第八章货币期货与期权市场(国际财务管理,JosephFGre

1MultinationalFinancialManagementAlanShapiro7thEditionJ.Wiley&SonsPowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton2CHAPTER8货币期货与期权市场3CHAPTEROVERVIEWI.期货合约II.货币期权4PARTI.FUTURESCONTRACTS期货合约I.货币期货A.背景1.1972:芝加哥商业交易所成立了国际货币市场部.(IMM)5FUTURESCONTRACTS2.IMMprovidesa.为货币投机者和希望减少货币风险者提供了一个交易场所.b.Definitionoffuturescontracts:contractswrittenrequiring•给定货币的特定数量•汇率在合约生效时确定•交割日确定.6FUTURESCONTRACTSc.AvailableFuturesCurrencies:1.)Britishpound5.)Euro2.)Canadiandollar6.)Japaneseyen3.)Deutschemark7.)Australiandollar4.)Swissfranc7FUTURESCONTRACTSd.合约金额是标准化的:contractsizesdifferforeachofthe7availablecurrencies.Examples:Euro=125,000BritishPound=62,5008FUTURESCONTRACTSe.交易费用:paymentofcommissiontoatraderf.较高的杠杆作用(P233)1.)Initialmarginrequiredisrelativelylow(e.g.lessthan.02%ofsterlingcontractvalue).9FUTURESCONTRACTSg.限制每日价格变动的最大幅度1.)Contractssettoadailypricelimitrestrictingmaximumdailypricemovements.10FUTURESCONTRACTS2.)Iflimitisreached,amargincallmaybenecessarytomaintainaminimummargin.11FUTURESCONTRACTSh.GlobalfuturesexchangesthatarecompetitorstotheIMM:1.)DeutscheTerminBourse2.)L.I.F.F.E.LondonInternationalFinancialFuturesExchange3.)C.B.O.T.ChicagoBoardofTrade12FUTURESCONTRACTS4.)S.I.M.E.X.SingaporeInternationalMonetaryExchange5.)H.K.F.E.HongKongFuturesExchange13FUTURESCONTRACTSB.远期合约与期货合约的基本差异:1.交易方式6.结算2.管制7.标价法3.交割的频率8.交易费用4.合约金额9.保证金5.到期日10.信用风险235-23614FUTURESCONTRACTSAdvantagesoffutures:1.)Smallercontractsize2.)Easyliquidation3.)Well-organizedandstablemarket.Disadvantagesoffutures:1.)Limitedto7currencies2.)Limiteddatesofdelivery3.)Rigidcontractsizes.15PARTIICURRENCYOPTIONS货币期权I.OPTIONSA.Currencyoptions1.获得汇率有利变动所带来的好处.2.费城股票交易所(PHLX)1983.3.成长速度最快的风险套期市场.16CURRENCYOPTIONS4.Definition:定义Ｐ２３８acontractfromawriter(theseller)thatgivestherightnottheobligationtotheholder(thebuyer)tobuyorsellastandardamountofanavailablecurrencyatafixedexchangerateforafixedtimeperiod.17CURRENCYOPTIONS5.类型:a.Americanexercisedatemayoccuranytimeuptotheexpirationdate.b.Europeanexercisedateoccursonlyattheexpirationdate.18CURRENCYOPTIONS7.ExercisePrice协定价格a.Sometimesknownasthestrikeprice.b.theexchangerateatwhichtheoptionholdercanbuyorsellthecontractedcurrency.19CURRENCYOPTIONS8.Statusofanoption２３８a.In-the-money实值期权Call:SpotstrikePut:Spotstrikeb.Out-of-the-money虚值期权Call:SpotstrikePut:Spotstrikec.At-the-money平价Spot=thestrike20CURRENCYOPTIONS9.期权费:thepriceofanoptionthatthewriterchargesthebuyer.21CURRENCYOPTIONSB.如何使用货币期权２３８1.Forthefirmhedgingforeignexchangeriska.Withsizableunrealizedgains.b.Withforeigncurrencyflowsforthcoming.22CURRENCYOPTIONS2.Forspeculators-profitfromfavorableexchangeratechanges.23CURRENCYOPTIONSC.期权定价及其价值２４４1.Valueofanoptionequalsa.内在价值b.时间价值24CURRENCYOPTIONS2.内在价值实值期权的价值量．到期日前看涨期权的价值＝当前即期汇率－协定价格3.时间价值theamounttheoptionisinexcessofitsintrinsicvalue.25CURRENCYOPTIONS4.Otherfactorsaffectingthevalueofanoptiona.valueriseswithlongertimetoexpiration.b.valueriseswhengreatervolatilityintheexchangerate.26CURRENCYOPTIONS5.Valueiscomplicatedbyboththehomeandforeigninterestrates.27CURRENCYOPTIONSD.UsingForwardorFuturesContracts:Forwardandfuturescontractsaremoresuitableforhedgingaknownamountofforeigncurrencyflow.28CURRENCYOPTIONSE.MarketStructure1.Locationa.OrganizedExchangesb.Over-the-counter1.)Twolevelsretailandwholesale