(2)-chapter2國際金融國際金融

Chapter2activitiesininternationalfinancialmarketforeignexchangeandforeignexchangerateforeignexchangemarketforeignexchangetransactionSection1foreignexchangeandforeignexchangerateⅠforeignexchangeⅡforeignexchangerateⅢimpactofexchangeratechanges外匯是一切以[填空1]計價，用于清償[填空2]的[填空3]。作答正常使用填空題需3.0以上版本雨課堂填空題0分Ⅰforeignexchange1)definition2)categories1)definitiondynamicdefinitionforeignexchangeisdefinedasthecurrenciesfreelyflowfromonecountrytoanotherandconvertonecountry’scurrencytoothercurrenciessoastomakepayment1)definitionstaticdefinitionBroadsense:

anyfinancialassetdenominatedinaforeigncurrencycurrencyofanothernation1)definitionNarrowsense:thefinancialassetdenominatedinaforeigncurrencywhichareusedininternationalsettlementMainbody:foreigncurrencydeposita:universalacceptanceb:convertiblec:purchasingpower2)categoriesconvertiblefreelyappreciationordepreciationdeliverytimeⅡforeignexchangerate1）definitionandquotation2）types匯率是用一種貨幣來表示的另一種貨幣的價格。正確錯誤AB提交投票最多可選1項1）definitionandquotationdefinitionTheexchangerateissimplythepriceofonecurrencyintermsofanother請列出匯率的標價方法有哪些？[填空1]

[填空2]

[填空3]

作答正常使用填空題需3.0以上版本雨課堂填空題0分間接標價法表示的是哪種貨幣的價格？本幣外幣美元ABC提交單選題2分1）definitionandquotationQuotationdirectquotationmethoddomesticcurrencyunitsperunitofforeigncurrency1USD=6.4550CNYbasecurrencyquotedcurrency1）definitionandquotationindirectquotationmethodforeigncurrencyunitsperunitofthedomesticcurrency1CNY=0.1549USDquotedcurrencyBasecurrency1）definitionandquotation1）definitionandquotationUSdollarquotationmethodrequirementsoftransactionconvenienceUSDisthebasecurrency1.Whathashappenedtotheexchangeratevalueofthedollarineachcase?a.Thespotrategoesfrom$0.50/SFrto$0.51/SFrb.ThespotrategoesfromSFr2/$toSFr1.96/$c.Thespotrategoesfrom$0.010/yento$0.009/yend.Thespotrategoesfrom100yen/$to111yen/$a.美元[填空1]

b.美元[填空2]

c.美元[填空3]

d.美元[填空4]

作答正常使用填空題需3.0以上版本雨課堂填空題0分1）definitionandquotation

Iftheexchangerategoesup,whetheritmeansthatthedomesticcurrencywillappreciate?1）definitionandquotationExchangerategoesup,basecurrencyappreciates,quotedcurrencydepreciatesExchangerategoesdown,basecurrencydepreciates,quotedcurrencyappreciates2）typesdeliverytimeSpotexchangerateForwardexchangerate2）typeschangesofexchangeratefixedexchangeratefloatingexchangerate2）typestransactionsbidrateofferratemiddleratesection2foreignexchangemarketⅠdefinitionⅡcharacteristicsⅢparticipantsⅣpracticeⅠdefinition

foreignexchangemarketisthemarketinwhichnationalcurrenciesandotherfinancialassetsdenominatedinvariouscurrenciesareboughtandsoldagainstoneanother.Ⅱcharacteristicslargestandmostperfectmarketanover-the-countermarket24-hour各主要外匯市場開盤收盤時間（北京時間）

新西蘭惠靈頓外匯市場：04：00-12：00

澳大利亞外匯市場：6：00-14：00

日本東京外匯市場：08：00-14：30

新加坡外匯市場：09：00-16：00

英國倫敦外匯市場：15：30-00：30

德國法蘭克福外匯市場：15：30-00：30

美國紐約外匯市場：21：00-04：00ⅢparticipantsretailclientscommercialbanksforeignexchangebrokerscentralbanksMainbodyⅣPracticequotation[example1:spotrate]指在一定報價方式下，商業(yè)銀行之間或商業(yè)銀行向客戶報出的愿意買入外匯和愿意賣出外匯的價格USD/CAD:1.3251/75“兌”basecurrencyquotedcurrencybidrateOfferrateⅣPracticeMeaning:ifthebankwantstobuyoneUSD,hewillwishtopay105.86JPY;ifthebankwantstoselloneUSD,hewillwishtobepaid106.02JPYUSD/JPY:105.86/02106.02Exchangeratequotation(2021)貨幣名稱交易單位現(xiàn)匯買入價現(xiàn)鈔買入價現(xiàn)匯賣出價現(xiàn)鈔賣出價澳大利亞元100473.07458.37476.55478.66加拿大元100511.57495.41515.34517.61美元100645.06639.82647.80647.80瑞士法郎100701.85680.20706.79709.81歐元100761.08737.43766.69769.15英鎊100886.49858.95893.02896.97港幣10082.9282.2683.2583.25日元1005.83695.65555.87985.8889韓國元1000.55560.53600.56000.5806澳門元10080.6077.9080.9283.61ⅣPracticeGBP/USD:1.6001從右向左，第一位變動一個單位，為一個基本點GBP/USD:1.6024匯率上升了23個點ⅣPractice[exercise]SupposespotexchangerateGBP/USD=1.5368/811)Acustomerwantstosell2millionUSD,howmuchpoundshewillreceive?2)Ifthecustomerwantstobuy2millionUSD,howmuchpoundshewillpay?ⅣPractice[example2:forwardrate]SupposeinFrankfurtUSD/CADspotratethree-monthforward1.3347/8730/20forwardrate

遠期匯率的報價方式一般是只報即期匯率以及遠期與即期相差的點數(shù)USDwilldepreciate;CADwillappreciate銀行在遠期交易中承擔的風(fēng)險大于即期交易，所以遠期交易的買賣差價一定要大于即期+/－(1.3347-0.0030)/(1.3387-0.0020)ⅣPracticecrossrate

CAD/CHFUSD/CAD,USD/CHF規(guī)則：如果兩種貨幣的標價方法相同，將豎號左右的數(shù)字交叉相除；如果兩種貨幣的標價方法不同，將豎號左右的兩邊對應(yīng)相乘。ⅣPractice[example1]SupposeUSD/CHF=1.3894/1.3904USD/CAD=1.6917/1.6922CAD/CHF=?Step1:quotationmethodsarethesameStep2:CAD/CHF=(USD/CHF)/(USD/CAD)=(1.3894/1.6922)/(1.3904/1.6917)=0.8211/0.8219ⅣPractice[example2]SupposeGBP/USD=1.6808/1.6816

USD/EUR=1.6917/1.6922GBP/EUR=?Step1:quotationmethodsaredifferentStep2:GBP/EUR=(1.6808×1.6917)/(1.6816×1.6922)=2.8434/2.8456

exerciseSupposeinHongKongexchangeratesareasfollowingUSD/EUR=1.0114/24USD/HKD=7.7920/30EUR/HKD=?SupposeUSD/JPY=120.10/90GBP/USD=1.4819/30Ifaclientwantstoconvert10millionofJPYtoGBP,Howmuchpoundswillhereceive?Section3foreignexchangetransactionsⅠspottransactionsⅡforwardtransactionsⅢarbitrageⅣinnovationaltransactionsⅠspottransactions即期交易又稱現(xiàn)匯交易，在兩個交易日內(nèi)辦理交割的交易。caseexport1millionUSDworthofgoods;receivepayment3-monthlateratpresent:spotrateUSD/CNY=6.383-monthlaterspotrate=

Ⅱforwardtransactions1)definitionforwardtransactionsrefertoconvertonecurrencytoanotheronsomedateinthefutureatapricesetnow.Ⅱforwardtransactions2）applicationHedgingusing[example]supposeimport50000GBPworthofgoodsatpresentspotrate:GBP/USD=1.53monthslaterspotrate:GBP/USD=1.63-monthforwardrate:GBP/USD=1.50105000USDoflosses多花費50美元達到減少5000美元損失的目的Explainthenatureofexchangerateriskofthefollowing,fromtheperspectiveoftheU.S.firmorperson.AsmallU.S.firmsoldexperimentalcomputercomponentstoaJapanesefirm,anditwillreceivepaymentof1millionyenin60days.日元貶值，賣出遠期日元日元升值，賣出遠期日元日元貶值，買入遠期日元日元升值，買入遠期日元ABCD提交單選題2分AU.S.firmmustrepayayenloan,principalplusinteresttotaling100millionyen,comingduein60days.日元貶值，賣出遠期日元日元貶值，買入遠期日元日元升值，買入遠期日元日元升值，賣出遠期日元ABCD提交單選題2分HedgingusingIfyoumakepaymentinthefuture,youshouldbuyforwardexchange;ifyoureceivepaymentinthefuture,youshouldsellforwardexchangeⅡforwardtransactionsSpeculatingusingAspeculatorpredictGBPwillappreciatespotrateGBP/USD=1.5845;One-monthforwardGBPisatpremiumof40points;ThespeculatorwillbuyforwardGBPtowaitfortheappreciation;Ifone-monthlater,spotrate:1.5895;Ifspotrate:1.5835gainprofitlossesBuylongorbull（“買空”）：先買后賣ⅡforwardtransactionsAspeculatorpredictUSDwilldepreciatespotrateUSD/DEM=2.6790;one-monthforwardUSDisatdiscountof40points;ThespeculatorwillsellforwardUSDtowaitforthedepreciation;Ifone-monthlater,spotrate:2.6740;Ifspotrate:2.6795gainprofitlossesSellshortorbear（“賣空”）：先賣后買Thecurrentspotexchangerateis$0.50/SFr.Thecurrent180-dayforwardexchangerateis$0.52/SFr.Youexpectthespotratetobe$0.51/SFrin180days.Howwouldyouspeculateusingaforwardcontract?賣出遠期美元賣出遠期瑞士法郎買入遠期瑞士法郎ABC提交單選題2分SpeculatingusingPredictappreciationBuyforwardcontractPredictdepreciationSellforwardcontractⅢarbitragedefinitionArbitragetradingrefertomakeuseofdifferenceofexchangeratesandinterestratesindifferentforeignexchangemarketordifferentdeliverytimetobuysomefinancialassetsatalowerpriceandsellatahigherprice.Ⅲarbitragecategoriesspacearbitragetimearbitrageinterestarbitrage地點套匯按照涉及外匯市場多少的不同，可以分為[填空1]套匯和[填空2]套匯。作答正常使用填空題需3.0以上版本雨課堂填空題0分Ⅲarbitragespacearbitrage[example]SupposeinNewYorkUSD/HKD=7.8010/25inHongKongUSD/HKD=7.8030/45Whatwillyoudotogainaprofitapplyingthedifferentmarkets?ⅢarbitragedefinitionItalsoreferstobuycertainforeignexchangeatlowerpricebutsellathigherpricethroughdifferentmarketsonapointoftime.directarbitrage(two-pointarbitrage);indirectarbitrage(three-pointarbitrage)Ⅲarbitragedirectarbitrage[example]NewYork:USD/DEM=1.6920Frankfurt:USD/DEM=1.7020IfyouhaveoneUSD,howtodothearbitragetrading?利用兩個不同地點的外匯市場之間的某一貨幣匯率的差異，同時在這兩個外匯市場上一邊買進，一邊賣出該貨幣，以賺取外匯差額的一種交易，兩角套匯是最簡單的一種套匯Ⅲarbitrage[exercise]NewYork:USD/JPY=128.40/50Tokyo:USD/JPY=128.70/90Ifyouhave1millionUSD,howtogainprofit?Ⅲarbitrageindirectarbitrage[example]NewYork:GBP/USD=1.6410/50London:GBP/HKD=12.680/90HongKong:USD/HKD=7.7710/50Step1:whetherthereisachancetodoarbitrageStep2:findoutthepath利用三個市場之間的貨幣匯率差異，同時在這三個外匯市場上進行套匯買賣1.643012.6857.7730middleratequotationmethod(direct)(indirect)(direct)1/12.6851.6430×7.7730/12.685≠11.6410×7.7710/12.690=1.0049NewYorkHongKongLondonⅢarbitrage[exercise]NewYork:USD/DEM=2.4982/2.5000Frankfurt:FRF/DEM=0.2500/0.2510Paris:USD/FRF=12.000/12.010Isthereachancetodoarbitragetrading?Howtodo?2.49910.250512.0051/2.49910.2505×12.005/2.4991=1.2(2.4982/0.2510)÷12.010=0.8287Ⅲarbitrage[exercise]supposespotexchangerateNewYork:USD/CHF=1.5349/89London:GBP/USD=1.6340/70Zurich:GBP/CHF=2.5028/48Isthereachancetodoaarbitragetrading?IfaSwissbusinessmanhave1millionSwissFranc,howwillhegainprofit?Ⅲarbitragetimearbitrage(swaptransaction)definitionswaptransactionrefertoacombinationoftwoormoretradingwhicharethesameincurrencyandtradevolume,butinoppositedirectionanddifferentinthetimeofdelivery.Ⅲarbitragecharacteristicsswapwon’tchangeforeignexchangevolumeheldbythetradersimultaneousofbuyingandsellingtradewiththesamedealerⅢarbitrageinterestarbitragedefinitionItreferstoutilizingthedifferenceofinterestratesindifferentfinancialmarketstoearnprofit無風(fēng)險套利指的是拋補的利息套匯非拋補的利息套匯AB提交單選題2分Ⅲarbitrage[example]supposeinterestrateinJapanis3%,interestrateinUSAis6%aninvestorinJapanown130millionJPYandwanttoinvesttheminUSAforoneyearspotUSD/JPY129.50/130.00,calculatetheprofit.①ifexchangeratewon’tchangeoneyearlater②ifspotUSD/JPY132.00/50oneyearlater③ifspotUSD/JPY125.00/50Whatwillyoudotogainmoreprofit?ProfitfromJapan:130×(1+3%)=133.90millionJPYⅢarbitrage①130millionJPY÷130=1millionUSD1millionUSD×(1+6%)×129.5=137.27millionJPY②1millionUSD×(1+6%)×132=139.92millionJPY③1millionUSD×(1+6%)×125=132.50millionJPYmorethan133.90ProfitfromhigherinterestrateandappreciationofUSDlessthan133.90Ⅲarbitrageuncoveredinterestarbitrage

單純把資金從低利率的貨幣轉(zhuǎn)向高利率的貨幣，從而謀取利差收益但不同時進行反方向交易扎平頭寸，從而要承擔高利率貨幣貶值的風(fēng)險，所以從低利率的貨幣來看，最終可能并不獲利。howtoavoidtheexchangerateandmakesuretogainprofit?ⅢarbitragecoveredinterestarbitrageSupposeoneyearforwardrateUSD/JPY=127.00/127.501millionUSD×(1+6%)×127.00=134.62millionJPY把資金投向高利率貨幣的同時，通過遠期交易扎平外匯頭寸，規(guī)避高利率貨幣貶值風(fēng)險，獲取穩(wěn)定收益exercise

某一時期，美國金融市場上定期存款利率為年率12%，英國金融市場上定期存款利率為年率8%。某英國投資者以8%的年利率向本國銀行拆借10萬英鎊，購買美元現(xiàn)匯并存入美國銀行，作三個月的短期套利。⑴supposethecurrentspotrateisGBP/USD=2;threemonthslater,spotrateisGBP/USD=2.1,pleasecalculatethenetprofitoftheuncoveredinterestarbitrage.⑵supposethecurrentspotrateisGBP/USD=2;threemonthslater,spotrateisGBP/USD=1.95,pleasecalculatethenetprofitoftheuncoveredinterestarbitrage.⑶supposethecurrentspotrateisGBP/USD=2;three-monthforwardUSDisatdiscountof10points,pleasecalculatethenetprofitofthecoveredinterestarbitrage.Ⅳinnovationaltransactions1)foreigncurrencyfutures2)foreigncurrencyoptions1)futuresstandardforwardtransactionscharacteristicstradingobjectStandardizedcontractwaysoftradingdeliveryfuturecontractscalefixedvaluedatepricemarginsettlement010203我國一家進出口公司（A公司）出口價值100萬美元的貨物；貨款一個月之后到賬，當前匯率為：1美元＝6.4元人民幣為了防止一個月后美元貶值，A公司該如何利用遠期？為了防止一個月后美元貶值，A公司該如何利用遠期？買入遠期美元賣出遠期美元買入即期美元賣出即期美元ABCD提交單選題2分如果1個月遠期美元價格是1美元=6.37元人民幣，一個月后即期交易價格為1美元=6.42元人民幣，你是否愿意執(zhí)行遠期合約？YESNOAB提交投票(匿名)最多可選1項如果1個月遠期美元價格是1美元=6.37元人民幣，一個月后即期交易價格為1美元=6.32元人民幣，你是否愿意執(zhí)行遠期合約？NOYESAB提交投票最多可選1項在商品成交價格之外支出很小的金額獲取免費退換貨的選擇權(quán)！2)optionsDefinitioncurrencyoptionsrefertoakindofchoicerighttobuyorsellcertainamountofforeignexchangeinthefutureatthepricesetintheoptioncontract,forwhichthebuyeroftheoptionpaytotheselleroptionfee.外匯期權(quán)也稱貨幣期權(quán)，指合約購買方在向出售方支付一定期權(quán)費后所獲得的在未來約定日期或一定時間內(nèi)，按照規(guī)定匯率買進或賣出一定數(shù)量外匯資產(chǎn)的選擇權(quán)2)optionscategoriescontentoftherightperformancemodecalloptionputoptionAmericanoptionEuropeanoption010203我國一家進出口公司（A公司）出口價值100萬美元的貨物；貨款一個月之后到賬，當前匯率為：1美元＝6.4元人民幣為了防止一個月后美元貶值，A公司應(yīng)該做