FUTURESANDOPTIONSMARKETS跨国公司财务管理课件

MultinationalFinancialManagement

AlanShapiro

7thEdition

J.Wiley&Sons

PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton1MultinationalFinancialManageCHAPTER8CURRENCYFUTURESANDOPTIONSMARKETS2CHAPTER8CURRENCYFUTURESAND

CHAPTEROVERVIEWI. FUTURESCONTRACTSII. CURRENCYOPTIONS3

CHAPTEROVERVIEWI. FUTURESPARTI.

FUTURESCONTRACTSI. CURRENCYFUTURES A. Background 1. 1972:ChicagoMercantile Exchange opensInternationalMonetary Market.(IMM)

4PARTI.

FUTURESCONTRACTSI. CUFUTURESCONTRACTS2. IMMprovides a. anoutletforhedgingcurrency riskwithfuturescontracts. b. Definitionoffuturescontracts:

contractswrittenrequiringastandardquantityofanavailablecurrency atafixedexchangerate atasetdeliverydate.5FUTURESCONTRACTS2. IMMprovidFUTURESCONTRACTSc. AvailableFuturesCurrencies:

1.)Britishpound 5.)Euro 2.)Canadiandollar 6.)Japaneseyen 3.)Deutschemark 7.)Australiandollar 4.)Swissfranc 6FUTURESCONTRACTSc. AvailableFUTURESCONTRACTS d. StandardContractSizes:

contractsizesdifferforeachof the7availablecurrencies.

Examples: Euro=125,000 BritishPound=62,5007FUTURESCONTRACTS d. StandardFUTURESCONTRACTSe. Transactioncosts: paymentofcommissiontoa traderf. Leverageishigh 1.) Initialmarginrequiredis relativelylow(e.g.lessthan .02%ofsterlingcontract value).8FUTURESCONTRACTSe. TransactiFUTURESCONTRACTSg. Maximumpricemovements 1.) Contractssettoadaily pricelimitrestricting maximumdailyprice movements.

9FUTURESCONTRACTSg. MaximumprFUTURESCONTRACTS2.) Iflimitisreached,amargin callmaybenecessaryto maintainaminimummargin.10FUTURESCONTRACTS2.) IflimitFUTURESCONTRACTSh. Globalfuturesexchangesthat arecompetitorstotheIMM:

1.) DeutscheTerminBourse 2.) L.I.F.F.E.LondonInternational FinancialFuturesExchange 3.) C.B.O.T.ChicagoBoardofTrade

11FUTURESCONTRACTSh. GlobalfutFUTURESCONTRACTS4.) S.I.M.E.X.SingaporeInternational MonetaryExchange5.) H.K.F.E.HongKongFuturesExchange12FUTURESCONTRACTS4.) S.I.M.E.FUTURESCONTRACTSB. Forwardvs.FuturesContracts Basicdifferences:

1.TradingLocations 6.Settlement Date 2.Regulation 7.Quotes 3.Frequencyof 8.Transaction delivery costs 4.Sizeofcontract 9.Margins 5.Deliverydates 10.Creditrisk

13FUTURESCONTRACTSB. ForwardvsFUTURESCONTRACTSAdvantagesoffutures:

1.)Smaller

contractsize 2.)Easyliquidation 3.)Well- organized andstable market.

Disadvantagesoffutures: 1.)Limitedto7 currencies 2.)Limiteddates ofdelivery 3.)Rigidcontract sizes.14FUTURESCONTRACTSAdvantagesofPARTII

CURRENCYOPTIONSI. OPTIONS A. Currencyoptions 1. offeranothermethodto hedgeexchangeraterisk. 2. firstofferedonPhiladelphia Exchange(PHLX). 3. fastestgrowingsegmentof thehedgemarkets.15PARTII

CURRENCYOPTIONSI. OPTCURRENCYOPTIONS4.Definition: acontractfromawriter(theseller)that givestherightnottheobligationtothe holder(thebuyer)tobuyorsellastandard amountof anavailablecurrencyatafixed exchangerateforafixedtimeperiod.

16CURRENCYOPTIONS4.DefinitionCURRENCYOPTIONS5. TypesofCurrencyOptions: a. American exercisedatemayoccurany timeuptotheexpirationdate. b. European exercisedateoccursonlyatthe expirationdate.17CURRENCYOPTIONS5. TypesofCuCURRENCYOPTIONS 7. ExercisePrice a. Sometimesknownasthe strikeprice. b. theexchangerateat whichtheoptionholder canbuyorsellthe contractedcurrency.18CURRENCYOPTIONS 7. ExercisePCURRENCYOPTIONS8. Statusofanoption a. In-the-money

Call: Spot>strike Put: Spot<strike

b. Out-of-the-money

Call: Spot<strike Put: Spot>strike

c. At-the-money

Spot=thestrike19CURRENCYOPTIONS8. StatusofaCURRENCYOPTIONS 9. Thepremium:thepriceofan optionthatthewritercharges thebuyer.20CURRENCYOPTIONS 9. ThepremiuCURRENCYOPTIONSB. WhentoUseCurrencyOptions 1. Forthefirmhedgingforeign exchangerisk

a.Withsizableunrealizedgains. b.Withforeigncurrencyflows forthcoming.

21CURRENCYOPTIONSB. WhentoUseCURRENCYOPTIONS 2. Forspeculators -profitfromfavorable exchangeratechanges.22CURRENCYOPTIONS 2. ForspeculCURRENCYOPTIONSC. OptionPricingandValuation 1.Valueofanoptionequals a.Intrinsicvalue b.Timevalue 23CURRENCYOPTIONSC. OptionPricCURRENCYOPTIONS 2. IntrinsicValue theamountin-the-money

3. TimeValue theamounttheoptionisin excessofitsintrinsicvalue.

24CURRENCYOPTIONS 2. IntrinsicCURRENCYOPTIONS4. Otherfactorsaffectingthe valueofanoption a. valueriseswithlonger timetoexpiration. b. valueriseswhengreater volatilityintheexchange rate.25CURRENCYOPTIONS4. OtherfactoCURRENCYOPTIONS5. Valueiscomplicatedbyboth thehomeandforeigninterest rates.26CURRENCYOPTIONS26CURRENCYOPTIONSD. UsingForwardorFutures Contracts: Forwardandfuturescontracts aremoresuitableforhedginga knownamountofforeign currencyflow.27CURRENCYOPTIONSD. UsingForwCURRENCYOPTIONSE. MarketStructure 1. Location a.OrganizedExchanges b.Over-the-counter 1.)Twolevels retailandwholesale28CURRENCYOPTIONSE. MarketStru演讲完毕，谢谢观看！演讲完毕，谢谢观看！MultinationalFinancialManagement

AlanShapiro

7thEdition

J.Wiley&Sons

PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton30MultinationalFinancialManageCHAPTER8CURRENCYFUTURESANDOPTIONSMARKETS31CHAPTER8CURRENCYFUTURESAND

CHAPTEROVERVIEWI. FUTURESCONTRACTSII. CURRENCYOPTIONS32

CHAPTEROVERVIEWI. FUTURESPARTI.

FUTURESCONTRACTSI. CURRENCYFUTURES A. Background 1. 1972:ChicagoMercantile Exchange opensInternationalMonetary Market.(IMM)

33PARTI.

FUTURESCONTRACTSI. CUFUTURESCONTRACTS2. IMMprovides a. anoutletforhedgingcurrency riskwithfuturescontracts. b. Definitionoffuturescontracts:

contractswrittenrequiringastandardquantityofanavailablecurrency atafixedexchangerate atasetdeliverydate.34FUTURESCONTRACTS2. IMMprovidFUTURESCONTRACTSc. AvailableFuturesCurrencies:

1.)Britishpound 5.)Euro 2.)Canadiandollar 6.)Japaneseyen 3.)Deutschemark 7.)Australiandollar 4.)Swissfranc 35FUTURESCONTRACTSc. AvailableFUTURESCONTRACTS d. StandardContractSizes:

contractsizesdifferforeachof the7availablecurrencies.

Examples: Euro=125,000 BritishPound=62,50036FUTURESCONTRACTS d. StandardFUTURESCONTRACTSe. Transactioncosts: paymentofcommissiontoa traderf. Leverageishigh 1.) Initialmarginrequiredis relativelylow(e.g.lessthan .02%ofsterlingcontract value).37FUTURESCONTRACTSe. TransactiFUTURESCONTRACTSg. Maximumpricemovements 1.) Contractssettoadaily pricelimitrestricting maximumdailyprice movements.

38FUTURESCONTRACTSg. MaximumprFUTURESCONTRACTS2.) Iflimitisreached,amargin callmaybenecessaryto maintainaminimummargin.39FUTURESCONTRACTS2.) IflimitFUTURESCONTRACTSh. Globalfuturesexchangesthat arecompetitorstotheIMM:

1.) DeutscheTerminBourse 2.) L.I.F.F.E.LondonInternational FinancialFuturesExchange 3.) C.B.O.T.ChicagoBoardofTrade

40FUTURESCONTRACTSh. GlobalfutFUTURESCONTRACTS4.) S.I.M.E.X.SingaporeInternational MonetaryExchange5.) H.K.F.E.HongKongFuturesExchange41FUTURESCONTRACTS4.) S.I.M.E.FUTURESCONTRACTSB. Forwardvs.FuturesContracts Basicdifferences:

1.TradingLocations 6.Settlement Date 2.Regulation 7.Quotes 3.Frequencyof 8.Transaction delivery costs 4.Sizeofcontract 9.Margins 5.Deliverydates 10.Creditrisk

42FUTURESCONTRACTSB. ForwardvsFUTURESCONTRACTSAdvantagesoffutures:

1.)Smaller

contractsize 2.)Easyliquidation 3.)Well- organized andstable market.

Disadvantagesoffutures: 1.)Limitedto7 currencies 2.)Limiteddates ofdelivery 3.)Rigidcontract sizes.43FUTURESCONTRACTSAdvantagesofPARTII

CURRENCYOPTIONSI. OPTIONS A. Currencyoptions 1. offeranothermethodto hedgeexchangeraterisk. 2. firstofferedonPhiladelphia Exchange(PHLX). 3. fastestgrowingsegmentof thehedgemarkets.44PARTII

CURRENCYOPTIONSI. OPTCURRENCYOPTIONS4.Definition: acontractfromawriter(theseller)that givestherightnottheobligationtothe holder(thebuyer)tobuyorsellastandard amountof anavailablecurrencyatafixed exchangerateforafixedtimeperiod.

45CURRENCYOPTIONS4.DefinitionCURRENCYOPTIONS5. TypesofCurrencyOptions: a. American exercisedatemayoccurany timeuptotheexpirationdate. b. European exercisedateoccursonlyatthe expirationdate.46CURRENCYOPTIONS5. TypesofCuCURRENCYOPTIONS 7. ExercisePrice a. Sometimesknownasthe strikeprice. b. theexchangerateat whichtheoptionholder canbuyorsellthe contractedcurrency.47CURRENCYOPTIONS 7. ExercisePCURRENCYOPTIONS8. Statusofanoption a. In-the-money

Call: Spot>strike Put: Spot<strike

b. Out-of-the-money

Call: Spot<strike Put: Spot>strike

c. At-the-money

Spot=thestrike48CURRENCYOPTIONS8. StatusofaCURRENCYOPTIONS 9. Thepremium:thepriceofan optionthatthewritercharges thebuyer.49CURRENCYOPTIONS 9. ThepremiuCURRENCYOPTIONSB. WhentoUseCurrencyOptions 1. Forthefirmhedgingforeign exchangerisk

a.Withsizableunrealizedgains. b.Withforeigncurrencyflows forthcoming.

50CURRENCYOPTIONSB. WhentoUseCURRENCYOPTIONS 2. Forspeculators -profitfromfavorabl