTransactions掉期交易,4-32,#-32,ForwardRateQuotations,TheforwardmarketforFXinvolvesagreementstobuyandsellforeigncurrenciesinthefutureatpricesagreedupontoday.今天签订的未来交易价格。Bankquotesfor1,3,6,9,and12monthmaturitiesarereadilyavailableforforwardcontracts.远期合约的到期日为Longer-termswapsareavailable.可以签订长期掉期协议。,4-33,#-33,ForwardRateQuotations,Considertheexchangeratesshowntotheright.ForBritishpounds,thespotexchangerateis$1.9717=1.00whilethe180-dayforwardrateis$1.9593=1.00Whatsupwiththat?右图所示，即期汇率是180天后的汇率是那么，这是怎么回事？,Clearlymarketparticipantsexpectthatthepoundwillbeworthlessindollarsinsixmonths.,4-34,#-34,ForwardRateQuotations,Considerthe(dollar)holdingperiodreturnofadollar-basedinvestorwhobuys1millionatthespotexchangerateandsellsthemforward:一个美元持有者，将美元在即期市场购入100万英镑，同时把此英镑在远期市场出售：,$HPR=0.00629,AnnualizeddollarHPR=1.26%=0.629%2,4-35,市场可以存在于异地，比如：八里桥市场和家乐福超市；也可以存在异时，比如外汇市场或证券市场。,HoldingPeriodReturn，HPR,#-35,ForwardPremium,Theinterestratedifferentialimpliedbyforwardpremiumordiscount.利率意味着远期溢价或折价Forexample,supposetheisappreciatingfromS($/)=1.55toF180($/)=1.60.欧元涨价了The180-dayforwardpremiumisgivenby:溢价是：,=0.0645,or6.45%,4-36,#-36,LongandShortForwardPositions,Ifyouhaveagreedtosellanything(spotorforward),youare“short.”卖-空头Ifyouhaveagreedtobuyanything(forwardorspot),youare“long.”买-多头Sp,ifyouhaveagreedtosellanFXforward,youareshort,andifyouhaveagreedtobuyanFXforward,youarelong.,4-37,#-37,PayoffProfiles损益图,profit,loss,Spotexchangein6months$/,Payofffromlongpositionin10,000,$1.9593/,$2.10/,$1,407,$1.90/,$593,Considerthepayoffsatmaturitytoalongpositioninasixmonthforwardcontracton10,000.买入6个月的英镑远期合约的损益状况,4-38,#-38,ForwardCrossRates,The3-monthforward/crossrateis:,4-39,#-39,CurrencySymbols,Inadditiontothefamiliarcurrencysymbols(,$)therearethree-lettercodesforallcurrencies.Itisalonglist,butselectedcodesinclude:CHFSwissfrancsGBPBritishpoundZARSouthAfricanrandCADCanadiandollarJPYJapaneseyen,4-40,#-40,Swaps,Aswapisanagreementtoprovideacounterpartywithsomethingheorshewantsinexchangeforsomethingthatyouwant.Oftenonarecurringbasis,e.g.,everysixmonthsforfiveyears.Swaptransactionsaccountforapproximately56percentofinterbankFXtrading,whereasoutrighttradesare11percent.SwapsarecoveredfullyinChapter10.,4-41,#-41,Exchange-TradedCurrencyFunds外汇货币基金