【ppt精品課件】貨幣金融學7版英文課件--13-大學課件2(編輯修改稿)
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【文章內(nèi)容簡介】 Widely Traded InterestRate Futures Contracts 15 169。 2023 Pearson Education Canada Inc. Interest Rate Futures Markets Interest Rate Futures Contract 1. Specifies delivery of type of security at future date 2. Arbitrage ? at expiration date, price of contract = price of the underlying asset delivered 3. i ?, long contract has loss, short contract has profit 4. Hedging similar to forwards Micro vs. macro hedge Traded on Exchanges: Global petition Success of Futures Over Forwards 1. Futures more liquid: standardized, can be traded again, delivery of range of securities 2. Delivery of range of securities prevents corner 3. Mark to market: avoids default risk 4. Don’t have to deliver: ting 16 169。 2023 Pearson Education Canada Inc. Widely Traded Stock Index Futures Contracts 17 169。 2023 Pearson Education Canada Inc. Widely Traded Currency Futures 18 169。 2023 Pearson Education Canada Inc. Profits and Losses: Options vs. Futures $100,000 Canadabond contract, 1. Exercise price of 115, $115,000. 2. Premium = $2,000 169。 2023 Pearson Education Canada Inc. 19 Payoff Function from Buying an Interest Rate Futures (see Fig. 131) Consider the June Canada bond futures contract traded on the ME. If you buy this contract for 115, you agree to pay $115,000 for $100,000 face value of longterm Canadas when they are delivered to you at the end of June. If at the expiration date the underlying Canada bond for the futures contract has a price of ? 110, meaning that the price of the futures contract also falls to 110, you suffer a loss of 5 points, or $5,000 (point A39。) ? 115, you would have a zero profit (point B39。) ? 120, you would have a profit on the contract of 5 points, or $5,000 (point C39。) 20 169。 2023 Pearson Education Canada Inc. Payoff Function from Selling an Interest Rate Futures (see Fig. 131) If you sell this contract for 115, you agree to deliver $100,000 face value of longterm Canada bonds for $115,000 at the end of June. If at the expiration date the underlying Canada bond for the futures contract has a price of ? 110, meaning that the price of the futures contract also falls to 110, you gain 5 points, or $5,000 (point A39。) ? 115, you would have a zero profit (point B39。) ? 120, you would have a loss on the contract of 5 points, or $5,000 (point C39。) 21 169。 2023 Pearson Education Canada Inc. Figure 131. Interest Rate Futures Options An option contract on the ME39。s June Canada bond futures contract has the following key features: ? it has the same expiration date as the underlying futures contract ? it is an American option and so can be exercised at any time before the expiration date, and ? the premium of the option is quoted in points that are the same as in the futures contract, so each point corresponds to $1,000. 22 169。 2023 Pearson Education Canada Inc. How Interest Rate Futures Options Work (see Fig. 131) Suppose that today you buy, for a $2,000 premium, a European call on the $100,000 June Canada bond futures contract with a strike price of 115. If at the expiration date the underlying Canada bond for the futures contract has a price of ? 110, the futures call will be out of the money, since SX. It will expire worthless for a loss of $2,000 (point A) ? 115, the futures call will be at the money, but produces n
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