《CFA金融衍生品》PPT课件.ppt

1、Study Session 17,Derivative Market and Instruments,2,中信泰富炒外汇亏186亿,3,澳元走势 an option).,Concept Checkers Study Session 17,15,Concept Checkers Study Session 17,6. A call option gives the holder: A. the right to sell at a specific price. B. the right to buy at a specific price. C. an obligation to sell a

2、t a certain price. Answers: B A call gives the owner the right to call an asset away (buy it) from the seller.,16,KEY CONCEPTS,1.衍生品介绍：远期、期货、期权（或有权益）和互换；场内、场外交易； 2.衍生品市场的风险及作用； 3.无风险套利理论及其对有效市场的作用、两种无风险套利理论（一价定律、投资组合套利理论）。,Study Session 17,Forward Markets and Contracts,18,Forward Markets and Contrac

3、ts,Forward Contracts A Forward Contract is a bilateral contract that obligates one parry to buy and the other to sell a specific quantity of an asset, at a set price, on a specific date in the future. Forward Contract 要点： 初始价值为零，签约时双方均不需支付任何费用 If the future price of the asset the future price of the

4、 asset CFA Level I 要求掌握：金融远期：股票、国债、外汇和利率等,19,LOS 68.a. Differentiate between the positions held by the long and short parties to a forward contract in terms of delivery/settlement and default risk. The party to the Forward Contract that agrees to buy the financial or physical asset has a long forwar

5、d position and is called the long. The party to the Forward Contract that agrees to sell or deliver the asset has a short forward position and is called the short. 举例：Consider a contract under which Parry A agrees to buy a $1,000 face value, 90-day Treasury bill from Parry B 30 days from now at a pr

6、ice of $990. Parry A is the long and Parry B is the short. Both parries have removed uncertainty about the price they will pay/receive for the T-bill at the future date .,Forward Markets and Contracts,20,Forward Markets and Contracts,举例：Consider a contract under which Parry A agrees to buy a $1,000

7、face value, 90-day Treasury bill from Parry B 30 days from now at a price of $990. Parry A is the long and Parry B is the short. Both parries have removed uncertainty about the price they will pay/receive for the T-bill at the future date . 风险分析： 如果标的物价格上涨，多头盈利（long, Parry A） 如果标的物价格下跌，空头盈利（ short,

8、Parry B） 违约风险：Default Risk (Counterparty Risk), the probability that the other party (the counterparty) will not perform as promised.,21,Forward Markets and Contracts,LOS 68.b. Describe the procedures for settling a forward contract at expiration, and discuss how termination alternatives prior to ex

9、piration can affect credit risk. The previous example was for a deliverable forward contract. The short contracted to deliver the actual instrument, in this case a $1,000 face value, 90-day T-bill. This is one procedure for settling a forward contract at the settlement date or expiration date specif

10、ied in the contract. An alternative settlement method is cash settlement. Under this method, the party that has a position with negative value is obligated to pay that amount to the other party.,22,Forward Markets and Contracts,Terminating a Position Prior to Expiration A party to a forward contract

11、 can terminate the position prior to expiration by entering into an opposite forward contract with an expiration date equal to the time remaining on the original contract. 0 10 30 120 90 在第10天，签订一份相反的远期合约，结束原来的合约；如果此合约与第三方签订，面临违约风险。,23,Forward Markets and Contracts,LOS 68.c. differentiate between a

12、dealer and an end user of a forward contract.远期的最终用户、交易商 The end user of a forward contract is typically a corporation, government unit, or nonprofit institution that has existing risk they wish to avoid by locking in the future price of an asset. 举例：美国公司60天后支付100万欧元，锁定成本 Dealers are often banks, bu

13、t can also be nonbank financial institutions. (e.g.Merrill Lynch) 头寸大致相等，以价差谋利,24,Forward Markets and Contracts,LOS 68.d. describe the characteristics of equity forward contracts and forward contracts on zero-coupon and coupon bonds. 基于股票、短期/长期债券的远期合约的特征 Equity forward contracts where the underlying

14、 asset is a single stock, a portfolio of stocks, or a stock index, work in much the same manner as other forward contracts. An investor who wishes to sell 10,000 shares of IBM stock 90 days from now and wishes to avoid the uncertainty about the stock price on that date, could do so by taking a short

15、 position in a forward contract covering 10,000 IBM shares.,25,Forward Markets and Contracts,Example: Equity index forward contracts A portfolio manager desires to generate $10 million 100 days from now from a portfolio that is quite similar in composition to the S some are large multinational banks

16、 based in other countries that have London offices. There is also an equivalent Euro lending rate called Euribor, or Europe Interbank Offered Rate. Euribor, established in Frankfurt, is published by the European Central Bank. The floating rates are for various periods and are quoted as such. For exa

17、mple, the terminology is 30-day LIBOR (or Euribor), 90-day LIBOR, and 180-day LIBOR, depending on the term of the loan. For longer-term floating-rate loans, the interest rate is reset periodically based on the then-current LIHOR for the relevant period.,32,The short in a deliverable forward contract: A. has no default risk. B. is obligated to deliver the specified asset. C. makes a cash payment to the long at settlement. Answers: B The short in a forward contract is obligated to deliver the specified asset at the contract price on the settlement date. Either parr