《金融学》（第二版） 课件 （英文） -Chapter14 Forward and Futures Markets

Chapter14:

ForwardandFutures MarketsObjectiveHowtopriceforwardandfuturesStorageofcommoditiesCostofcarryUnderstandingfinancialfutures1Chapter14:Contents14.1DistinctionBetweenForward&FuturesContracts14.2TheEconomicFunctionofFuturesMarkets14.3TheRoleofSpeculators14.4RelationBetweenCommoditySpot&FuturesPrices14.5ExtractingInformationfromCommodityFuturesPrices14.6Forward-SpotPriceParityforGold14.7FinancialFutures14.8The“Implied”RisklessRate14.9TheForwardPriceisnotaForecastoftheSpotPrice14.10Forward-SpotPrice-ParitywithCashPayouts14.11“Implied”Dividends14.12TheForeign-ExchangeParityRelation14.13TheRoleofExpectationsinDeterminingExchangeRates214.1DistinctionBetweenForward&FuturesContractspartiesagreetoexchangesomeiteminthefutureatadeliverypricespecifiednowtheforwardpriceisdefinedasthedeliverypricewhichmakesthecurrentmarketvalueofthecontractzeronomoneyispaidinthepresentbyeitherpartytotheotherthefacevalueofthecontractisthequantityoftheitemspecifiedinthecontractmultipliedbytheforwardpricethepartywhoagreestobuythespecifiedtakesthelongposition,andthepartywhoagreestoselltheitemtakestheshortposition3TermsOpen,High,Low,Settle,Change,Lifetimehigh,Lifetimelow,OpeninterestMark-to-marketMarginrequirementMargincall4CharacteristicsofFuturesFuturesare:standardcontractsimmunefromthecreditworthinessofbuyerandsellerbecauseexchangestandsbetweentraderscontractsmarkedtomarketdailymarginrequirements514.2TheEconomicFunctionofFuturesMarketsThefuturesmarketsfacilitatethere-allocationofexposuretocommoditypriceriskamongmarketparticipantsBut:6byprovidingameanstohedgethepriceriskassociatedwithstoringacommodity,futurescontractsmakeitpossibletoseparatethedecisionofwhethertophysicallystoreacommodityfromthedecisiontohavefinancialexposuretopricechanges7TheEconomicFunctionofFuturesMarkets(Continued)Adistributor,j,mayhedgebysellingthecommodityonthespotmarketnowatapriceSsellingshortafuturescontractatapriceFanddeliverthecommodityataspecifiedtimeinthefuturetherewillbeacarryingcostCjfordistributorj,andshewillstoreonlyifCj<F-S8TheEconomicFunctionofFuturesMarkets(Continued)Thedifferencebetweenthefuturespriceandthespotprice,F-S,iscalledthespread,andgovernshowmuchwheatwillbestored,andbywhom9TheEconomicFunctionofFuturesMarkets(Continued)Supposethecommodityiswheat,andnextyear’scropisexpectedtobemuchhigherthanaverage,thenfuturespricesmaybelowerthanthespot,(thespreadmaybenegative,)nobodywillstorewheat10TheEconomicFunctionofFuturesMarkets(Continued)Theexistenceofthefuturesmarketforwheatconveysinformationtoallproducers,distributors,andconsumers;andthiseliminatesthenecessityformarketparticipantstogatherandprocessinformationinordertoforecastthefuturespotprice1114.3TheRoleofSpeculatorsHedgeranyoneusingafuturesmarkettoreduceriskSpeculatoranyonewhotakesapositioninthemarket(increasinghisrisk)inordertoprofitfromhisforecastsoffuturespotprices(Aproducer,distributororconsumerwhochoosesnottohedgeherriskmaybeconsideredtobeaspeculator)12TheRoleofSpeculators:ExampleSupposethatthecurrent1-monthfuturesinwheatis$1.5/bushel,andafarmingfamilywithstoredwheatbelievesthatthepricewillriseto$2.00Nothedgingthestoredwheatresultsinthefamilybeingexposedtothevagranciesofthewheatmarket,anditbecomes,ineffect,awheatspeculator(justliketheircobblercousinswhoarelongwheatfutures)13TheRoleofSpeculators:GamblersandWastersCritic:“Speculatorshavenosocialvalue”Answer:Successfulspeculatorsmakethemarketmoreefficientasaninformationresourceprovideliquiditywhenitisneeded,whichiswhenproducers,distributors,andconsumerscan’torwon’thedgemoreefficientbycontributingtowardsrecoveringthefixedcostsofprovidingafuturesexchange1414.4RelationshipBetweenCommoditySpotandFuturesPricesArbitrageursplaceanupperboundonfuturespricesbylockinginasureprofitonfuturespricesifthespreadbetweenthefuturespriceandspotpricebecomesgreaterthanthecostofcarry,F-S£Cthecostofcarryvariesasafunctionoftimeandwarehousingorganization1514.5ExtractingInformationfromCommodityFuturesPricesCase1If(FuturesPrice<CurrentSpot)ThenthefuturespriceisanindicatoroftheexpectedfuturespotpriceThefuturespriceisabiasedestimatebecausethereareriskpremiumsanddiscountsassociatedwithholdingthecommodity16ExtractingInformationfromCommodityFuturesPricesCase2If(FuturesPrice>CurrentSpot)ThenthefuturespriceisnotanindicatoroftheexpectedfuturespotpriceThespreadcannotexceedthecostofcarry1714.6Spot-FuturesPriceParityforGoldInthecaseofgoldfutures,arbitrageestablishesanupper-andlower-boundonthespreadbetweenthefuturesandspotprices,resultinginthespot-futuresprice-parityrelationship18Spot-FuturesPriceParityforGoldTherearetwowaystoinvestingoldbuyanounceofgoldatS0,storeitforayearatastoragecostof$h/$S0,andsellitforS1investS0ina1-yearT-billwithreturnrf,andpurchasea1-ounceofgoldforward,F,fordeliveryin1-year19Spot-FuturesPriceParityforGoldAcontractwithlifeT:Thisisnotacausalrelationship,buttheforwardandcurrentspotjointlydeterminethemarketIfweknowone,thentheruleofonemarketdeterminesthatweknowtheother20Spot-FuturesPriceParityforGoldThefollowingdiagramshowshowtocreatesyntheticgold,T-bills,orgoldforwardcontractfromtheothertwoAllpricesarepredetermined,exceptthepriceoftheoneyearoftheforwardandthepriceinoneyearofthegold,butthedifferencebetweenthemisequaltotheknownfinancingandstoragecosts21RuleofOnePrice:NoArbitrageProfitsPurchaseActualAuSellT-BillSellAuForwardSellActualAuSettleT-BillSettleAuForwardAu=Gold22ImpliedCostofCarryAsaconsequenceoftheforward-spotpriceparityrelationship,youcan’textractinformationabouttheexpectedfuturespotpriceofgold(unlikeonewheatcase)fromfuturespricesTheimpliedcostofcarry(per$spot)is h=(F-S0)/S0-rf2314.7FinancialFuturesWenowfocusonfinancialfuturesstandardizedcontractsforfuturedeliveryofstocks,bonds,indices,andforeigncurrencytheyhavenointrinsicvalue,butrepresentclaimsonfuturecashflowstheyhaveverylowstoragecostssettlementisusuallyincash24FinancialFuturesWithnostoragecost,therelationshipbetweentheforwardandthespotisAnydeviationfromthiswillresultinanarbitrageopportunity25FinancialFutures:ExampleConsidersharesinBablonics,Inc,tradingat$50each,($5,000foraroundlot);assume6-monthT-billsyield6%(compoundedsemiannually)26Bablonics,Inc(Continued)1PurchaseoneroundlotofstockatspotThisresultsinanegativecashflowtodayof$5,000(out),andwillgenerateacashflowof100*Spot6m(in)

insixmonths27Bablonics,Inc(Continued)2Covertoday’snegativecashflowbysellingshort$5,000worthof6-monthT-billswithafacevalueof5000(1+0.06/2)^0.5=$5,150Thecashflowtodayis$5,000(in),andthecashflowinsixmonthstimewillbe$5,150(out)28Bablonics,Inc(Continued)3Covertheriskexposurebyselling100sharesforwardattheequilibriumpriceof5000*(1+0.06/2)^0.5=$5,150Thereisnocashflowtoday,butthevalueofthisforwardcontractinsixmonthstimewillbe$(Spot6m-5,150)29Bablonics,Inc(Continued)-$5,000(longstock)+$5,000(shortbond)+$0(shortforward)=$030Bablonics,Inc(Continued)CashFlowin6-Months+$Spot6m(settlelongstock)-$5,150(settleshortbond)+($5,150-$Spot6m)(settleforward)=$031Bablonics,Inc(Conclusion)Ifyournetrisk-freeinvestmentwaszero,andyoureceivenothingthatiswhatyoushouldexpectandyouexpectto:receivedpositivevaluewithnorisk,thentheruleofonepricehasbeenviolatedlosevaluewithnorisk,thenreversethedirectionofalltransactions,andagainyouprofitwithnorisk3214.8The“Implied”RisklessRateRearrangingtheformula,theimpliedinterestrateonaforwardgiventhespotisThisisreminiscentoftheformulafortheinterestrateonadiscountbond3314.9TheForwardPriceisnotaForecastoftheFutureSpotPriceFollowingthediagramsinChapter12wemightsupposethattheexpectedpriceofastockisIfthisisindeedcorrect,thentheforwardpriceisnotanindicatoroftheexpectedspotpriceatthematurityoftheforward34TheForwardPriceisnotaForecastoftheFutureSpotPriceTheforwardpriceisobtainedwithoutriskfromthecurrentspotandrisklessbondThespotvalueatafuturedateisobtainedbyinvestinginthesecurityandaccepting(market)risk,andthisriskmustberewarded3514.10Forward-SpotPrice-ParityRelationwithCashPayoutsSofarwehaveassumedthatthereisnodividendNowsupposethateverybodyexpectsanuncertaindividendin1yearofDItisnotpossibletoreplicateDbecauseofthisuncertaintyWewilltreatDasifitwereknownwithcertainty,andonlydealwith1-yearforwards36Forward-SpotParitywithCashPayoutsTheS0-FrelationshipbecomesNote:(forwardprice>thespotprice)if(D<rS)BecauseDisnotknownwithcertainty,thisisaquasi-arbitragesituation3714.11“Implied”DividendsFromthelastslide,wemayobtaintheimplieddividend3814.12TheForeignExchangeParityRelationRecallfromChapter2thefollowingdiagram:39ExchangeRateExample15000¥(Borrowed)15450¥15450¥(Repaid)

£100(Invested)£109(Matures)Time3%¥/¥(direct)3%¥/£/£/¥150¥/£9%£/£Forward¥/£JapanU.K.40TheForeignExchangeParityRelationWeusedthediagramtoshowthatRecallthereisatimestructureofinter