第二章國際匯率風險管理ppt課件

1、1第二章 國際匯率風險管理.2學習目的掌握匯率風險的種類掌握外匯風險的管理方法.東北財經(jīng)大學金融學院3第一節(jié) 匯率風險概述匯率風險的定義匯率風險的種類.東北財經(jīng)大學金融學院4一、匯率風險的定義匯率風險也叫外匯風險Foreign Exchange Risk，是指一國經(jīng)濟實體或企業(yè)在其國際經(jīng)濟、貿(mào)易、金融活動中，以外幣計價的資產(chǎn)或負債由于外匯匯率變動，導致其價值上升或下降而產(chǎn)生風險的能夠性。.5二、匯率風險的種類買賣風險會計風險經(jīng)濟風險.6一買賣風險Transaction Exposure買賣風險是指外匯匯率動搖使經(jīng)濟實體外匯頭寸的實踐價值發(fā)生變化而導致?lián)p失的能夠性。買賣風險是最常見的外匯風險。.

2、7例1我國某外貿(mào)公司向英國出口，貨款額為100萬英鎊，以英鎊計價結(jié)算。簽約日為2021年9月23日，結(jié)算日為12月23日。簽約時匯率：1=RMB12.6422結(jié)算時匯率： 1=RMB10.1801那么我國公司因人民幣升值少收入246.21萬人民幣。 12.6422-10.1801100=246.21萬RMB.8例2我國政府于1979年開場運用日本政府貸款，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。由于我國計價結(jié)算貨幣主要是美圓，即用美圓兌換日元后還款，對我國日元貸款歸還極為不利。1980-1990年間，我國只償付利息不付本金，付息額為1982.06億日元。1980年匯率：1=J￥22

3、6.69，須支付1982.06/226.69= 8.74億1990年匯率： 1=J￥145.83，須支付1982.06/145.83= 13.59億僅利息支付上就損失4.85億美圓。.9二會計風險(Accounting Exposure)又稱折算風險，是指匯率變動對企業(yè)或銀行財務(wù)報表上工程價值變動的影響。會計風險產(chǎn)生于跨國公司與跨國銀行將世界各地的子公司或子銀行的報表進展并表的過程中產(chǎn)生的帳面風險。.10三經(jīng)濟風險Economic Exposure經(jīng)濟風險是指銀行或企業(yè)未來預(yù)期收益因外匯匯率變化而能夠遇到損失的能夠性，即對銀行或企業(yè)盈利才干或未來現(xiàn)金流的影響它不僅受匯率變動的直接影響，還受利率

4、和物價等要素的間接影響。因此，銀行未來現(xiàn)金流是不確定的。.11第二節(jié) 外匯風險管理主要針對買賣風險管理兩種方法：金融管理法和非金融管理法金融管理法包括：遠期外匯買賣、外匯期貨買賣、外匯期權(quán)買賣、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、提早或推遲結(jié)算、LSI法等.I. Spot marketDenominating vs. “Commodity CurrencyFor a bid-ask quote of US$/CHF 0.5921-0.5934, “US$ is denominating currency and “CHF is “commodity currency

5、.Direct vs. Indirect QuoteFor U.S. residents, direct quote: US$/CHF 0.5921-0.5934indirect quote: CHF/US$ 1.6852-1.6889 is.Direct Bid = 1/Indirect Ask Direct Ask = 1/Indirect Bid.Quotes & TradingI. Spot marketBid-Ask SpreadPercentage of spread = (Ask price Bid price)/Ask price e.g. (0.5934-0.5921)/0.

6、5934 = 0.22%More actively traded FX implies narrower the bid-ask spread.Quotes & TradingChanges in Currency ValuesAppreciation vs. Depreciation e.g. if we know CHF1.56/US$ (last year) and CHF1.90/US$ (today), US$ has appreciated by: (1.90-1.56)/1.56 =21.79%; CHF has depreciated by:(0.5263-0.6410)/0.

7、6410 = -17.89%.Quotes & TradingII. Forward MarketForward contract Agreement to exchange currency at a future date. Forward contracts function as a hedge against uncertain exchange rate movement.Forward rates can be expressed in three ways:Outright quote the actual price of the forward contractSwap r

8、ate method the difference between the outright forward rate quote and the corresponding spot rateForward premium (discount) - the forward rate is above (below) the spot rate.Quotes & TradingII. Forward MarketBid/Ask spot 1-Month 2-MonthUS$/CHF 0.5921-0.5934 4-6 9-7For one-month forward contract, the

9、 swap quote is 4-6; The outright forward rate in US$/CHF bid quote: 0.5925 (=0.5921+0.0004) Ask quote: 0.5940 (=0.5934+0.0006)For 2-month forward contract, the swap quote is 9-7; The outright bid quote is US$/CHFBid quote: 0.5912 (=0.5921-0.0009)Ask quote: 0.5927 (=0.5934-0.0007).Annualized Forward

10、Premium (Discount) Rate Forward Rate - Spot Rate 12 months (or 360 days) = - -x - Spot Rate Forward Contract maturity in months (or in days) Annualized 1-month forward bid rate for the CHF is 0.8% =(0.5925 - 0.5921)/0.5921x12x100; 2-month forward discount rate for CHF for bid is0.912% =(0.5912-0.592

11、1)/0.5921x(12/2)x100.III. Settlement DateSpot/Forward contracts are settled on the date of delivery of the funds promised in the contract.Spot contracts are usually settled two business days (or less) after the agreement is reached.The settlement date is also called the value date.Suppose a 1-month

12、forward contract is entered into on July 7 (Wednesday). Since the spot value date, which is two business days after the contract, is July 9, the settlement day for, the forward contract will be August 9. For 2-month forward contracts, the settlement day will be September 9.19一遠期外匯買賣的計算1、用匯水數(shù)計算遠期匯率1直

13、接標出外匯的遠期匯率，瑞士與日本采用此方法。如東京外匯市場，即期匯率1=J￥107，3個月遠期市場1=J￥110.202用匯水數(shù)計算遠期匯率原那么：按照前小后大往上加，前大后小往小減原那么如：Spot Rate $1=SF1.42351.4245 3個月匯水數(shù) 4060那么：3個月遠期匯率$1=SF1.42751.4305又如： Spot Rate $1=SF1.42351.4245 3個月匯水數(shù) 10080那么：3個月遠期匯率$1=SF1.41.4165.212、遠期匯率升貼水的緣由1兩國貨幣短期利率的差別例如：倫敦市場年利率為9.5% 紐約市場年利率為7%倫敦市場即期匯率：1= $1.96

14、00 求：3個月的遠期匯率和$的遠期匯率？原理：如倫敦銀行賣出3個月遠期美圓，必需買進美圓即期，以備3個月后交割。而買進即期美圓必需賣出即期英鎊，將9.5%利率調(diào)成7%，那么倫敦銀行將利息損失轉(zhuǎn)嫁到3個月美圓買主身上，那么賣出3個月美圓的遠期匯率應(yīng)高于美圓的即期匯率，這為3個月美圓升水或3個月英鎊貼水。結(jié)論：利率低的貨幣其遠期匯率普通表現(xiàn)為升水，利率高的貨幣其遠期匯率普通表現(xiàn)為貼水。.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)=1.96 2.5% 3/12 =0.01223個月遠期匯率=1.96-0.0122= 1.9478同樣求出3個月美圓的升水數(shù) =1/1

15、.96 2.5% 3/12 = 0.00313個月遠期匯率= 0.5102+ 0.0031 = 0.5133 或： 1/1.9478= 0.5133.232兩國貨幣遠期外匯市場的供求關(guān)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議的升貼水數(shù)上下動搖，在供求平衡情況下，兩者才會一致。升貼水折年率=升水或貼水數(shù)12/即期匯率月數(shù)如英鎊升水0.0062，那么美圓3個月期賣主升水數(shù)折年率 =0.0062 12/0.5102 3=5%這不僅彌補2.5%利息損失，而且添加2.5%利息收益，那么賣主添加，需求減少，美圓升水開場減少，直到供求平衡。如美圓升水從0.0031英鎊減少到0.0015英鎊

16、，那么美圓升水折年率僅為1.25%，那么3個月美圓賣主減少，需求添加，美圓升水開場添加，直到供求平衡。.24計算練習1、知：紐約市場 即期匯率$1=SF1.52101.5220 1個月匯水數(shù) 80100 3個月匯水數(shù) 140160求：紐約市場1個月和3個月美圓對瑞士法郎的遠期匯率？ 2、知：即期匯率$1=SF1.42301.4240 3個月匯水數(shù) 8060 6個月匯水數(shù) 16080 求：3個月和6個月美圓的遠期匯率，并計算3個月和6個月美圓匯率升貼水折年率用中間價？.25計算練習3、我國某公司從瑞士進口成套設(shè)備，估計3個月后用美圓存款兌付1572萬瑞士法郎進口貨款，擔憂瑞士法郎升值，做遠期外匯

17、買賣進展保值。知：即期匯率$1=SF1.34551.3465 3個月匯水數(shù) 120140求：該公司3個月后應(yīng)付多少美圓？ 4、我國某公司方案3個月后用美圓兌付700萬瑞士法郎進口貨款，為防止瑞士法郎升值，做遠期買賣。知：即期匯率$1=SF1.27601.2770 3個月匯水數(shù) 150170求：假設(shè)3個月后$1=RMB7.12357.1280 那么該公司應(yīng)支付多少人民幣進口貨款？.26計算練習5、知：美圓年利率5%，瑞士法郎年利率8% 即期匯率$1=SF1.4256求：實際上3個月美圓的遠期匯率？實際上3個月瑞士法郎的遠期匯率？.273、遠期外匯買賣的作用為進出口商和對外投資者防備匯率風險堅持銀

18、行遠期外匯頭寸的平衡遠期外匯投機 “多頭先買后賣，買空 “空頭先賣后買，賣空.Theories of FX MarketI. Interest Rate Parity (IRP)Example: Suppose a bank, facing the decision of investing excess funds for 3 months, has obtained the following information:Annualized U.S. 3-month CD rate is 10%;UK rate (r*), 12%Spot exchange rate (SR) is US$1

19、.50/, and 3-month forward rate (FR) is US$ 1.51/. Option A : The bank will invest domestically, i.e., in the U.S. CD market. $1(1+10%/4)= $1.025.Theories of FX MarketOption B: The bank willConvert the US$ in , 0.6667(= US$1/1.50US$/)Invest in the U.K. CD market, 0.6667(1+12%/4)= 0.6867, andSell the

20、investment proceeds in for US$ in the 3-month forward market US$1.0369(= 0.6867*1.51 US$/)Return under Option B exceeds the return under OptionA, the foreign market alternative is preferred.I. Interest Rate Parity (IRP) SR= spot rate for foreign currencies in terms of US$, i.e., US$ / FR= forward ra

21、te for foreign currencies in terms of US$ r = interest rate for US$ in U.S. r* = interest rate for foreign currencies in their countries FR= SR(1+r)/(1+r*) or (FR-SR)/SR=(r-r*)/(1+r*) .II. Purchasing Power Parity (PPP)There are two versions of PPP: absolute PPP and relative PPPAbsolute PPP states th

22、at the exchange rate-adjusted price for any good (or a basket of goods) is the same everywhere. P* and P are the foreign price and domestic price of the good, eP*= P .II. Relative PPP suggests that the change in the exchange rate over time between two countries will reflect relative changes in the p

23、rice levels (or the difference in the inflation rates) of the two countries. or SR1 and SR0 are the exchange rates at time 1 and 0 respectively. Further, SR1 is the expected rate one period from today (date=0). INF and INF* are the expected domestic and foreign inflation rates.e1/e0 = (1 + INF)/(1 +

24、 INF*) (SR1 - SR0 )/SR0= ( INF - INF*)/(1 + INF*).III. Open Fisher ParityOpen Fisher parity assumes constant, real interest rates (or the difference in real interest rates in countries are constant) as: or ex ante relationship. It implies that there is no unique risk premium in the forward rates quo

25、ted in foreign exchange markets. SR1/SR0 = (1 + r)/(1 + r*) (SR1-SR0)/SR0 = ( r - r*) /(1+ r*).III. Open Fisher ParityU.S. nominal interest rate is 8% while Japan is 12%. Given the current exchange rate, SR0, of US$0.01/, the expected exchange rate will be:SR1 = SR0 (1 + r)/(1 + r*) = US$0.01/ (1.08

26、)/(1.12) = US$0.00964/The Japanese nominal interest rate is higher than the U.S., its currency is expected to depreciate. Why?.IV. Unbiased Forward Market HypothesisEquating the two equations (1) and (4) - because their right sides are identical, we obtain:The forward price is an unbiased predictor

27、for the future spot price. This is the unbiased forward market hypothesis, or speculative efficient market (SEM) hypothesis. FR = SR1 (5).Motivations of Participants in FX MarketForeign exchange market has three types of activities: arbitrage, hedging and speculation.Hedging allows of importers, exp

28、orters and multinational corporations to avoid currency exposure, i.e., volatility in profits due to FX volatility.1. Hedging Risk: Diversifiable or Systematic?Diversifiable risk for both the Customer and the BankSystematic for the customer but diversifiable for the bankSystematic for both the custo

29、mer and the bank2. Hedge Ratio.Motivations of Participants in FX MarketExample Given the following:Spot rate: 1.50/US$ or US$0.6667/ Forward Rate: 1.59/US$ or US$0.6289/ German interest rate:12% per annumU.S. interest Rate:10% per annum A payment of 10 million is required in three months. Which mark

30、et (forward or Money Market) should be used for hedging?.Motivations of Participants in FX MarketExampleCost in forward market in three months US$ 0.6289/ x 10 million = US$6.289 millionCost in Money MarketFind the present value of the foreign currency at the foreign market rate. We invest in the Ge

31、rman money market that will yield 100 in three months, the amount of German marks required today is the present value of 100 at 12%, i.e.,10 million/ (1 + 12%/4) = 9.709 million.Motivations of Participants in FX MarketConvert this amount to US$ at the prevailing spot rate to determine the borrowing

32、amount in the US$. 9.709 million x US$0.6667/ = US$6.473 millionFind the future payment in US$ to pay off the loan in the money market at 10%. That is,US$ 6.473 million x ( 1 + 10%/4) = US$6.635 millionThe outflow in the money market (US$6.635 million) is higher than the outflow in the forward marke

33、t (US$6.289 million). The forward market is preferred.Motivations of Participants in FX MarketWe can reach the same conclusion by computing FRc:FRc = SR0 (1+0.10/4)/(1+0.12/4) =US$0.6635 / Because the actual forward is undervalued (US$0.6635 US$0.6289, actual), obtaining the foreign currency through

34、 the forward market is desirable.41二外匯期貨買賣 Future Transaction外匯期貨買賣是指在有組織的買賣市場以公開競價的方式，買賣在未來某一規(guī)范交割日期，根據(jù)合約價錢交割規(guī)范數(shù)量外集合約的買賣。世界上第一個外匯期貨買賣所成立于1972年5月16日的美國芝加哥，稱為“國際貨幣市場International Monetary Market-IMM，它是芝加哥商品買賣所Chicago Mercantile Exchange-CME的一個分支。1982年成立了倫敦國際金融期貨買賣所London International Financial Future

35、 Exchange-LIFFE，還有新加坡商品期貨買賣所等。.Forward and Futures ContractsA futures contract a standardized agreement between an individual entity and a clearing house of an organized exchange pertaining to future exchange of a good (commodity, currency, or a financial asset) at an agreed price. .Features of futu

36、res/forward contractsFutures contracts traded on an organized exchange;Futures contracts have standardized contract terms while forward contracts are tailor-made to the customers;Given the well-capitalized clearing house, the risk of a future default by the clearing house is small.BuyerClearing Hous

37、eSellerClearing Houseno middleman for forward clearing house for futures contractDeposit Requirementno deposit: forwardmargin 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

38、positions are considered, the total always equals zero;Futures contract is marked-to-market;.Net Cost of Hedging in FuturesNet Cost= closing Cost $80,750 - fund amount returned 1,880 +variation margin 625 +initial margin paid 1,755= total Cost $81,250Unit Price:=$81,250/CHF 125,000= $0.65/CHF -same

39、as the initial contract price.Functions of Currency FuturesPricingThe model to price currency futures is the same as the currency forward price, i.e., via the Interest Rate Parity Theory (IRPT). It is also called the carrying cost model. If there is a sizable difference between currency forward and

40、futures prices, arbitrage opportunities may exist.Risk ManagementFutures contracts are commonly used as tools for risk management because the futures price movements are similar to the spot price movements.49外匯期貨合約貨幣種類與報價。僅限于美圓與另一種可自在兌換貨幣的買賣。，包括：英鎊、加元、日元、瑞士法郎、歐元合約金額規(guī)范化。IMM中規(guī)定，加元10萬、日元1250萬、瑞士法郎12.5萬

41、、英鎊2.5萬等。最小價錢動搖和最高限價。交割月份與交割日期。 IMM中規(guī)定，交割月份為每年2月份。交割日期為到期月的第三個星期的星期三。.50外匯期貨市場的組成買賣所。制定買賣規(guī)那么，監(jiān)視管理買賣活動及發(fā)布信息，提供買賣場所與設(shè)備，以維持期貨市場的正常運轉(zhuǎn)。清算所。擔任期貨合同的買賣與登記。清算所是期貨合同買賣的中價，既是賣方又是買方，清算所承當信譽風險。期貨傭金商。必需是經(jīng)注冊登記的期貨買賣所會員。收取傭金。市場參與者。包括套期保值者Hedger和投機者Speculator兩種。.51外匯期貨買賣與遠期外匯買賣的區(qū)別買賣市場不同。外匯期貨買賣是在有形市場；遠期外匯買賣是在無形

42、市場。合同規(guī)范不同。外匯期貨買賣合約是規(guī)范化的；遠期外匯買賣合約由雙方協(xié)商確定。市場參與者不同。外匯期貨買賣參與者可以是金融機構(gòu)、企業(yè)、公司和個人；遠期外匯買賣普通是大公司。保證金不同。外匯期貨買賣必需交足保證金；遠期外匯買賣普通不收保證金。結(jié)算制度不同。外匯期貨買賣采取每日結(jié)算制度；遠期外匯買賣在到期日進展結(jié)算。信譽風險不同。外匯期貨買賣信譽風險小、價錢風險大；遠期外匯買賣信譽風險大、價錢風險也大。交割義務(wù)不同。外匯期貨買賣絕大部分95%左右每日結(jié)算，5%左右經(jīng)過買賣平倉終止交割義務(wù)；遠期外匯買賣大多數(shù)在交割日用現(xiàn)匯交割。.52外匯期貨買賣與遠期外匯買賣的聯(lián)絡(luò)買賣目的一樣。為了防備風險或投機

43、。買賣市場相互依賴。兩個市場價錢相互影響、相互依賴.53外匯期貨市場套期保值買賣外匯期貨市場套期保值買賣原理是利用現(xiàn)貨市場價錢與期貨市場價錢同方向、同幅度變動的特點，在外匯現(xiàn)貨市場與期貨市場做方向相反、金額相等的對沖買賣，以便對持有的外匯債券或債務(wù)進展保值。外匯期貨市場套期保值分為賣方保值和買方保值兩種。.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，該公司擔憂英鎊到期時匯率下降，帶來外匯風險，于8月2日作外匯期貨買賣保值。 現(xiàn)貨市場 期貨市場8月2日收入買入100萬英鎊 同日賣出40份英鎊期貨合約匯票 1=1.4900 1=1.48409月1日

44、收入英鎊現(xiàn)匯折成美圓 同日買入40份英鎊合約 1=1.4600 1=1.4540 虧損1001.49-1.46=3萬美圓 盈利1001.4840-1.4540)=3萬.55外匯期貨買方保值例如：我國某進口公司12月10日估計3月10日以美圓存款兌付200萬瑞士法郎進口貨款，由于擔憂瑞士法郎升值帶來外匯風險，做外匯期貨買賣保值。 現(xiàn)貨市場 期貨市場12月10日估計3個月后支付200 同日買進16份瑞士法郎期貨合約萬瑞士法郎 200/12.5 1=SF1.8640 SF1=0.5370 SF1=0.5340 3月10日用美圓買進200萬瑞士法郎 同日賣出16份瑞士法郎期貨合約 1=SF1.8462

45、 SF1=0.5416 SF1=0.5386 虧損2000.5416-0.5370=9200 盈利2000.5386-0.5340)=9200.56三外匯期權(quán)買賣 Option Trading期權(quán)買賣又稱選擇權(quán)買賣，是指買賣者經(jīng)過付出一筆較小的費用，便能得到一種權(quán)益，在預(yù)先商定的日期或該日期前，按照預(yù)先商定的價錢和數(shù)量買賣某一特定商品或金融資產(chǎn)的權(quán)益。外匯期權(quán)買賣是指合同買方付出保險費或期權(quán)費，獲得以協(xié)定價錢買賣商定數(shù)量的貨幣或放棄這種買賣的權(quán)益，合同的賣方獲得期權(quán)費并且承當匯率動搖風險的買賣。外匯期權(quán)合同的買方是有權(quán)無責，賣方是有責無權(quán)。外匯期權(quán)合同內(nèi)容與外匯期貨合同內(nèi)容大致一樣。但有履約價

46、錢、期權(quán)費的特殊規(guī)定。.Option Markets Call and PutCall option the right (not obligation) to buy a fixed number of underlying securities (instruments) at a specified price, called thestrike price or exercise price, for a specified period of time.Call Option Payoff diagram.A put option the right to sell a fixed

47、number of underlying securities at a specified price (also called the strike price or exercise price) for a period of time;.Put Option - Payoff.B. Exchange-traded vs OTC optionsCurrency options are available in both the organized exchanges and the over-the-counter (OTC) market. Options traded on the

48、 OTC markets are customized both the amount and the maturity. available for more currencies than the limited number of currency exchange-traded optionOTC options are tailor-made for the customers, there is not an active secondary market .B. Exchange-traded vs OTC optionsThe OTC currency options mark

49、et consists of two sectors: The first is a retail market composed 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

50、is a wholesale market among commercial banks, investment banks, and specialized trading firms. This market has options that are larger in contract size than elsewhere, and typically European-style.OTC Option MarketsThey are customized unlike the standardized exchange-traded options. The exchanges ca

51、n be viewed as the discount stores (“one-size-fits all stores). The international banks are boutiques offering tailor-made products to customers.Premiums on OTC options are higher than the comparable exchange-traded options. This difference primarily reflects the customized nature of the OTC options

52、;.OTC OptionsTypically European style. No flexibility of the exchange-traded American options. No secondary market, the distinction between American-style and the European-style is significant;A desired maturity less than the standard maturity for an exchange-traded American option can be easily acc

53、ommodated, although the transaction cost on such a contract may not be justifiable.Option MarketsExchanges require margins for writers. In most exchanges, options buyers have to pay the premium up front. LIFFE (London International Financial Futures Exchange) does not require up front premium on opt

54、ions;Option buyers have to set up a margin account based on the delta factor; and they receive profits on a daily basis without any need for liquidating the position.LIFFE also allows automatic offset of margins on a combination of options. This feature is also common in the U.S. option exchange for

55、 trading different option strategies.Option MarketsThe collateral requirements on OTC options cannot be generalized, but they primarily depend on the customers creditworthiness, perceived value of its business by the bank, and the exposure created by the option position of the bank. Exchange-traded

56、contracts have the backing of the clearing house unavailable in the OTC options. Consequently credit risk analysis of the counterparty becomes critical in an OTC option. .67外匯期權(quán)的種類1、按期權(quán)買進和賣出的性質(zhì)分：看漲期權(quán)、看跌期權(quán)和雙向期權(quán)。看漲期權(quán)Call Option也叫買入期權(quán)，是指買方預(yù)測未來外匯價錢將上漲，購買該種外匯期權(quán)可獲得在未來一定時期內(nèi)以合同價錢和數(shù)量購買該種外匯的權(quán)益。看跌期權(quán)Put Option

57、也叫賣出期權(quán)，是指買方預(yù)測未來外匯價錢將下降，購買該種外匯期權(quán)可獲得在未來一定時期內(nèi)以合同價錢和數(shù)量賣出該種外匯的權(quán)益。雙向期權(quán)是指期權(quán)買方獲得在未來一定時期內(nèi)以合同價錢和數(shù)量買進或賣出該種外匯的權(quán)益。2、按行使期權(quán)的有效期分：歐式期權(quán)和美式期權(quán)。歐式期權(quán)買方只能在到期日行使期權(quán)。美式期權(quán)買方可以在到期日前的任何一天隨時買賣。3、場外期權(quán)和場內(nèi)期權(quán)。.68外匯期權(quán)買賣操作1、買入看漲期權(quán)：協(xié)定價錢市場價錢時，行使期權(quán)，按協(xié)定價進展； 協(xié)定價錢市場價錢時，放棄行使期權(quán)，按市場價進展。2、買入看跌期權(quán)：協(xié)定價錢市場價錢時，行使期權(quán)，按協(xié)定價進展； 協(xié)定價錢市場價錢時，放棄行使期權(quán)，按市場價進展。.

58、69買入看漲期權(quán)我國某外貿(mào)公司3月1日估計3個月后用美圓支付400萬瑞士法郎進口貨款，預(yù)測瑞士法郎會升值，做外匯期權(quán)買賣保值。知：3月1日即期匯率1=SF2.0000IMM協(xié)定價錢SF1= 0.5050IMM保險費SF1= 0.0169期權(quán)買賣傭金占合同總額的0.5%，采用歐式期權(quán)。求：3個月后假設(shè)美圓市場價錢分別為1=SF1.7000和1=SF2.3000兩種情況下，該公司各需支付多少美圓？.701在1=SF1.7000時，實踐支付=400萬0.5050+400萬 0.0169+400萬0.5%/2 =202萬美圓+6.76萬美圓+1萬美圓 =209.76萬美圓2在1=SF2.3000時，實

59、踐支付=400萬/2.3+400萬 0.0169+400萬0.5%/2 =173.9萬美圓+6.76萬美圓+1萬美圓 =181.66萬美圓.71買入看跌期權(quán)我國某外貿(mào)公司向英國出口商品，1月20日裝船發(fā)貨，收到價值100萬英鎊的3個月遠期匯票，擔憂到期結(jié)匯時英鎊匯率下降，減少美圓創(chuàng)匯收入，做外匯期權(quán)買賣保值。知：1月20日即期匯率1=1.4865IMM協(xié)定價錢1=1.4950IMM保險費1= 0.0212期權(quán)買賣傭金占合同總額的0.5%，采用歐式期權(quán)。求：3個月后英鎊對美圓匯價分別為1=1.4000和1=1.6000兩種情況下，該公司各需收入多少美圓？.721 當1=1.4000時， 實踐收入

60、=100萬1.4950-100萬0.0212-100萬0.5% 1.4865 =146.64美圓2當1=1.6000時，實踐收入=100萬1.6000-100萬0.0212-100萬0.5% 1.4865 =157.14美圓.73四貨幣市場借貸法BSI法貨幣市場借貸法Borrow-Spot-Invest-BSI法 出口應(yīng)收帳款 進口應(yīng)付帳款.74出口應(yīng)收帳款原理：在出口應(yīng)收帳款時，為防止應(yīng)收外幣的匯價風險，首先借入與應(yīng)收外匯期限一樣、幣種一樣、金額一樣的外幣，消除時間風險，再在即期市場上將外幣兌換本錢幣，在本國市場投資，以投資收益抵消部分借款利息支出，到期以收入外匯歸還到期借款。借外幣即期將外