用于匯率風(fēng)險管理的衍生產(chǎn)品貨幣期貨與期貨市場-預(yù)覽頁
【正文】 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 to spot prices at expiration. Maturity mismatches and basis risk ? If there is a maturity mismatch, futures contracts may not provide a perfect hedge ? Because the convergence of futures prices to spot prices is nearly linear, interest rate differentials [(1+id )/(1+if )] are often approximated by the simple difference in nominal interest rates, (idif). ? The difference (idif) is called the basis ? The risk of change in the relation between futures and spot prices is called basis risk ? When there is a maturity mismatch, basis risk makes a futures hedge slightly riskier than a forward hedge（當(dāng)存在期限錯配時，基差風(fēng)險使期貨套期保值相對遠(yuǎn)期套期技術(shù)而言更有風(fēng)險。 The hedge ratio is used to minimize the variance of the hedged position. 即期匯率變化率與期貨匯率變化率的關(guān)系如下： std/f = a + b futtd/f + et std/f=percentage change in the spot rate futtd/f=percentage change in the futures price std/f = (Std/fSt1d/f)/St1d/f and futtd/f = (Futtd/fFutt1d/f)/Futt1d/f This regression is designed to estimate basis risk over the maturity of a proposed hedge. The slope coefficient b = rs,fut (ss / sfut ) measures the sensitivity of spot to futures prices ? /c$ = a + b futt163
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