chap3外匯衍生產(chǎn)品市場.ppt

1、3. 外匯衍生產(chǎn)品市場,FX Derivatives Market,AMOUNTS OUTSTANDING OF OVER-THE-COUNTER (OTC) DERIVATIVES BY RISK CATEGORY AND INSTRUMENT (In billions of US dollars),DERIVATIVE FINANCIAL INSTRUMENTS TRADED ON ORGANISED EXCHANGES BY INSTRUMENT AND LOCATION (Number of contracts in millions),DERIVATIVE FINANCIAL INS

2、TRUMENTS TRADED ON ORGANISED EXCHANGES BY INSTRUMENT AND LOCATION (Number of contracts in millions),內(nèi)容提要,遠(yuǎn)期匯率的確定 外匯期貨主要特征 外匯期權(quán)組合交易策略 外匯互換的運作方式,外匯遠(yuǎn)期交易 FX FORWARDS,3.1.,外匯遠(yuǎn)期交易 (FX Forwards),本質(zhì)上是一種預(yù)約買賣外匯的交易 分為定期外匯遠(yuǎn)期交易和擇期外匯遠(yuǎn)期交易 基本特征 場外交易 合約條款由雙方議定，存在違約風(fēng)險 合約簽訂時無資金交收，到期前不能轉(zhuǎn)讓,擇期外匯遠(yuǎn)期交易,交割日期不固定，可在未來指定時間內(nèi)的任意一

3、天按約定匯率進行交割 合同有效期通常為一個半月 使用擇期遠(yuǎn)期匯率 為客戶提供了外匯買賣的靈活性，克服定期外匯遠(yuǎn)期交易交割日期確定不變的缺點,外匯遠(yuǎn)期合約的市場價值,擇期遠(yuǎn)期匯率,升水即以擇期期初的遠(yuǎn)期匯率為銀行買價 貼水即以擇期期末的遠(yuǎn)期匯率為銀行買價,遠(yuǎn)期匯率的確定：供求,The forward exchange rate reflects the supply and demand for a currency for future delivery. So, the forward rate provides information on the future spot exchange

4、 rate The forward exchange rate sometimes overestimates the future spot exchange rate and sometimes underestimates the future spot exchange rate,遠(yuǎn)期匯率的確定：供求,Q,Q1Q2,D,D ,S,F($/),F2,F1,遠(yuǎn)期匯率的確定：預(yù)期,遠(yuǎn)期匯率與未來即期匯率未必相同，但二者之間存在密切關(guān)系 遠(yuǎn)期匯率反映未來交割貨幣的供求情況，具有某種預(yù)測未來即期匯率變動的能力 均衡條件下，遠(yuǎn)期貼水等于預(yù)期的貨幣貶值，遠(yuǎn)期升水等于預(yù)期的貨幣升值,遠(yuǎn)期匯率的確定：套

5、利,利息平價定理 (Interest Rate Parity) 如果兩種相似金融工具的預(yù)期收益不同，資金就會從一種工具轉(zhuǎn)移到另一種工具 相似金融工具的預(yù)期收益率相等時實現(xiàn)均衡 Interest rate equalization across nations would ensure that flow of funds would not occur,國際金融套利的影響 如果經(jīng)過匯率調(diào)整，一國某種金融工具的預(yù)期收益率仍高于另一國相似金融工具，資金就會跨國移動 資金在國際間的轉(zhuǎn)移，必然影響相關(guān)國家可貸資金市場的供求，影響利率水平，進而影響到匯率,拋補套利 (Covered Interest P

6、arity),Covered interest parity is a condition that relates interest differentials to the forward premium or discount CIP is helpful in understanding short-term market movements As an equilibrium condition, it assists in our understanding of potential adjustments in various financial markets These ad

7、justments occur if there is a flow of savings from one nation to another,拋補套利示意圖,拋補套利情景分析,假設(shè)條件 某美國居民可持有一年期美元資產(chǎn)或英鎊資產(chǎn) 兩國利率分別是Rh和Rf 英鎊兌美元即期匯率為S，1年期遠(yuǎn)期匯率為F,拋補利息平價公式推導(dǎo),h,h,習(xí)題,根據(jù)拋補利息平價公式，預(yù)測1年期遠(yuǎn)期匯率 如果銀行報1年期遠(yuǎn)期匯率2.15 $/，是否存在套利機會。應(yīng)該如何操作？ 試計算6個月遠(yuǎn)期匯率應(yīng)是多少？,美元存款年利率15%，英鎊存款年利率10%， 美元與英鎊的即期匯率是2 $/。,外匯期貨交易 FX FUTURES

8、,3.2.,外匯期貨交易 (FX Futures),指在有組織的交易場所內(nèi)，以公開叫價方式確定匯率，交易標(biāo)準(zhǔn)交割日期、標(biāo)準(zhǔn)交割數(shù)量的外匯 Futures contract is an agreement to deliver to another a given amount of a standardized commodity or financial instrument at a designated future date 1972年芝加哥商品交易所開辟國際貨幣市場(IMM)，完成首筆外匯期貨交易,外匯期貨的主要特征,交易合約標(biāo)準(zhǔn)化 交易金額和交割日期 價格波動限制 集中交易和清算

9、市場流動性高 履約有保證 投機性強,Classification of financial futures,Interest-Rate Futures: Contracts to buy or sell a standardized denomination of a specific financial instrument at a given price at a certain date in the future Stock-Index Future: Promises of future delivery of a portfolio of stocks represented b

10、y a stock price index Currency Futures: An agreement to deliver to another a standardized quantity of a specific nations currency at a designated future date,IMM外匯期貨交易,清算機制,由期貨交易所提供或指定清算所 由清算所充當(dāng)期貨合約各方的交易對手 對于外匯期貨買方來說，清算所是賣方 對于外匯期貨賣方來說，清算所是買方 清算所始終存在，并要求集中清算 提高了市場的流動性 為外匯期貨買賣雙方消除了履約風(fēng)險的顧慮,保證金制度,客戶在經(jīng)紀(jì)公

11、司開立保證金賬戶，經(jīng)紀(jì)公司在清算所開立賬戶，清算所將所有買賣指令配對 最低初始保證金和維持保證金 逐日結(jié)算制度(marking to market) 未平倉頭寸需按當(dāng)日市場結(jié)算價計算賬面盈虧，據(jù)以調(diào)整原有的保證金數(shù)額,英鎊期貨保證金賬戶流量,IMM規(guī)定：每份英鎊期貨合約價值62500英鎊；最小價格變動為$0.0001/；單日最大變動為$ 0.01 /,Hedging with Currency Futures,Currency futures contracts entail daily cash flow settlements To hedge with a futures contrac

12、t, the firm must setup an initial margin, or bond performance requirement The firm must also maintain a maintenance margin, or minimum bond performance requirement Futures contract gains or losses are marked-to-market at the end of each trading day,外匯期權(quán)交易 FX OPTIONS,3.3.,外匯期權(quán)交易 (FX Options),合約購買方在向出

13、售方支付一定費用（期權(quán)費）后獲得未來按規(guī)定匯率交易一定數(shù)量外匯的選擇權(quán) A financial contract giving the owner the right to buy or sell an underlying financial instrument at a certain price within a specific period of time,外匯期權(quán)交易 (FX Options),有交易所交易期權(quán)和場外期權(quán) 分為看漲期權(quán)(calls)和看跌期權(quán)(puts) Call options: allow the holder to purchase the underlyi

14、ng currency Put options: allow the holder to sell the underlying currency,外匯期權(quán)交易 (FX Options),有美式期權(quán)和歐式期權(quán) American options: grant the holder the right to exercise the right to purchase or sell the underlying currency at any time before or including the date at which the contract expires European opti

15、ons: grant the holder the right to exercise the right to purchase or sell the underlying currency only at on the date that the contract expires,外匯期權(quán)交易 (FX Options),Futures Options, Stock Options, and Currency Option Futures Options: Options to buy or sell futures contracts Stock Options: Options to

16、buy or sell firm equity shares Currency Option: A contract granting the right to buy or sell a given amount of a nations currency at a certain price within a specific period of time,期權(quán)費,由期權(quán)購買方支付給出售方 期權(quán)購買方的成本上限 期權(quán)出售方的收入上限 期權(quán)費的決定因素 供求關(guān)系 期權(quán)的內(nèi)在價值 期權(quán)的時間價值或期限 預(yù)期的匯率波動性,多頭跨式期權(quán),以相同執(zhí)行價格買入看跌期權(quán)和看漲期權(quán),1.10,空頭寬跨式期權(quán),賣出執(zhí)行價格低的看跌期權(quán)和價格高的看漲期權(quán),多頭差價看漲期權(quán),買入執(zhí)行價格低的看漲期權(quán)，同時賣出執(zhí)行價格高的看漲期權(quán),外匯互換交易 FX SWAPS,3.4.,外匯互換交易 (FX Swaps),也稱貨幣互換。指交易雙方相互交換不同幣種但期限相同、金額相等的貨幣及利息 A contract-entailing an exchange of payment flows between two parties 可以降低籌資成本或防范匯率風(fēng)險 Interest-Rate Swap: A contract