Chap07_chinese

Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,Irwin/McGraw-Hill,Copyright 2001 by The McGraw-Hill Companies, Inc. All rights reserved.,7-,29,7,Chapter Seven,Futures and Options on Foreign Exchange,外汇期货与外汇期权,Chapter Objective:,通过本章的学习，了解外汇期货合约和期权合约，掌握如何使用外汇期权，并了解货币期权定价模型。,Chapter Outline,1,Futures Contracts: Preliminaries,期货合约的预备知识,2,Currency Futures Markets,货币期货市场,3,Basic Currency Futures Relationships,货币期货的基本关系,4,Eurodollar Interest Rate Futures Contracts,欧洲美元利率期货合约,5,Options Contracts: Preliminaries,期权合约的预备知识,Chapter Outline,7,Currency Futures Options,货币期货期权,8,Basic Option Pricing Relationships at Expiry,期权到期时的基本定价关系,9,American Option Pricing Relationships,美式期权定价关系,10,European Option Pricing Relationships,欧式期权定价关系,6,Currency Options Markets,货币期权市场,Futures Contracts: Preliminaries,期货合约的预备知识,Similarities,与远期合约的相同点,It specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today.,在未来确定的时间，以今日指定的价格，买入或卖出一定数量的某种外汇的工具。,Differences,与远期合约的不同点,Futures are standardized contracts trading on organized exchanges with daily resettlement through a clearinghouse.,期货是在正规交易所进行交易、逐日结算的标准化合约。,Futures Contracts: Preliminaries,期货合约的预备知识,Initial Margin (about 2% of contract value, cash or T-bills held in a street name at your brokers).,初始保证金（大约是合约价值的,2%,）,标准化特征,Standardizing Features,Contract Size,合约规模,Delivery Month,到期日,Daily resettlement,逐日结算,Currency Futures Markets,货币期货市场,The Chicago Mercantile Exchange (CME) is by far the largest.,芝加哥商业交易所是历史最悠久、规模最大的交易所,The Philadelphia Board of Trade (PBOT),The,MidAmerica,commodities Exchange,The Tokyo International Financial Futures Exchange,The London International Financial Futures Exchange,The Chicago Mercantile Exchange,芝加哥商业交易所,Expiry cycle,交割月份,March, June, September, December,3,月，6月，9月，12月,Delivery date,交割日,3rd Wednesday of delivery month,交割月份的第三个星期三,Last trading day,最后交易日,the second business day preceding the delivery day,交割日前的第二个工作日,CME hours,交易时间,7:20 a.m. to 2:00 p.m. CST,芝加哥时间上午7:20下午2:00,Reading a Futures Quote,期货标价,交割月份,开盘价,今日最高价,今日最低价,结算价,改变额,整个交易期内,最高最低价,未平仓合约,Basic Currency Futures Relationships,货币期货的基本关系,7-2,采用货币期货的投机和套期保值,一个交易商在,2005,年,3,月,3,日,开立了一个头寸，,买入价：,$0.805 4/CD,到期日：,2005,年,6,月,到期价格：,$0.790 0/CD,如果交易商持有的是多头头寸，他的收益会如何？,Basic Currency Futures Relationships,货币期货的基本关系,loss,0,S,6,($/CD),F,6,($/CD) = 0.805 4,Long position,-,F,6,($/CD),F,6,($/CD),short position,profit,0.790 0,0.015 4,-0.015 4,Basic Currency Futures Relationships,货币期货的基本关系,持有多头头寸,3,月,3,日, 6,月,15,日,累计损失,- $1 540 = ($0.790 0 - $0.805 4)CD100 000,这些将在每日清算中从他的保证金账户扣除,6,月,15,日进行实际交割，交易商实际为,CD100 000,付出,$79 000,。,实际成本,：,$80 540 = $79 000 + $1 540,Basic Currency Futures Relationships,货币期货的基本关系,持有空头头寸,3,月,3,日, 6,月,15,日,累计获得,$1 540 = ($0.805 4,$0.790 0 )CD100 000,这些将在每日清算中加入他的保证金账户,6,月,15,日进行实际交割，交易商将实际得到,$79 000,。,实际得到数额,：,$80 540 = $79 000 + $1 540,Eurodollar Interest Rate Futures Contracts,欧洲美元利率期货合约,Widely used futures contract for hedging short-term U.S. dollar interest rate risk.,欧洲美元期货合约已经成为规避美元利率风险最常见的期货合约。,The underlying asset is a hypothetical $1,000,000 90-day Eurodollar depositthe contract is,cash settled,.,CME,欧元期货的合约标的是假定的,$1 000,000,的,90,天的欧洲美元存款。,Eurodollar Interest Rate Futures Contracts,欧洲美元利率期货合约,Traded on the CME and the Singapore International Monetary Exchange.,在,CME,和新加坡国际货币交易所进行交易。,The contract trades in the March, June, September and December cycle.,交割月份为,3,月、,6,月、,9,月和,12,月。,Reading Eurodollar Futures Quotes,欧洲美元期货标价,EURODOLLAR (CME)$1 million,Open,High,Low,Settle,Chg,Yield,Settle Change,Open Interest,July,9,6.56,9,6.58,9,6.55,9,6.56,-.01,3.44,+.01,1 398 959,欧洲美元期货价格被解释为,3,个月伦敦银行同业拆借利息（,LIBOR,）的指数。,F,= 100-LIBOR.,6,月的合约在,3,月,3,日的结算价格是,96.56,，这预示着,3,个月的,LIBOR,收益率是,3.44 percent = 100 96.56,价格变动的最小幅度是万分之一。,$1 000,000,的面值，万分之一的变化就表示每年,100,美元。对于,90,天存款的合约，万分之一就是,$ 25,的价格变动。,Options Contracts: Preliminaries,期权合约的预备知识,An option gives the holder the right,but not the obligation, to buy or sell a given quantity of an asset in the future, at prices agreed upon today.,期权是一种合约，它赋予所有者一种选择的权利，而不是义务，即拥有在未来一定时间内以一定的,价格,出售或购买一定数量标的物的权利。,预先规定的标的物的买卖价格被称为执行价格。,Options Contracts: Preliminaries,期权合约的预备知识,Call Option,看涨期权,Call options gives the holder the right, but not the obligation, to buy a given quantity of some asset at some time in the future, at prices agreed upon today.,选择购买标的物的期权是看涨期权。,Put Option,看跌期权,Put options gives the holder the right, but not the obligation, to sell a given quantity of some asset at some time in the future, at prices agreed upon today.,选择卖出标的物的期权是看跌期权。,Options Contracts: Preliminaries,期权合约的预备知识,European,Option,欧式期权,European options can only be exercised on the expiration date.,只有在合约到期日才可以被执行的期权。,American options,美式期权,American options can be exercised at any time up to and including the expiration date.,可以在合约有效期内的任何一天被执行。,一般情况下，其它条件相同时，,V,alue,AO,Value,EO,PHLX Currency Option Specifications,PHLX,货币期权明细,Currency Futures Options,货币期货期权,Are an option on a currency futures contract.,货币期货期权是以货币期货合约为标的资产的期权。,Exercise of a currency futures option results in a long futures position for the holder of a call or the writer of a put.,执行一份期货期权将导致看涨期权的购买者拥有一个多头期货头寸，看跌期权的卖出者拥有一个空头期货头寸。,If the futures position is not offset prior to its expiration, foreign currency will change hands.,如果在期货到期日前，期货期权还没有被冲销，就要执行期权标的货币的交割。,Basic Option Pricing Relationships at Expiry,期权到期时的基本定价关系,At expiry, an American call option is worth the same as a European option with the same characteristics.,在到期日（其它条件相同时），美式看涨期权的价值与欧式期权的价值相同。,看涨期权的到期价值：,C,aT,=,C,eT,=,Max,S,T,- E, 0,Basic Option Pricing Relationships at Expiry,期权到期时的基本定价关系,In-the-money,价 内,The exercise price is less than the spot price of the underlying asset.,执行价格低于即期价格,At-the-money,平 价,The exercise price is equal to the spot price of the underlying asset.,执行价格等于即期价格,Out-of-the-money,价 外,The exercise price is more than the spot price of the underlying asset.,执行价格高于即期价格,如果看涨期权在价内，它的价值就是,S,T,- E,如果看涨期权在价外，就没有价值,If the put is in-the-money, it is worth,E - S,T,.,如果看跌期权在价内，它的价值就是,E - S,T,If the put is out-of-the-money, it is worthless.,如果看跌期权在价外，就没有价值,Basic Option Pricing Relationships at Expiry,期权到期时的基本定价关系,看跌期权的到期价值：,P,aT,=,P,eT,=,Max,E,S,T, 0,Basic Option Profit Profiles,C,aT,=,C,eT,=,Max,S,T,- E,0,profit,loss,E,E+C,S,T,Long 1 call,Basic Option Profit Profiles,C,aT,=,C,eT,=,Max,S,T,- E,0,profit,loss,E,E+C,S,T,short 1 call,Basic Option Profit Profiles,P,aT,=,P,eT,=,Max,E,- S,T,0,profit,loss,E,E - p,S,T,long 1 put,Basic Option Profit Profiles,P,aT,=,P,eT,=,Max,E,- S,T,0,profit,loss,E,S,T,Short 1 put,E - p,American Option Pricing Relationships,美式期权定价关系,With an American option, you can do everything that you can do with a European optionthis option to exercise early has value.,C,aT,C,eT,=,Max,S,T,- E,0,P,aT,P,eT,=,Max,E,- S,T,0,Market Value, Time Value and Intrinsic Value for an American Call,市场价值、时间价值和内在价值,C,aT,Max,S,T,- E,0,Profit,loss,E,S,T,Market Value,Intrinsic value,S,T,- E,Time value,Out-of-the-money,In-the-money,End Chapter Seven,