国际财务管理版中文版PPT课件

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bankscustomers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.$1.4655=1andthatS($/)=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$1.25peraskpriceof$1.26peraskprice大于bidpriceThebid-askspreadrepresentsthedealersexpectedprofit.,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,$1.00,120,Thentradeyenforyourpreferredcurrency.,Buythe80;sell85.,TriangularArbitrage,$,CreditLyonnaisS(/$)=1.50,CreditAgricoleS(/)=85,BarclaysS(/$)=120,Aseasyas123:,1.Sellour$for,2.Sellourfor,3.Sellthosefor$.,1,2,3,$,TriangularArbitrage,Sell$100,000foratS(/$)=1.50receive150,000,Sellour150,000foratS(/)=85receive12,750,000,Sell12,750,000for$atS(/$)=120,receive$106,250,profitperroundtrip=$106,250$100,000=$6,250,TriangularArbitrage,$,CreditLyonnaisS(/$)=1.50,CreditAgricoleS(/)=85,BarclaysS(/$)=120,Herewehavetogo“clockwise”tomakemoneybutitdoesntmatterwherewestart.,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($/),=1.2412*1,8904=2.3464,远期升水或贴水,远期升水或贴水的计算例5-5Forexample,supposetheisappreciatingfromS($/)=1.25toF180($/)=1.30The180-dayforwardpremiumisgivenby:,=0.08,互换交易,Swaptransaction：买入（或卖出）远期外汇的同时，卖出（或买入）大约等量的即期外汇。比如，sohu公司要在墨西哥投资一子公司，需要100万比索，1年后子公司将会归还100万比索，sohu公司如何避免汇率波动风险。远期点数标价,CurrencySymbols,Inadditiontothefamiliarcurrencysymbols(e.g.,$)therearethree-lettercodesforallcurrencies.Itisalonglist,butselectedcodesinclude:CHFSwissfrancsGBPBritishpoundZARSouthAfricanrandCADCanadiandollarJPYJapaneseyen,Summary,SpotratequotationsDirectandindirectquotesBidandaskpricesCrossRatesTriangulararbitrageForwardRateQuotationsForwardpremium(discount)Forwardpoints,PracticeProblem,Thecurrentspotexchangerateis$1.55/andthethree-monthforwardrateis$1.50/.Basedonyouranalysisoftheexchangerate,youareconfidentthatthespotexchangeratewillbe$1.52/inthreemonths.Assumethatyouwouldliketobuyorsell1,000,000.a.Whatactionsdoyouneedtotaketospeculateintheforwardmarket?Whatistheexpecteddollarprofitfromspeculation?b.Whatwouldbeyourspeculativeprofitindollartermsifthespotexchangerateactuallyturnsouttobe$1.46/?c.Graphyourresults.,Solution,a.Ifyoubelievethespotexchangeratewillbe$1.52/inthreemonths,yousho