用于匯率風(fēng)險管理的衍生產(chǎn)品：貨幣期貨與期貨市場(1)-文庫吧
2024-12-27 11:22 本頁面
【正文】 enance margins Forwards versus futures Forwards Futures Counterparty Bank CME Clearinghouse （ Forward contracts are created by mercial and investment banks, whereas futures contracts are usually found on futures exchanges） Maturity Negotiated 3rd week of the month (US) Amount Negotiated Standard contract size Fees Bidask Commissions Collateral Negotiated Margin account Settlement At maturity Most are settled early Futures exchanges ? Financial futures exchanges are usually associated with a modity futures exchange 2022 volume Top 5 futures exchanges (million contracts) Eurex Eurex (Germany amp。 Switzerland) CME Chicago Mercantile Exchange (.) CBOT Chicago Board of Trade (.) Euronext (Amsterdam, Brussels, Lisbon, Paris, London) NYMEX New York Mercantile Exchange (.) BMamp。F Bolsa Mercadorias amp。 de Futuros (Brazil) Source: Futures Industry Association Forwards versus futures ? Futures contracts are similar to forward contracts ? Futures contracts are like a bundle of consecutive oneday forward contracts （期貨合約是一連串可更新的 1天期遠(yuǎn)期合約的組合： Each day, the previous day’s forward contract is replaced by a new oneday forward contract with a delivery price equal to the closing price from the previous day’s contract. 如三個月期的遠(yuǎn)期合約，相當(dāng)于 90個可更新的 1天期的遠(yuǎn)期合約 ? Daily settlement is the biggest difference between a forward and a futures contract ? Futures and forwards are nearly identical in their ability to hedge risk（在規(guī)避風(fēng)險管理的功能上有相似之處） Hedging with futures ? Forward contracts can be tailored to match the underlying exposure Forward contracts thus can provide a perfect hedge of transaction exposure to currency risk ? Exchangetraded futures contracts are standardized They will not provide a perfect hedge if they do not match the underlying exposure’s Currency mismatch there may not be a futures contract in the currency that you would like to hedge Maturity mismatch there may not be a futures contract expiring on the same day as your underlying transaction exposure Contract size mismatch the underlying transaction exposure may not be an even increment of existing futures contracts Interest rate parity revisited ? Some definitions St,Td/f = spot price at time t for expiry at time T Ft,Td/f = forward price at time t for expiry at time T Futt,Td/f = futures price at time t for expiry at time T ? Forward and futures prices are equal through interest rate parity ? Interest rate parity is usually expressed as a forwardlooking relation from time zero to time t. (Ftd/f / S0d/f) = [(1+id)/(1+if)]t ? In the slide, IRP is expressed as a backwardlooking relation from time t through the expiration date T（即根據(jù) IRP可以預(yù)測遠(yuǎn)期和期貨價格） Futt,Td/f = Ft,Td/f = Std/f [(1+id)/(1+if)]Tt＝ STd/f (as t T) Spot and futures price convergence at expiration T Forward premium Fut T d/f = S T d/f Fut 0 d/f S 0 d/f Futures prices converge t
公司管理相關(guān)推薦
鄂ICP備17016276號-1