金融衍生工具市场培训课件

2金融衍生工具市场的作用金融衍生工具市场的作用 Private contract between 2 partiesExchange tradedNon-standard contractStandard contractUsually 1 specified delivery dateRange of delivery datesSettled at end of contractSettled dailyDelivery or final cashsettlement usually occursContract usually closed outprior to maturityFUTURESSome credit riskVirtually no credit risk Available on a wide range of underlyings Exchange traded Specifications need to be defined:What can be delivered,Where it can be delivered,&When it can be delivered Settled daily Available on a wide range of underlyings Exchange traded Specifications need to be defined:What can be delivered,Where it can be delivered,&When it can be delivered Settled dailyMarginsA Possible OutcomeTable 2.1,Page 28 DailyCumulativeMarginFuturesGainGainAccountMarginPrice(Loss)(Loss)BalanceCallDay(US$)(US$)(US$)(US$)(US$)400.004,0005-Jun 397.00(600)(600)3,4000.13-Jun 393.30(420)(1,340)2,6601,340.19-Jun 387.00(1,140)(2,600)2,7401,260.26-Jun 392.30260 (1,540)5,0600+=4,0003,000+=4,000一位投资折签订了两份冷冻橙汁的多头期货合约，每份合约的交割数量都为15,000磅。当前期货价格为每磅160美分；每份合约的初始保证金为$6,000;维持保证金都为$4,500。价格如何变化会导致保证金催付？在什么情况下，可以从保证金账户中提回$2,000?3020100-5708090100110 120 130Profit($)Terminalstock price($)-30-20-1005708090100110 120 130Profit($)Terminalstock price($)3020100-7706050408090100Profit($)Terminalstock price($)-30-20-1070706050408090100Profit($)Terminalstock price($)PayoffKSTSTKPayoffPayoffSTSTKKPayoffStocksForeign CurrencyStock IndicesFuturesSpecification ofExchange-Traded Options假设一个执行价格为$50的欧式看涨期权价值$2.50,并持有到期。在何种情况下期权的持有者会有盈利？在何种情况下，期权会被执行？请画图说明期权的多头方的收益是如何随期权到期日的股价的变化而变化的。假设一欧式看跌期权执行价格为$60，价值为$4.00并持有到期。在何种情况下，期权持有者（即空头方）会有盈利？在何种情况下，期权会被执行？请画图说明期权的空头方的收益是如何随期权到期日的股价的变化而变化的。It is May and a trader writes a September call option with a strike price of$20.The stock price is$18 and the option price is$2.Describe the traders cash flows if the option is held until September and the stock price is$25 at that time.一位投资者出售了一个欧式12月份到期的看跌期权，执行价格为$30,期权价值为$4。在什么情况下，投资者会有盈利？一种股票的现价为$94,执行价格为$95的3个月期的看涨期权价格为$4.70。一位投资者预计股票价格将要上升，正在犹豫是购买100股股票，还是购买20份看涨期权（每份合约为100股）。两种策略都须投资$9,400。你会给他什么建议？股票价格上升到多少时，购买期权会盈利更大？1.我国某外贸公司3月1日预计3个月后用美元支付400万英镑进口货款，预测英镑汇价会有大幅度波动，以货币期权交易保值。已知：3月1日即期汇价GBP1=USD1.4865(IMM)协定价格GBP1=USD1.4950(IMM)期权费GBP1=USD0.0212期权交易佣金占合同金额的0.5%，采用欧式期权。3个月后假设美元市场汇价分别为GBP1=USD1.4000与GBP1=USD1.6000，问该公司各需支付多少美元？2.我国某外贸公司向英国出口商品，6月2日装船发货，收到价值100万英镑的3个月远期汇票，担心到期结汇时英镑对美元汇价下跌，减少美元汇价收入，以外汇期权交易保值。已知：6月2日即期汇价GBP1=USD1.4500（IMM)协定价格GBP1=USD1.4800（IMM)期权费GBP1=USD0.0212期权交易佣金占合同金额的0.5%，采用欧式期权。3个月后在英镑对美元汇价分别为GBP1=USD1.4000与GBP1=USD1.6000两种情况下，该公司各收入多少美元？133股票价格指数期权交易股票价格指数期权交易 cpCPVariableS0KTrD+?+American vs European OptionsAn American option is worth at least as much as the corresponding European optionC cP pConversion Formulas(Page 79)DefineRc:continuously compounded rateRm:same rate with compounding m times per yearRmRmRm ecmmRmcln/11A 3-month call option on the stock has a strike price of 21.A stock price is currently$20 In three months it will be either$22 or$18Stock Price=$22Stock Price=$18Stock price=$20Stock Price=$22Option Price=$1Stock Price=$18Option Price=$0Stock price=$20Option Price=?A Call OptionA 3-month call option on the stock has a strike price of 21.Consider the Portfolio:long D sharesshort 1 call option Portfolio is riskless when 22D 1=18D or D=0.2522D 118DSetting Up a Riskless PortfolioValuing the Portfolio(Risk-Free Rate is 12%)The riskless portfolio is:long 0.25 sharesshort 1 call option The value of the portfolio in 3 months is 22 0.25 1=4.50 The value of the portfolio today is 4.5e 0.120.25=4.3670 The riskless portfolio is:long 0.25 sharesshort 1 call option The value of the portfolio in 3 months is 22 0.25 1=4.50 The value of the portfolio today is 4.5e 0.120.25=4.3670Valuing the Option The portfolio that is long 0.25 sharesshort 1 option is worth 4.367 The value of the shares is 5.000(=0.25 20)The value of the option is therefore 0.633(=5.000 4.367)Generalization(Figure 11.2,page 243)A derivative lasts for time T and is dependent on a stockS0u uS0d dS0Generalization(continued)Consider the portfolio that is long D shares and short 1 derivative The portfolio is riskless when S0uD u=S0dD d ordSuSfdu00DS0uD uS0dD dGeneralization(continued)Value of the portfolio at time T is S0uD u Value of the portfolio today is (S0uD u)erT Another expression for the portfolio value today is S0D f Hence =S0D (S0uD u)erT Generalization(continued)Substituting for D we obtain =pu+(1 p)d erTwhere pedudrTp as a Probability It is natural to interpret p and 1-p as probabilities of up and down movements The value of a derivative is then its expected payoff in a risk-neutral world discounted at the risk-free rateS0u uS0d dS0p(1 p)Risk-neutral Valuation When the probability of an up and down movements are p and 1-p the expected stock price at time T is S0erT This shows that the stock price earns the risk-free rate Binomial trees illustrate the general result that to value a derivative we can assume that the expected return on the underlying asset is the risk-free rate and discount at the risk-free rate This is known as using risk-neutral valuationOriginal Example RevisitedSince p is the probability that gives a return on the stock equal to the risk-free rate.We can find it from20e0.12 0.25=22p+18(1 p)which gives p=0.6523Alternatively,we can use the formula6523.09.01.19.00.250.12edudeprTS0u=22 u=1S0d=18 d=0S0 p(1 p)Valuing the Option Using Risk-Neutral ValuationThe value of the option is e0.120.25(0.65231+0.34770)=0.633S0u=22 u=1S0d=18 d=0S00.65230.3477 Suppose that are the prices of European call options with strike prices respectively,where and All options have the same maturity.Show that 123ccc、123X、XX321XXX3221XXXX2130.5()ccc5.4.4其他类型衍生金融工具市场 1互换交易（Swap）它是指两个或两个以上当事人在约定的时间内，按预定条件交换一系列支付款项的金融交易。互换交易最基本的类型是货币互换(Currency Swap)和利率互换(Interest Rate Swap)。1）货币互换。它是指当两个筹款人各自借取的货币不同，但金额等值、期限相同时，按照约定的条件，互相偿付对方到期应偿付的本息。LIBOR+3.5%的浮动利率 A公司 B公司 付12%LIBOR+3.5%13.5%的固定利率 放款人 放款人A公司与公司与B公司进行利率互换后，各自的借公司进行利率互换后，各自的借款成本见表款成本见表6-1：A公司 B公司 支付给第三方贷款人+12%+(LIBOR+3.5%)支付给对方+(LIBOR+3.5%)+13.5%从对方收到 -13.5%-(LIBOR+3.5%)筹资总成本 LIBOR+2%13.5%不安排互换时的筹资成本 LIBOR+2.5%14%净节约成本 0.5%0.5%An Example of a“Plain Vanilla”Interest Rate Swap An agreement by Microsoft to receive 6-month LIBOR&pay a fixed rate of 5%per annum every 6 months for 3 years on a notional principal of$100 million Next slide illustrates cash flows-Millions of Dollars-LIBORFLOATING FIXED NetDateRateCash Flow Cash Flow Cash FlowMar.5,20044.2%Sept.5,20044.8%+2.102.500.40Mar.5,20055.3%+2.402.500.10Sept.5,20055.5%+2.652.50+0.15Mar.5,20065.6%+2.752.50+0.25Sept.5,20065.9%+2.802.50+0.30Mar.5,20076.4%+2.952.50+0.45Cash Flows to Microsoft(See Table 7.1,page 151)Typical Uses of anInterest Rate Swap Converting a liability fromfixed rate to floating rate floating rate to fixed rate Converting an investment from fixed rate to floating ratefloating rate to fixed rate Intel and Microsoft(MS)Transform a Liability(Figure 7.2,page 152)IntelMSLIBOR5%LIBOR+0.1%5.2%Financial Institution is Involved(Figure 7.4,page 153)F.I.LIBORLIBORLIBOR+0.1%4.985%5.015%5.2%IntelMSIntel and Microsoft(MS)Transform an Asset(Figure 7.3,page 153)IntelMSLIBOR5%LIBOR-0.2%4.7%Financial Institution is Involved(See Figure 7.5,page 154)IntelF.I.MSLIBORLIBOR4.7%5.015%4.985%LIBOR-0.2%The Comparative Advantage Argument(Table 7.4,page 157)AAACorp wants to borrow floating BBBCorp wants to borrow fixedFixed Floating AAACorp4.0%6-month LIBOR+0.30%BBBCorp5.20%6-month LIBOR+1.00%Comparative Advantage Arguments for Currency Swaps(Table 7.8,page 167)General Motors wants to borrow AUDQantas wants to borrow USDUSDAUDGeneral Motors 5.0%12.6%Qantas 7.0%13.0%6.5 我国的金融市场 6.5.1我国金融市场发展的必要性我国金融市场发展的必要性 1发展金融市场是建立社会主义市场经济的基础。2发展金融市场有利于提高融资有效性和广泛性。3发展金融市场有利于中央银行的宏观调控。4发展金融市场有利于我国对外开放。谢谢观看/欢迎下载BY FAITH I MEAN A VISION OF GOOD ONE CHERISHES AND THE ENTHUSIASM THAT PUSHES ONE TO SEEK ITS FULFILLMENT REGARDLESS OF OBSTACLES.BY FAITH I BY FAITH