【正文】 割日期，根據(jù)合約價格交割標準數(shù)量外匯合約的交易。) 2. Invest in the . CD market, 163。 24 計算練習 已知：紐約市場 ? 即期匯率 $1=— ? 1個月匯水數(shù) 80—100 ? 3個月匯水數(shù) 140—160 ? 求：紐約市場 1個月和 3個月美元對瑞士法郎的遠期匯率？ 已知：即期匯率 $1=— ? 3個月匯水數(shù) 80—60 ? 6個月匯水數(shù) 160—80 ? 求： 3個月和 6個月美元的遠期匯率，并計算 3個月和 6個月美元匯率升貼水折年率（用中間價）？ 25 計算練習 我國某公司從瑞士進口成套設備，預計 3個月后用美元存款兌付 1572萬瑞士法郎進口貨款，擔心瑞士法郎升值，做遠期外匯交易進行保值。 The outright bid quote is US$/CHF Bid quote: (=) Ask quote: (=) Annualized Forward Premium (Discount) Rate ? Forward Rate Spot Rate 12 months (or 360 days) ? = x ? Spot Rate Forward Contract maturity in months (or in days) Annualized 1month forward bid rate for the CHF is % [={( )/}x12x100]。 ? 1980年匯率：＄ 1=J￥ ，須支付＄ ? 1990年匯率： ＄ 1=J￥ ，須支付＄ ? 僅利息支付上就損失 。 5 二、匯率風險的種類 ?交易風險 ?會計風險 ?經(jīng)濟風險 6 （一）交易風險（ Transaction Exposure） ?交易風險是指外匯匯率波動使經(jīng)濟實體外匯頭寸的實際價值發(fā)生變化而導致?lián)p失的可能性。 ? （ ） 100= RMB 8 例 2 ? 我國政府于 1979年開始使用日本政府貸款，根據(jù)雙方協(xié)議，日元貸款每年支付一次，我國還款用日元。 11 第二節(jié) 外匯風險管理 ?主要針對交易風險管理 ?兩種方法：金融管理法和非金融管理法 ?金融管理法包括：遠期外匯交易、外匯期貨交易、外匯期權交易、貨幣市場借貸法（ BSI法）和貨幣互換 ?非金融管理法包括：選擇合同貨幣、提前或推遲結(jié)算、 LSI法等 I. Spot market ? Denominating vs. “Commodity” Currency ? For a bidask quote of US$/CHF , “US$” is denominating currency and “CHF” is “modity” currency. ? Direct vs. Indirect Quote ? For . residents, direct quote: US$/CHF indirect quote: CHF/US$ is. Direct Bid = 1/Indirect Ask Direct Ask = 1/Indirect Bid Quotes Trading I. Spot market ? BidAsk Spread ? Percentage of spread = (Ask price – Bid price)/Ask price . ()/ = % ? More actively traded FX implies narrower the bidask spread Quotes Trading Changes in Currency Values ? Appreciation vs. Depreciation . if we know $ (last year) and $ (today), ? US$ has appreciated by: ()/ =%。 22 ? 計算公式： ? 升（貼）水數(shù) =即期匯率 兩國利差 月數(shù) /12 ? 如上面例子： ? 3個月 ￡ 貼水數(shù) = % 3/12 ? =＄ ? 3個月 ￡ 遠期匯率 == ＄ ? 同樣求出 3個月美元的升水數(shù) ? =1/ % 3/12 ? = ￡ ? 3個月＄遠期匯率 = ￡ + ￡ ? = ￡ ? 或： ￡ 1/= ￡ 23 （ 2）兩國貨幣遠期外匯市場的供求關系 ?遠期外匯市場的遠期匯率升貼水數(shù)要圍繞兩國貨幣短期利率決定的升貼水數(shù)上下波動，在供求均衡情況下，兩者才會一致。. Option A : The bank will invest domestically, ., in the . CD market. $1(1+10%/4)= $ Theories of FX Market Option B: The bank will 1. Convert the US$ in 163。) Return under Option B exceeds the return under Option A, the foreign market alternative is preferred. I. Interest Rate Parity (IRP) ? SR= spot rate for foreign currencies in terms of US$, ., US$ / 163。 ? Given the wellcapitalized clearing house, the risk of a future default by the clearing house is small Buyer Clearing House Seller ? Clearing House ? no middleman for forward ? clearing house for ? futures contract ? Deposit Requirement ? no deposit: forward ? margin requirement for futures ? In the futures market, the number of contracts bought must equal the number of contracts sold. Thus, if all outstanding long and short futures market positions are considered, the total always equals zero。 ? 交割月份與交割日期。 ? 期貨傭金商。外匯期貨交易合約是標準化的；遠期外匯交易合約由雙方協(xié)商確定。外匯期貨交易信用風險小、價格風險大；遠期外匯交易信用風險大、價格風險也大。 54 外匯期貨賣方保值 ? 例如：我國某出口公司 8月 2日發(fā)貨，收到 9月 1日到期的 100萬英鎊遠期匯票，該公司擔心英鎊到期時匯率下降，帶來外匯風險，于 8月 2日作外匯期貨交易保值。 Put Option Payoff l o n g p u ts p o t p r i c eI0 . 6 5$ 0 . 0 2p a y o f f$ 0 . 6 3 ( B r e a k e v e n p o i n t )F i g u r e 2 : p u t o p t i o nB. Exchangetraded vs OTC options ? Currency options are available in both the anized exchanges and the overthecounter (OTC) market. ? Options traded on the OTC markets are customized ? both the amount and the maturity. ? available for more currencies than the limited number of currency exchangetraded option ? OTC options are tailormade for the customers, there is not an active secondary market B. Exchangetraded vs OTC options ? The OTC currency options market consists of two sectors: ? The first is a retail market posed of nonbank customers who purchase from banks what amounts to customized insurance against adverse exchange rate movements. These customers prefer the OTC market because of their ability to obtain terms that fit their needs. ? The second is a wholesale market among mercial banks, investment banks, and specialized trading firms. This market has options that are larger in contract size than elsewhere, and typically Europeanstyle. OTC Option Markets ? They are customized unlike the standardized exchangetraded options. The exchanges can be viewed as the discount stores (“onesizefits all” stores). The international banks are boutiques offering tailormade products to customers. ? Premiums on OTC options are higher than the parable exchangetraded options. This difference primarily reflects the customized nature of the OTC options。 ? 按行使期權的有效期分：歐式期權和美式期權。 ? 求： 3個月后假設美元市場價格分別為 ? ＄ 1=＄ 1=，該公司各需支付多少美元？ 70 ?（ 1）在＄ 1=， ?實際支付 =400萬 +400萬 +400萬 %/2 =202萬美元 + +1萬美元 = ?（ 2）在＄ 1