期貨與互換的詳細分析-資料下載頁
2025-05-10 16:53本頁面
【正文】 說，這是一種非常有價值的工具。同樣，股票指數(shù)期貨合約也可以被套利者用來從市場的非平價關(guān)系中套利。 Futures contracts calling for cash settlement are traded on various stock market indexes. The contracts may be mixed with Treasury bills to construct artificial equity positions, which makes them potentially valuable tools for market timers. Market index contracts are used also by arbitrageurs who attempt to profit from violations of the parity relationship. Summary 2335 外匯期貨合約有好多品種，其中還包括歐洲貨幣指數(shù)。外匯期貨的利率平價關(guān)系為： Foreign exchange futures trade on several foreign currencies, as well as on a European currency index. The interest rate parity relationship for foreign exchange futures is Summary 其中匯率是用每單位外幣的美元數(shù)標價的。如果期貨價格偏離了這個價值就意味 著存在套利機會。不過，實證研究表明，通常平價關(guān)系都是滿足的。 with exchange rates quoted as dollars per foreign currency. Deviations of the futures price from this value imply arbitrage opportunity. Empirical evidence, however, suggests that generally the parity relationship is satisfied. 2336 對沖要求投資者購買那種能抵消其投資組合特殊來源風(fēng)險的敏感性資產(chǎn)．一個對沖頭寸要求對沖工具能帶來與要保護的頭寸相反方向的收入。 Hedging requires investors to purchase assets that will offset the sensitivity of their portfolios to particular sources of risk. A hedged position requires that the hedging vehicle provide profits that vary inversely with the value of the position to be protected. Summary 2337 由于存在著標的商品的儲存成本，所以商品期貨的定價比較復(fù)雜。當投資者愿意儲存商品時，用儲存成本扣除便利收益，可以得到如下期貨定價方程： F0＝ P0(1＋ rf＋ c) 非利息的凈儲存成本 c，就相當于一種“負紅利”。 Commodity futures pricing is plicated by costs for storage of the underlying modity. When the asset is willingly stored by investors, then the storage costs of convenience yield enter the futures pricing equation as follows: F0＝ P0(1＋ r f＋ c) The non–interest carrying costs, c, play the role of a “negative dividend” in this context. Summary 2338 當商品不是出于投資目的而儲存起來時，正確的期貨價格應(yīng)該根據(jù)一般的風(fēng)險補償原則確定，即 When modities are not stored for investment purposes, the correct futures price must be determined using general risk–return principles. In this event, Summary 合理的期貨均衡價格與無套利預(yù)期是彼此一致的。 The equilibrium (risk–return) and the noarbitrage predictions of the proper futures price are consistent with one another for stored modities. 2339 可以把一系列現(xiàn)金流進行交換的互換看作是遠期合約的資產(chǎn)組合 。 每次交換都可以看作是一個單獨的遠期協(xié)議 。 不過 ，與把每次交換都單獨定價不同的是 ， 互換把一個 “ 遠期價格” 用于所有的交換 。 因此 ， 互換的價格應(yīng)該是每次交換都單獨定價得到的遠期價格的平均值 。 Summary Swaps, which call for the exchange of a series of cash flows, may be viewed as portfolios of forward contracts. Each transaction may be viewed as a separate forward agreement. However, instead of pricing each exchange independently, the swap sets one “forward price” that applies to all of the transactions. Therefore, the swap price will be an average of the forward prices that would prevail if each exchange were priced separately
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