第23章 期货与互换的详细分析 Futures and Swaps: A Closer look 23-1
23-1 第23章 期货与互换的详细分析 Futures and Swaps: A Closer Look
期货与互换 Futures and swaps 23.1外汇期货 232股票指数期货 233利率期货 234商品期货的定价 235互换 23-2
23-2 期货与互换 Futures and Swaps 23.1 外汇期货 23.2 股票指数期货 23.3 利率期货 23.4 商品期货的定价 23.5 互换
外汇期货 Foreign Exchange Futures ■期货市场 Futures markets 芝加哥商品交易所(国际货币市场 Chicago Mercantile(International Monetary Market) 伦敦国际金融期货交易所 London International Financial Futures Exchange 中美洲商品交易所 MidAmerica Commodity EXchange ■活跃的远期市场 Active forward market ■期货市场和远期市场的差异 Differences between futures and forward markets 23-3
23-3 期货市场 Futures markets – 芝加哥商品交易所 ( 国际货币市场 ) Chicago Mercantile (International Monetary Market) – 伦敦国际金融期货交易所 London International Financial Futures Exchange – 中美洲商品交易所 MidAmerica Commodity Exchange 活跃的远期市场 Active forward market 期货市场和远期市场的差异 Differences between futures and forward markets 外汇期货 Foreign Exchange Futures
外汇期货定价 Pricing on Foreign Exchange Futures 利率平价理论 Interest rate parity theorem 用美元和英镑来举例 Developed using the US Dollar and British pound 1+s F0=1 where F:是远期价格 is the forward price Eo为当前两种货币的汇率 is the current exchange rate 23-4
23-4 利率平价理论Interest rate parity theorem 用美元和英镑来举例Developed using the US Dollar and British Pound T UK US r r F E + + = 1 1 0 0 where F0 : 是远期价格 is the forward price E0: 为当前两种货币的汇率 is the current exchange rate 外汇期货定价 Pricing on Foreign Exchange Futures
定价举例 Text Pricing EXample us 5 k 6 Eo=$1.60 per pound T=l yr 1.05 Fn=$1.60 =$1.585 1.06 当r小于ru时,F肯定小于E,由F0比E得到的美元升值程 度正好可以与两国利率之间的差额抵消。当然,如果情况相反 结论依然成立:当「v大于r时,F肯定大于E When rus is less than ruk, Fo must be less than EO. The appreciation of the dollar embodied in the ratio of Fo to Eo exactly compensates for the difference in interest rates available in the two countries. Of course, the argument also works in reverse: If rus is greater than ruk, then Fo is greater than EO 23-5
23-5 定价举例 Text Pricing Example rus = 5% ruk = 6% E0 = $1.60 per pound T = 1 yr $1.585 1.06 1.05 $1.60 1 0 = F = 当r us小于r uk时，F0肯定小于E0，由F0比E0得到的美元升值程 度正好可以与两国利率之间 的差额抵消。当然，如果情况相反 结论依然成立：当 r us大于r uk时，F0肯定大于E0。 When rus is less than ruk, F0 must be less than E0. The appreciation of the dollar embodied in the ratio of F0 to E0 exactly compensates for the difference in interest rates available in the two countries. Of course, the argument also works in reverse: If rus is greater than ruk, then F0 is greater than E0
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23-6 外汇期货 Foreign Exchange Futures
汇率风险套期保值 Hedging Foreign EXchange Risk 如果利率平价遭到破坏会怎么样呢?例如,假定期货价格是157美元而不是1585 美元,那么采取以下方法你就可以获得套利赢利。用E表示-年以后的汇率,当然它 应该是一个随投资者现在的期望而改变的随机变量。 行动 初始现金流美元 一年以后的现金流美 1.在伦敦借入l英镑并兑换成美元 1.60 2.在美国货出60美元 1601.5 3.签订期货合约以F6=157美元的 1.6(E2-1.57) 期货)价格买入1.6英锫镑 总计 23-7
23-7 汇率风险套期保值 Hedging Foreign Exchange Risk
汇率风险套期保值 Hedging Foreign EXchange Risk What if the interest rate parity relationship is violated? For example, suppose the futures price is $1.57 instead of $1.585. You could adopt the following strategy to reap arbitrage profits. In this example let e, denote the exchange rate that will prevail in one year. Eyis, of course, a random variable from the perspective of today s investors Action Initial Cash Flows CF in 1 Year(s) 1. Borrow 1 U.K. pound in London. Convert to dollars E1(1.06) 2. Lend $1.60 in the United States 1.60 1601.05) 3. Enter a contract to purchase 1.06 pounds at a (futures) price of Fo=$1.57 1.06(E1-157) Total 0158 23-8
23-8 汇率风险套期保值 Hedging Foreign Exchange Risk
汇率风险套期保值 Hedging Foreign EXchange Risk 套利的净所得是无风险的,它等于E1+rusF0(1+ruk)。如果这个值是正的 ,就在英国借款,在美国贷款,然后建立期货多头头寸以消除汇率风险。如果 这个值是负的,就在美国借款,在英国贷款,然后建立英镑期货的空头头寸 i价格正好相符没有套利机会时,这个表达式一定等于零。如果它为正,投资 者会攫取套利收益;如果它为负,投资者反向操作还是能获得套利收益。把这 个表达式整理一下得到: The net proceeds to the arbitrage portfolio are risk-free and given by Eo(1+rus)- Fo(1+ruK). If this value is positive, borrow in the United Kingdom, lend in the United States, and enter a long futures position to eliminate foreign exchange risk. If the value is negative, borrow in the United States, lend in the United Kingdom, and take a short position in pound futures. When prices preclude arbitrage opportunities, the expression must equal zero. Rearranging this expression gives us the relationship 1+ Us Eo 0 1+ ruK 23-9
23-9 汇率风险套期保值 Hedging Foreign Exchange Risk 套利的净所得是无风险的，它等于 E0 (1＋rUS)-F0 (1＋r UK)。如果这个值是正的 ，就在英国借款，在美国贷款，然后建立期货多头头寸以消除汇率风险。如果 这个值是负的，就在美国借款，在英国贷款，然后建立英镑期货的空头头寸。 当价格正好相符没有套利机会时，这个表达式一定等于零。如果它为正，投资 者会攫取套利收益；如果它为负，投资者反向操作还是能获得套利收益。把这 个表达式整理一下得到： The net proceeds to the arbitrage portfolio are risk-free and given by E0 (1+rUS)- F0 (1+rUK). If this value is positive, borrow in the United Kingdom, lend in the United States, and enter a long futures position to eliminate foreign exchange risk. If the value is negative, borrow in the United States, lend in the United Kingdom, and take a short position in pound futures. When prices preclude arbitrage opportunities, the expression must equal zero. Rearranging this expression gives us the relationship
股票指数期货 Stock Index Contracts ■对本国和国际股票都有效 Available on both domestic and international stocks 与直接购买股票相比的优点 Advantages over direct stock purchase 更低的交易成本 lower transaction costs 有利市场时机和重组的选择 better for timing or allocation strategies 减少资产组合的时间 takes less time to acquire the portfolio 23-10
23-10 对本国和国际股票都有效 Available on both domestic and international stocks. 与直接购买股票相比的优点 Advantages over direct stock purchase: – 更低的交易成本 lower transaction costs – 有利市场时机和重组的选择 better for timing or allocation strategies – 减少资产组合的时间 takes less time to acquire the portfolio 股票指数期货 Stock Index Contracts