用于匯率風(fēng)險(xiǎn)管理的衍生產(chǎn)品：貨幣期貨與期貨市場(1)-文庫吧資料
2025-01-17 11:22本頁面
【正文】 s Hedge: 是指保值者持有期貨合約的頭寸規(guī)模與需要保值的基礎(chǔ)資產(chǎn)之間的比率。） Maturity mismatches and Delta hedges ? Futures hedge is called a delta hedge when there is a mismatch between the maturity (but not the currency) of a futures contract and the underlying exposure. ? When there is a maturity mismatch, a futures hedge cannot provide a perfect hedge against currency risk. Dec 16 Oct 26 Mar 13 S$10million underlying obligation Futures expiration date following the cash flow An example of a delta hedge time 0 time t=227/365 Sept 11 Futures expiration date following the cash flow time T=278/365 An example of a delta hedge ? There are 227days between March 13 and October 26. ? A hedge with the futures contract expires on September 11 only hedges against currency risk through that date. It remains exposed to changes in currency values from the end of the contract through October 26. ? The December futures contract is a better choice because it can hedge currency risk through October 26 and then be sold. ? Suppose the spot rate is S0$/s$＝ $$ on March 13, Annual interest rate in the United States and Singapore are i$＝ % and is$＝ % ? According to IRP， the forward price for exchange on October 26 is F0,t$/s$ = S0$/s$ [(1+i$)/(1+is$)]t＝ ()[(1+%)/(1+%)][227/365]=$$ ? It can form a perfect hedge with a long forward contract for delivery of S$10 million on October 26 in exchange for （ $$)(S$10,000,000)=$6,089,000. As we shall see, the futures hedge using the December 16 futures contract is not quite as precise. An example of a delta hedge ? 該公司利用期貨合約套期 —— 3月 13日 買進(jìn) 12月到期的期貨合約，并在 10月 26日賣出該期貨合約，風(fēng)險(xiǎn)在于 12月到期的期貨合約運(yùn)行到10月 26日時(shí)的價(jià)格如何變化？即期貨平倉時(shí)的價(jià)格是多少？ ? 3月 13日， 12月到期的期貨合約價(jià)格： Fut0,T$/s$ = S0$/s$ [(1+i$)/(1+is$)]T＝ ()[(1+%)/(1+%)][278/365]=$$（以此價(jià)格買入） ? 同時(shí)，根據(jù)遠(yuǎn)期匯率預(yù)測法， 10月 26日的即期匯率是： E[S0， t$/s$ ]= F0,t$/s$ =$$ This expectation will hold only if interest rates, (1+i$)/(1+iS$)=, remains constant, This ratio is the “basis” for changes in futures prices over time 10月 26日債務(wù)到期時(shí)，分三種情況討論： 情況一：基差不變： basis i$S$=%%=%,因此， 10月26日的即期匯率不變，即 St$/S$ =$$，在 10月 26日，到 12月 16日交割的期貨合約價(jià)格就建立在之前預(yù)期的即期匯率 : St$/s$ =$$的基礎(chǔ)上，期限 Tt＝ 278－ 227＝ 51天： Futt,T$/s$ = St$/s$ [(1+i$)/(1+is$)]Tt＝ ()[(1+%)/(1+%)][51/365]=$$（ 以此價(jià)格賣出） Profit on futures: Futt,T$/s$ Fut0,T$/s$ =]=$$$$=0 Profit on underlying short position in the spot currency: (St$/s$ E[St$/s$ ])=(=$$ $$=0 情況二： 10月 26日，新加坡利率上升至： iS$=%，導(dǎo)致 新元匯率上升至： St$/S$ =$$ 因此，在 10月 26日，到 12月 16日交割的期貨合約價(jià)格就變?yōu)椋? Futt,T$/S$ = St$/S$ [(1+i$)/(1+iS$)]Tt＝ ()[(1+%)/(1+%)][51/365]=$$（以此價(jià)格賣出） 此時(shí)，公司在期貨市場的收益為： Profit on futures: Futt,T$/s$ Fut0,T$/s$ =$$－ $$=$$ 新元升值帶來的債務(wù)成本增加，即現(xiàn)貨市場公司損失為： Loss on underlying short position in the spot currency: (St$/s$ E[St$/s$ ])=($$ $$=$$ 凈損失＝ +－ ＝－ $$，損失總額為：－ $4000（總債務(wù)支出是 10百萬） 損失增加是因?yàn)樾录悠吕噬仙罡淖兯?。F Bolsa Mercadorias amp。 ? The futures contract solution ?A futures exchange clearinghouse takes one side of every transaction (and makes sure that its exposures cancel one another) ?Contracts are markedtomarket daily ?Require initial and maintenance margins Forwards versus futures Forwards Futures Counterparty Bank CME
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