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StudySession17,DerivativeMarketandInstruments,2,中信泰富炒外汇亏186亿,3,澳元走势anoption).,ConceptCheckersStudySession17,15,ConceptCheckersStudySession17,6.Acalloptiongivestheholder:A.therighttosellataspecificprice.B.therighttobuyataspecificprice.C.anobligationtosellatacertainprice.Answers:BAcallgivestheownertherighttocallanassetaway(buyit)fromtheseller.,16,KEYCONCEPTS,1.衍生品介绍：远期、期货、期权（或有权益）和互换；场内、场外交易；2.衍生品市场的风险及作用；3.无风险套利理论及其对有效市场的作用、两种无风险套利理论（一价定律、投资组合套利理论）。,StudySession17,ForwardMarketsandContracts,18,ForwardMarketsandContracts,ForwardContractsAForwardContractisabilateralcontractthatobligatesoneparrytobuyandtheothertosellaspecificquantityofanasset,atasetprice,onaspecificdateinthefuture.ForwardContract要点：初始价值为零，签约时双方均不需支付任何费用IfthefuturepriceoftheassetthefuturepriceoftheassetCFALevelI要求掌握：金融远期：股票、国债、外汇和利率等,19,LOS68.a.Differentiatebetweenthepositionsheldbythelongandshortpartiestoaforwardcontractintermsofdelivery/settlementanddefaultrisk.ThepartytotheForwardContractthatagreestobuythefinancialorphysicalassethasalongforwardpositionandiscalledthelong.ThepartytotheForwardContractthatagreestosellordelivertheassethasashortforwardpositionandiscalledtheshort.举例：ConsideracontractunderwhichParryAagreestobuya$1,000facevalue,90-dayTreasurybillfromParryB30daysfromnowatapriceof$990.ParryAisthelongandParryBistheshort.Bothparrieshaveremoveduncertaintyaboutthepricetheywillpay/receivefortheT-billatthefuturedate.,ForwardMarketsandContracts,20,ForwardMarketsandContracts,举例：ConsideracontractunderwhichParryAagreestobuya$1,000facevalue,90-dayTreasurybillfromParryB30daysfromnowatapriceof$990.ParryAisthelongandParryBistheshort.Bothparrieshaveremoveduncertaintyaboutthepricetheywillpay/receivefortheT-billatthefuturedate.风险分析：如果标的物价格上涨，多头盈利（long,ParryA）如果标的物价格下跌，空头盈利（short,ParryB）违约风险：DefaultRisk(CounterpartyRisk),theprobabilitythattheotherparty(thecounterparty)willnotperformaspromised.,21,ForwardMarketsandContracts,LOS68.b.Describetheproceduresforsettlingaforwardcontractatexpiration,anddiscusshowterminationalternativespriortoexpirationcanaffectcreditrisk.Thepreviousexamplewasforadeliverableforwardcontract.Theshortcontractedtodelivertheactualinstrument,inthiscasea$1,000facevalue,90-dayT-bill.Thisisoneprocedureforsettlingaforwardcontractatthesettlementdateorexpirationdatespecifiedinthecontract.Analternativesettlementmethodiscashsettlement.Underthismethod,thepartythathasapositionwithnegativevalueisobligatedtopaythatamounttotheotherparty.,22,ForwardMarketsandContracts,TerminatingaPositionPriortoExpirationApartytoaforwardcontractcanterminatethepositionpriortoexpirationbyenteringintoanoppositeforwardcontractwithanexpirationdateequaltothetimeremainingontheoriginalcontract.0103012090在第10天，签订一份相反的远期合约，结束原来的合约；如果此合约与第三方签订，面临违约风险。,23,ForwardMarketsandContracts,LOS68.c.differentiatebetweenadealerandanenduserofaforwardcontract.远期的最终用户、交易商Theenduserofaforwardcontractistypicallyacorporation,governmentunit,ornonprofitinstitutionthathasexistingrisktheywishtoavoidbylockinginthefuturepriceofanasset.举例：美国公司60天后支付100万欧元，锁定成本Dealersareoftenbanks,butcanalsobenonbankfinancialinstitutions.(e.g.MerrillLynch)头寸大致相等，以价差谋利,24,ForwardMarketsandContracts,LOS68.d.describethecharacteristicsofequityforwardcontractsandforwardcontractsonzero-couponandcouponbonds.基于股票、短期/长期债券的远期合约的特征Equityforwardcontractswheretheunderlyingassetisasinglestock,aportfolioofstocks,orastockindex,workinmuchthesamemannerasotherforwardcontracts.Aninvestorwhowishestosell10,000sharesofIBMstock90daysfromnowandwishestoavoidtheuncertaintyaboutthestockpriceonthatdate,coulddosobytakingashortpositioninaforwardcontractcovering10,000IBMshares.,25,ForwardMarketsandContracts,Example:EquityindexforwardcontractsAportfoliomanagerdesirestogenerate$10million100daysfromnowfromaportfoliothatisquitesimilarincompositiontotheSsomearelargemultinationalbanksbasedinothercountriesthathaveLondonoffices.ThereisalsoanequivalentEurolendingratecalledEuribor,orEuropeInterbankOfferedRate.Euribor,establishedinFrankfurt,ispublishedbytheEuropeanCentralBank.Thefloatingratesareforvariousperiodsandarequotedassuch.Forexample,theterminologyis30-dayLIBOR(orEuribor),90-dayLIBOR,and180-dayLIBOR,dependingonthetermoftheloan.Forlonger-termfloating-rateloans,theinterestrateisresetperiodicallybasedonthethen-currentLIHORfortherelevantperiod.,32,Theshortinadeliverableforwardcontract:A.hasnodefaultrisk.B.isobligatedtodeliverthespecifiedasset.C.makesacashpaymenttothelongatsettlement.Answers:BTheshortinaforwardcontractisobligatedtodeliverthespecifiedassetatthecontractpriceonthesettlementdate.Eitherparrymayhavedefaultriskifthereisanyprobabilitythatthecounterpartymaynorperformunderthetermsofthecontract.,ConceptCheckersStudySession17,33,KEYCONCEPTS,1.远期合约的空头、多头；价格变化时双方的损益情况及违约风险；2.如何提前终止一项远期合约：反签，现金了结；3.期权合约的最终使用者和券商。4.股票、股指、零息债券远期；5.LIBOR和Euribor简介。,
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