3.外匯衍生產(chǎn)品市場

FXDerivativesMarketAMOUNTSOUTSTANDINGOFOVER-THE-COUNTER(OTC)DERIVATIVESBYRISKCATEGORYANDINSTRUMENT(InbillionsofUSdollars)DERIVATIVEFINANCIALINSTRUMENTSTRADEDONORGANISEDEXCHANGESBYINSTRUMENTANDLOCATION(Numberofcontractsinmillions)DERIVATIVEFINANCIALINSTRUMENTSTRADEDONORGANISEDEXCHANGESBYINSTRUMENTANDLOCATION(Numberofcontractsinmillions)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

FXFORWARDS3.1.外匯遠(yuǎn)期交易(FXForwards)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)的任意一天按約定匯率進(jìn)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Theforwardexchangeratereflectsthesupplyanddemandforacurrencyforfuturedelivery.So,theforwardrateprovidesinformationonthefuturespotexchangerateTheforwardexchangeratesometimesoverestimatesthefuturespotexchangerateandsometimesunderestimatesthefuturespotexchangerate遠(yuǎn)期匯率的確定：供求Q￡Q1

Q2D￡D￡'S￡F($/￡)F2F1遠(yuǎn)期匯率的確定：預(yù)期遠(yuǎn)期匯率與未來即期匯率未必相同，但二者之間存在密切關(guān)系遠(yuǎn)期匯率反映未來交割貨幣的供求情況，具有某種預(yù)測未來即期匯率變動的能力均衡條件下，遠(yuǎn)期貼水等于預(yù)期的貨幣貶值，遠(yuǎn)期升水等于預(yù)期的貨幣升值遠(yuǎn)期匯率的確定：套利利息平價定理(InterestRateParity)如果兩種相似金融工具的預(yù)期收益不同，資金就會從一種工具轉(zhuǎn)移到另一種工具相似金融工具的預(yù)期收益率相等時實現(xiàn)均衡Interestrateequalizationacrossnationswouldensurethatflowoffundswouldnotoccur國際金融套利的影響如果經(jīng)過匯率調(diào)整，一國某種金融工具的預(yù)期收益率仍高于另一國相似金融工具，資金就會跨國移動資金在國際間的轉(zhuǎn)移，必然影響相關(guān)國家可貸資金市場的供求，影響利率水平，進(jìn)而影響到匯率拋補套利(CoveredInterestParity)CoveredinterestparityisaconditionthatrelatesinterestdifferentialstotheforwardpremiumordiscountCIPishelpfulinunderstandingshort-termmarketmovementsAsanequilibriumcondition,itassistsinourunderstandingofpotentialadjustmentsinvariousfinancialmarketsTheseadjustmentsoccurifthereisaflowofsavingsfromonenationtoanother拋補套利示意圖拋補套利情景分析假設(shè)條件某美國居民可持有一年期美元資產(chǎn)或英鎊資產(chǎn)兩國利率分別是Rh和Rf英鎊兌美元即期匯率為S，1年期遠(yuǎn)期匯率為F拋補利息平價公式推導(dǎo)hh習(xí)題根據(jù)拋補利息平價公式，預(yù)測1年期遠(yuǎn)期匯率如果銀行報1年期遠(yuǎn)期匯率2.15$/￡，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

FXFUTURES

3.2.外匯期貨交易(FXFutures)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Futurescontractisanagreementtodelivertoanotheragivenamountofastandardizedcommodityorfinancialinstrumentatadesignatedfuturedate1972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市場流動性高履約有保證投機性強ClassificationoffinancialfuturesInterest-RateFutures:ContractstobuyorsellastandardizeddenominationofaspecificfinancialinstrumentatagivenpriceatacertaindateinthefutureStock-IndexFuture:PromisesoffuturedeliveryofaportfolioofstocksrepresentedbyastockpriceindexCurrencyFutures:Anagreementtodelivertoanotherastandardizedquantityofaspecificnation’scurrencyatadesignatedfuturedateIMM外匯期貨交易場內(nèi)交易商場內(nèi)交易商交易操作臺買入/賣出交易交易臺報價員報價板行情報價網(wǎng)絡(luò)清算所訂單會員公司買方提交交易經(jīng)紀(jì)返單回公司訂單會員公司賣方提交交易經(jīng)紀(jì)返單回公司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(markingtomarket)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時間市場報價合約價格保證金變動追加(＋)/減少(－)金額保證金賬戶余額T0T1T2T3T4$1.4700/￡$1.4714/￡$1.4640/￡$1.4600/￡$1.4700/￡$91,875.0$91,962.5$91,500.0$91,250.0$91,875.00+$87.50-$462.50-$250.00+$625.00+$2,000.0000+$625.00-$625.00$2000.00$2087.50$1625.00$2000.00$2000.00IMM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/￡HedgingwithCurrencyFuturesCurrencyfuturescontractsentaildailycashflowsettlementsTohedgewithafuturescontract,thefirmmustsetupaninitialmargin,orbondperformancerequirementThefirmmustalsomaintainamaintenancemargin,orminimumbondperformancerequirementFuturescontractgainsorlossesaremarked-to-marketattheendofeachtradingday外匯期權(quán)交易

FXOPTIONS3.3.外匯期權(quán)交易(FXOptions)合約購買方在向出售方支付一定費用（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)Afinancialcontractgivingtheownertherighttobuyorsellanunderlyingfinancialinstrumentatacertainpricewithinaspecificperiodoftime外匯期權(quán)交易(FXOptions)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)Calloptions:allowtheholdertopurchasetheunderlyingcurrencyPutoptions:allowtheholdertoselltheunderlyingcurrency外匯期權(quán)交易(FXOptions)有美式期權(quán)和歐式期權(quán)Americanoptions:granttheholdertherighttoexercisetherighttopurchaseorselltheunderlyingcurrencyatanytimebeforeorincludingthedateatwhichthecontractexpiresEuropeanoptions:granttheholdertherighttoexercisetherighttopurchaseorselltheunderlyingcurrencyonlyatonthedatethatthecontractexpires外匯期權(quán)交易(FXOptions)FuturesOptions,StockOptions,andCurrencyOptionFuturesOptions:OptionstobuyorsellfuturescontractsStockOptions:OptionstobuyorsellfirmequitysharesCurrencyOption:Acontractgrantingtherighttobuyorsellagivenamountofanation’scurrencyatacertainpricewithinaspecificperiodoftime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)期的匯率波動性看跌期權(quán)出售方看跌期權(quán)購買方多頭跨式期權(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