用于匯率風(fēng)險(xiǎn)管理的衍生產(chǎn)品：貨幣期貨與期貨市場-全文預(yù)覽
【正文】 September 11 only hedges against currency risk through that date. It remains exposed to changes in currency values from the end of the contract through October 26. ? The December futures contract is a better choice because it can hedge currency risk through October 26 and then be sold. ? Suppose the spot rate is S0$/s$＝ $$ on March 13, Annual interest rate int the United States and Singapore are i$＝ % and is$＝ % ? According to IRP， the forward price for exchange on October 26 is F0,t$/s$ = S0$/s$ [(1+i$)/(1+is$)]t＝ ()[(1+%)/(1+%)][227/365]=$$ ? It can form a perfect hedge with a long forward contract for delivery of S$10 million on October 26 in exchange for （ $$)(S$10,000,000)=$6,089,000. As we shall see, the futures hedge using the December 16 futures contract is not quite as precise. An example of a delta hedge ? 該公司利用期貨合約套期 —— 3月 13日 買進(jìn) 12月到期的期貨合約，并在 10月 26日賣出該期貨合約，風(fēng)險(xiǎn)在于 12月到期的期貨合約運(yùn)行到 10月 26日時的價(jià)格如何變化？ ? 12月到期的期貨合約價(jià)格： Fut0,T$/s$ = S0$/s$ [(1+i$)/(1+is$)]T＝ ()[(1+%)/(1+%)][278/365]=$$ ? 同時，根據(jù)遠(yuǎn)期匯率預(yù)測法， 10月 26日的即期匯率是： E[S0， t$/s$ ]= F0,t$/s$ =$$ This expectation will hold only if interest rates, (1+i$)/(1+iS$)=, remains constant, This ratio is the “basis” for changes in futures prices over time 10月 26日債務(wù)到期時，分三種情況討論： 情況一：基差不變： basis i$S$=%%=%,因此， 10月 26日的即期匯率不變，即St$/S$ =$$，在 10月 26日，到 12月 16日交割的期貨合約價(jià)格就建立在之前預(yù)期的即期匯率 : St$/s$ =$$的基礎(chǔ)上，期限 Tt＝ 278－ 227＝ 51天： Futt,T$/s$ = St$/s$ [(1+i$)/(1+is$)]Tt＝ ()[(1+%)/(1+%)][51/365]=$$ Profit on futures: Futt,T$/s$ Fut0,T$/s$ =]=$$$$=0 Profit on underlying short position in the spot currency: (St$/s$ E[St$/s$ ])=(=$$ $$=0 An example of a delta hedge 情況二： 10月 26日，新加坡利率上升至： iS$=%，導(dǎo)致 新元匯率上升至： St$/S$ =$$ 因此，在 10月 26日，到 12月 16日交割的期貨合約價(jià)格就變?yōu)椋? Futt,T$/S$ = St$/S$ [(1+i$)/(1+iS$)]Tt＝ ()[(1+%)/(1+%)][51/365]=$$ 此時，公司在期貨與現(xiàn)貨的損益： Profit on futures: Futt,T$/s$ Fut0,T$/s$ =$$$$=$$ Loss on underlying short position in the spot currency: (St$/s$ E[St$/s$ ])=($$ $$=$$ 凈損益＝ +－ ＝－ $$，損失總額為：－ $4000（總債務(wù)支出是 10百萬） 損失增加是因?yàn)樾录悠吕噬仙?，基差改變所致? ? The futures contract solution ?A futures exchange clearinghouse takes one side of every transaction (and makes sure that its exposures cancel one another) ?Contracts are markedtomarket daily ?Require initial and maintenance 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。, 當(dāng)匯率上升時，賣方有違約動機(jī)，當(dāng)匯率下降時，買方有違約動機(jī)。 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： Ea
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