【文章內容簡介】 16 KEY CONCEPTS ：遠期、期貨、期權（或有權益）和互換；場內、場外交易； ； 用、兩種無風險套利理論（一價定律、投資組合套利理論）。 Study Session 17 Forward Markets and Contracts 18 Forward Markets and Contracts Forward Contracts A Forward Contract is a bilateral contract that obligates one parry to buy and the other to sell a specific quantity of an asset, at a set price, on a specific date in the future. Forward Contract 要點： 初始價值為零，簽約時雙方均不需支付任何費用 If the future price of the asset the future price of the asset CFA Level I 要求掌握：金融遠期：股票、國債、外匯和利率等 19 LOS . Differentiate between the positions held by the long and short parties to a forward contract in terms of delivery/settlement and default risk. The party to the Forward Contract that agrees to buy the financial or physical asset has a long forward position and is called the long. The party to the Forward Contract that agrees to sell or deliver the asset has a short forward position and is called the short. 舉例： Consider a contract under which Parry A agrees to buy a $1,000 face value, 90day Treasury bill from Parry B 30 days from now at a price of $990. Parry A is the long and Parry B is the short. Both parries have removed uncertainty about the price they will pay/receive for the Tbill at the future date . Forward Markets and Contracts 20 Forward Markets and Contracts 舉例： Consider a contract under which Parry A agrees to buy a $1,000 face value, 90day Treasury bill from Parry B 30 days from now at a price of $990. Parry A is the long and Parry B is the short. Both parries have removed uncertainty about the price they will pay/receive for the Tbill at the future date . 風險分析： 如果標的物價格上漲 ， 多頭盈利 （ long, Parry A） 如果標的物價格下跌 ， 空頭盈利 （ short, Parry B） 違約風險： Default Risk (Counterparty Risk), the probability that the other party (the counterparty) will not perform as promised. 21 Forward Markets and Contracts LOS . Describe the procedures for settling a forward contract at expiration, and discuss how termination alternatives prior to expiration can affect credit risk. The previous example was for a deliverable forward contract. The short contracted to deliver the actual instrument, in this case a $1,000 face value, 90day Tbill. This is one procedure for settling a forward contract at the settlement date or expiration date specified in the contract. An alternative settlement method is cash settlement. Under this method, the party that has a position with negative value is obligated to pay that amount to the other party. 22 Forward Markets and Contracts Terminating a Position Prior to Expiration A party to a forward contract can terminate the position prior to expiration by entering into an opposite forward contract with an expiration date equal to the time remaining on the original contract. 0 10 30 120 90 在第 10天，簽訂一份相反的遠期合約，結束原來的合約；如果此合約與第三方簽訂，面臨違約風險。 23 Forward Markets a