米什金货币金融学(商学院版)第13章课件

Chapter13FinancialDerivativesChapter13FinancialDerivative13.1HedgingEngageinafinancialtransactionthatreducesoreliminatesriskLongposition=buyingofasecuritywiththeexpectationthattheassetwillriseinvalue.Shortposition=agreetosellsecuritiesatfuturedateHedgingriskinvolvesengaginginafinancialtransactionthatoffsetsalongpositionbytakinganadditionalshortposition,oroffsetsashortpositionbytakinganadditionallongposition13.1HedgingEngageinafinanc13.2Interest-RateForwardContractsForwardcontracts:Agreementsbytwopartiestoengageinafinancialtransactionatafuture(forward)pointintimeInterest-rateforwardcontractsinvolvethefuturesale(orpurchase)ofadebtinstrument.1)Specificationoftheactualdebtinstrumentthatwillbedeliveredatafuturedate2)Amountofthedebtinstrumenttobedelivered3)Price(interestrate)onthedebtinstrumentwhenitisdelivered4)Dateonwhichdeliverywilltakesplace13.2Interest-RateForwardConLongposition

HedgesbylockinginfutureinterestrateiffundscominginfutureShortposition

HedgesbyreducingpriceriskfromchangeininterestratesifholdingbondsLongpositionProsandConsofForwardContractsPros Flexible:CanbeasflexibleasthepartiesinvolvedwouldlikeCons1. Lackofliquidity:hardtofindcounterparty2. Subjecttodefaultrisk:requiresinformationtoscreengoodfrombadriskProsandConsofForwardContr13.3FinancialFuturesContractsandMarketsSimilartoaninterest-rateforwardcontractbutdiffersinwaysthatovercomesomeoftheliquidityanddefaultproblems .Example—InterestRateFuturesContractvalue--$10,0001point=$1,000Smallestchange=1/32point=$31.25Bondstobedelivered=notcallableandhaveatleast15yearstomaturity13.3FinancialFuturesContracLongposition:whobuysafuturescontractandtherebyagreestobuythebonds.Shortposition:whosellsafuturescontractandtherebyagreestosellthebonds.Attheexpirationdateofafuturescontract,thepriceofthecontractconvergestothepriceoftheunderlyingassettobedeliveredi

,longcontracthasloss,shortcontracthasprofitLongposition:whobuysafutuHedgingwithFinancialFuturesHolding$5Mof6s2030Needtooffsetthelongpositioninthebondwithashortpositions(sellingafuturescontract).NC=VA/VC=50Ifinterestratesincreaseoverthenextyearto8%

ValueonMarch2011@8%interestrate $4,039,640 ValueonMarch2010@6%interestrate -$5,000,000 Loss -$960,360HedgingwithFinancialFuturesHedgingwithFinancialFutures(cont’d)Shortpositioninthefuturescontractshasvalueof$4,039,640(thevalueofthe$5Minbondsaftertheinterestraterises)butthebuyerofthefuturescontractagreedtopayyou$5Monthematuritydate.Yourgainis$960,360,thishasbeenasuccessfulhedge.HedgingwithFinancialFutures13.3.1OrganizationofTradinginFinancialFuturesMarketsOrganizedexchangesRegulatedbytheCommodityFuturesTradingCommission(CFTC)EnsurepricesarenotmanipulatedRegistersandauditsbrokers,traders,andexchangesApprovesproposedfuturescontractstoensuretheyservethepublicinterestTradinghasbecomeinternationalizedanddone24hoursaday13.3.1OrganizationofTradingTable1WidelyTradedFinancialFuturesContractsinTheUnitedStatesTable1WidelyTradedFinanci米什金货币金融学(商学院版)第13章ppt课件米什金货币金融学(商学院版)第13章ppt课件13.3.2ExplainingtheSuccessofFuturesMarketsFuturesmoreliquid:(1)Quantitiesdeliveredanddeliverydatesarestandardized(2)Afuturescontractcanbetradedagainatanytimeuntildeliverydate.(3)AnyTreasurybondthatmaturesinmorethanfifteenyearsandisnotcallableforfifteenyearsiseligiblefordeliveryLimitsthepossibilityofcornering

themarket13.3.2ExplainingtheSuccessoExplainingtheSuccess

ofFuturesMarket(cont’d)2.BuyerandsellermakethecontractwithaclearinghouseMarginrequirementthatismarkedtomarketeveryday3.MostfuturescontractsdonotresultindeliveryoftheunderlyingassetontheexpirationdateReducestransactioncostsExplainingtheSuccess

ofFut13.4OptionsContractsthatgivethepurchasertheoption(right)tobuyorselltheunderlyingfinancialinstrumentataspecifiedprice(exerciseorstrikeprice)withinaspecificperiodoftime(termtoexpiration).Thesellerisobligatedtobuyorsellthefinancialinstrumentifthebuyeroftheoptionexercisestherighttosellorbuy.Thebuyerdoesnothavetoexercisetheoption.13.4OptionsContractsthatgiOptionsApremiumispaidfortheoptionAmericanoptioncanbeexercisedatanytimeuptotheexpirationdateEuropeanoptionscanonlybeexercisedontheexpirationdateStockoptionsFuturesoptionsMoreliquidthandebtinstrumentmarketsRegulatedbytheSEC(stocks)andthe

CFTC(futures)OptionsApremiumispaidforASimpleExampleSupposeonebuysanoptioncontract.Rightforbuyer–purchase100sharesofstockofIBMTimeperiod--3monthsExerciseprice--＄60/persharePremium--＄5/pershareofstockASimpleExampleSupposeonebuASimpleExampleStockPrice556065707580Buyer

Seller

Thenbytheexpirationdate,thepossibleprofitsorlossespershareofstockforthebuyerandthesellerareasfollows.ASimpleExampleStockPrice55ASimpleExampleStockPrice556065707580Buyer-5-5051015Seller550-5-10-15ASimpleExampleStockPrice55ASimpleExample-5+56065StockPriceProfitProfitofBuyerLossofSellerASimpleExample-5+56065Stock13.4.1OptionsContractsCalloptiongivestheownertherighttobuyafinancialinstrumentattheexercisepricewithinaspecificperiodoftimePutoptiongivestheownertherighttosellafinancialinstrumentattheexercisepricewithinaspecificperiodtotime13.4.1OptionsContractsCallo13.4.2DifferencesBetweenOptionsandFuturesContracts1.Forafuturescontracttheprofitsgrowbyanequaldollaramountforeverypointincreaseinthepriceoftheunderlyingfinancialinstrument(linearprofitfunction)Fortheoptioncontractprofitsdonotalwaysgrowbythesameamountforagivenchangeinthepriceoftheunderlyingfinancialinstrumentbecauseoftheprotectionaffordedfromlosses(nonlinearprofitfunction).13.4.2DifferencesBetweenOptForcalloption(1)IfP<exerciseprice(outofmoney)loss=premium(2)IfP=exerciseprice(atthemoney)loss=premium(3)IfP>exerciseprice(inthemoney)makeprofitForputoption(1)IfP>exerciseprice(outofmoney)loss=premium(2)IfP=exerciseprice(atthemoney)loss=premium(3)IfP<exerciseprice(inthemoney)makeprofitForcalloptionProfitsandLossesonOptionsVersusFuturesContractsProfitsandLossesonOptionsDifferencesBetweenOptionsandFuturesContracts(cont’d)2.Initialinvestmentonthecontractsdiffer3.Moneychangeshandsdailyinthefuturesmarket;onlyoncefortheoptioncontract(whentheoptionisexercised).DifferencesBetweenOptionsan13.4.3PricingOptionPremiums1.Thehigherthestrikeprice,everythingelsebeingequal,thelowerthepremiumoncall(buy)optionsandthehigherthepremiumonput(sell)options2.Thegreaterthetermtoexpiration,everythingelsebeingequal,thehigherthepremiumsforbothcallandputoptions3.Thegreaterthevolatilityofpricesoftheunderlyingfinancialinstrument,everythingelsebeingequal,thehigherthepremiumsofbothcallandputoptions13.4.3PricingOptionPremiums13.5SwapsFinancialcontractsthatobligateeachpartytothecontracttoexchangeasetofpayments(notassets)itownsforanothersetofpaymentsownedbyanotherpartyCurrencyswapsinvolvetheexchangeofasetofpaymentsinonecurrencyforasetofpaymentsinanothercurrencyInterest-rateswapsinvolvetheexchangeofonesetofinterestpaymentsforanothersetofinterestpayments,a