企业营销的四大创新法则(doc7)(1)

3.外汇衍生产品市场FXDerivativesMarketAMOUNTSOUTSTANDINGOFOVER-THE-COUNTER(OTC)DERIVATIVESBYRISKCATEGORYANDINSTRUMENT(InbillionsofUSdollars)DERIVATIVEFINANCIALINSTRUMENTSTRADEDONORGANISEDEXCHANGESBYINSTRUMENTANDLOCATION(Numberofcontractsinmillions)DERIVATIVEFINANCIALINSTRUMENTSTRADEDONORGANISEDEXCHANGESBYINSTRUMENTANDLOCATION(Numberofcontractsinmillions)内容提要远期汇率的确定外汇期货主要特征外汇期权组合交易策略外汇互换的运作方式外汇远期交易FXFORWARDS3.1.外汇远期交易(FXForwards)本质上是一种预约买卖外汇的交易分为定期外汇远期交易和择期外汇远期交易基本特征场外交易合约条款由双方议定，存在违约风险合约签订时无资金交收，到期前不能转让择期外汇远期交易交割日期不固定，可在未来指定时间内的任意一天按约定汇率进行交割合同有效期通常为一个半月使用择期远期汇率为客户提供了外汇买卖的灵活性，克服定期外汇远期交易交割日期确定不变的缺点外汇远期合约的市场价值择期远期汇率升水即以择期期初的远期汇率为银行买价贴水即以择期期末的远期汇率为银行买价远期汇率的确定：供求Theforwardexchangeratereflectsthesupplyanddemandforacurrencyforfuturedelivery.So,theforwardrateprovidesinformationonthefuturespotexchangerateTheforwardexchangeratesometimesoverestimatesthefuturespotexchangerateandsometimesunderestimatesthefuturespotexchangerate远期汇率的确定：供求Q£Q1Q2D£D£'S£F($/£)F2F1远期汇率的确定：预期远期汇率与未来即期汇率未必相同，但二者之间存在密切关系远期汇率反映未来交割货币的供求情况，具有某种预测未来即期汇率变动的能力均衡条件下，远期贴水等于预期的货币贬值，远期升水等于预期的货币升值SSSSSFeNN/)(/)(远期汇率的确定：套利利息平价定理(InterestRateParity)如果两种相似金融工具的预期收益不同，资金就会从一种工具转移到另一种工具相似金融工具的预期收益率相等时实现均衡Interestrateequalizationacrossnationswouldensurethatflowoffundswouldnotoccur国际金融套利的影响如果经过汇率调整，一国某种金融工具的预期收益率仍高于另一国相似金融工具，资金就会跨国移动资金在国际间的转移，必然影响相关国家可贷资金市场的供求，影响利率水平，进而影响到汇率抛补套利(CoveredInterestParity)CoveredinterestparityisaconditionthatrelatesinterestdifferentialstotheforwardpremiumordiscountCIPishelpfulinunderstandingshort-termmarketmovementsAsanequilibriumcondition,itassistsinourunderstandingofpotentialadjustmentsinvariousfinancialmarketsTheseadjustmentsoccurifthereisaflowofsavingsfromonenationtoanother抛补套利示意图抛补套利情景分析假设条件某美国居民可持有一年期美元资产或英镑资产两国利率分别是Rh和Rf英镑兑美元即期汇率为S，1年期远期汇率为F抛补利息平价公式推导hh习题根据抛补利息平价公式，预测1年期远期汇率如果银行报1年期远期汇率2.15$/£，是否存在套利机会。应该如何操作？试计算6个月远期汇率应是多少？美元存款年利率15%，英镑存款年利率10%，美元与英镑的即期汇率是2$/£。外汇期货交易FXFUTURES3.2.外汇期货交易(FXFutures)指在有组织的交易场所内，以公开叫价方式确定汇率，交易标准交割日期、标准交割数量的外汇Futurescontractisanagreementtodelivertoanotheragivenamountofastandardizedcommodityorfinancialinstrumentatadesignatedfuturedate1972年芝加哥商品交易所开辟国际货币市场(IMM)，完成首笔外汇期货交易外汇期货的主要特征交易合约标准化交易金额和交割日期价格波动限制集中交易和清算市场流动性高履约有保证投机性强ClassificationoffinancialfuturesInterest-RateFutures:ContractstobuyorsellastandardizeddenominationofaspecificfinancialinstrumentatagivenpriceatacertaindateinthefutureStock-IndexFuture:PromisesoffuturedeliveryofaportfolioofstocksrepresentedbyastockpriceindexCurrencyFutures:Anagreementtodelivertoanotherastandardizedquantityofaspecificnation’scurrencyatadesignatedfuturedateIMM外汇期货交易场内交易商场内交易商交易操作台买入/卖出交易交易台报价员报价板行情报价网络清算所订单会员公司买方提交交易经纪返单回公司订单会员公司卖方提交交易经纪返单回公司清算机制由期货交易所提供或指定清算所由清算所充当期货合约各方的交易对手对于外汇期货买方来说，清算所是卖方对于外汇期货卖方来说，清算所是买方清算所始终存在，并要求集中清算提高了市场的流动性为外汇期货买卖双方消除了履约风险的顾虑保证金制度客户在经纪公司开立保证金账户，经纪公司在清算所开立账户，清算所将所有买卖指令配对最低初始保证金和维持保证金逐日结算制度(markingtomarket)未平仓头寸需按当日市场结算价计算账面盈亏，据以调整原有的保证金数额英镑期货保证金账户流量时间市场报价合约价格保证金变动追加(＋)/减少(－)金额保证金账户余额T0T1T2T3T4$1.4700/£$1.4714/£$1.4640/£$1.4600/£$1.4700/£$91,875.0$91,962.5$91,500.0$91,250.0$91,875.00+$87.50-$462.50-$250.00+$625.00+$2,000.0000+$625.00-$625.00$2000.00$2087.50$1625.00$2000.00$2000.00IMM规定：每份英镑期货合约价值62500英镑；最小价格变动为$0.0001/￡；单日最大变动为$0.01/￡HedgingwithCurrencyFuturesCurrencyfuturescontractsentaildailycashflowsettlementsTohedgewithafuturescontract,thefirmmustsetupaninitialmargin,orbondperformancerequirementThefirmmustalsomaintainamaintenancemargin,orminimumbondperformancerequirementFuturescontractgainsorlossesaremarked-to-marketattheendofeachtradingday外汇期权交易FXOPTIONS3.3.外汇期权交易(FXOptions)合约购买方在向出售方支付一定费用（期权费）后获得未来按规定汇率交易一定数量外汇的选择权Afinancialcontractgivingtheownertherighttobuyorsellanunderlyingfinancialinstrumentatacertainpricewithinaspecificperiodoftime外汇期权交易(FXOptions)有交易所交易期权和场外期权分为看涨期权(calls)和看跌期权(puts)Calloptions:allowtheholdertopurchasetheunderlyingcurrencyPutoptions:allowtheholdertoselltheunderlyingcurrency外汇期权交易(FXOptions)有美式期权和欧式期权Americanoptions:granttheholdertherighttoexercisetherighttopurchaseorselltheunderlyingcurrencyatanytimebeforeorincludingthedateatwhichthecontractexpiresEuropeanoptions:granttheholdertherighttoexercisetherighttopurchaseorselltheunderlyingcurrencyonlyatonthedatethatthecontractexpires外汇期权交易(FXOptions)FuturesOptions,StockOptions,andCurrencyOptionFuturesOptions:OptionstobuyorsellfuturescontractsStockOptions:OptionstobuyorsellfirmequitysharesCurrencyOption:Acontractgrantingtherighttobuyorsellagivenamountofanation’scurrencyatacertainpricewithinaspecificperiodoftime期权费由期权购买方支付给出售方期权购买方的成本上限期权出售方的收入上限期权费的决定因素供求关系期权的内在价值期权的时间价值或期限预期的汇率波动性看跌期权出售方看跌期权购买方多头跨式期权以相同执行价格买入看跌期权和看涨期权1.10空头宽跨式期权卖出执行价格低的看跌期权和价格高的看涨期权多头差价看涨期权买入执行价格低的看涨期权，同时卖出执行价格高的看涨期权外汇互换交易FXSWAPS3.4.外汇互换交易(FXSwaps)也称货币互换。指交易双方相互交换不同币种但期限相同、金额相等的货币及利息Acontract-entailinganexchangeofpaymentflowsbetweentwoparties可以降低筹资成本或防范汇率风险Interest-RateSwap:AcontractualexchangeofonesetofinterestpaymentsforanotherCurrencySwap:Anexchangeofpaymentflowsdenominatedindifferentcurrencies降低筹资成本：期初降低筹资成本：期中降低