國際財務(wù)管理第六版中文版第五章.ppt

國際財務(wù)管理 EUN RESNICK SixthEdition INTERNATIONALFINANCIALMANAGEMENT EUN RESNICK FourthEdition 外匯市場交易時間 北京時間 FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarket FunctionandStructureoftheFXMarketFXMarketParticipantsCorrespondentBankingRelationshipsTheSpotMarketTheForwardMarket FunctionandStructureoftheFXMarketTheSpotMarketSpotRateQuotationsTheBid AskSpreadSpotFXTradingCrossExchangeRateQuotationsTriangularArbitrageSpotForeignExchangeMarketMicrostructureTheForwardMarket FunctionandStructureoftheFXMarketTheSpotMarketTheForwardMarketForwardRateQuotationsLongandShortForwardPositionsForwardCross ExchangeRatesSwapTransactionsForwardPremium 外匯市場的功能和結(jié)構(gòu)外匯即期市場外匯遠(yuǎn)期市場 ChapterOutline 外匯市場的功能和結(jié)構(gòu) 將全球范圍的協(xié)助交易的貨幣交易銀行 非銀行交易商和外匯經(jīng)紀(jì)人聯(lián)系在一起 外匯市場的參與者 FXMarketParticipants 外匯市場可分為兩個層級 銀行同業(yè)市場 Wholesale 客戶市場 Retail 據(jù)2010年國際清算銀行統(tǒng)計 14 為零售交易量 86 為銀行同業(yè)交易 市場參與者包括 國際銀行internationalbanks銀行客戶bank scustomers非銀行交易商nobankdealers外匯經(jīng)紀(jì)人FXbrokers俗稱中介中央銀行centralbanks 通匯關(guān)系 國際銀行間的外匯交易如何結(jié)算的 Theinterbankmarketisanetworkofcorrespondentbankingrelationships畫圖中國進(jìn)口商從荷蘭進(jìn)口一批商品 采用歐元結(jié)算 進(jìn)口商 出口商 國際銀行 國際銀行 通匯賬戶 即期外匯市場TheSpotMarket 即期匯率標(biāo)價套算匯率標(biāo)價匯率買賣價差即期外匯交易三角套利 即期外匯標(biāo)價 直接標(biāo)價DirectquotationtheU S dollarequivalente g aJapaneseYenisworthaboutapenny 間接標(biāo)價IndirectQuotationthepriceofaU S dollarintheforeigncurrencye g youget100yentothedollar 見表5 3 SpotRateQuotations SpotRateQuotations ThedirectquoteforBritishpoundis 1 1 9077 SpotRateQuotations TheindirectquoteforBritishpoundis 5242 1 SpotRateQuotations Notethatthedirectquoteisthereciprocaloftheindirectquote 5242 1 9077 1 請解釋以下外匯標(biāo)價含義S 0 8171 S 0 010854S HKD 0 1283S 0 6824 套算匯率標(biāo)價 SupposethatS 1 4655i e 1 4655 1 andthatS 1 1975i e 1 1975 1 0Whatmustthe crossratebe 美式標(biāo)價法歐式標(biāo)價法一個美式與一個歐式標(biāo)價匯率P117計算題1 匯率買賣價差TheBid AskSpread 買價 Thebidpriceisthepriceadealeriswillingtopayyouforsomething 賣價 Theaskpriceistheamountthedealerwantsyoutopayforthething 買賣價差 Thebid askspreadisthedifferencebetweenthebidandaskprices 思考 Sa 和Sa 以及Sb 和Sb 含義 關(guān)系 寫出公式 TheBid AskSpread Adealercouldofferbidpriceof 1 25per askpriceof 1 26per askprice大于bidpriceThebid askspreadrepresentsthedealer sexpectedprofit TheBid AskSpread Adealerwouldlikelyquotethesepricesas50 55 Itispresumedthatanyonetrading 10malreadyknowsthe bigfigure 買賣價差 回答P107表中的含義 套算匯率買賣價差的計算以表5 6為例 輔以板書計算題P118第8和第9題 三角套利 CreditLyonnaisS 1 50 CreditAgricoleS 85 BarclaysS 120 書上的例子5 3 TriangularArbitrage CreditLyonnaisS 1 50 CreditAgricoleS 85 BarclaysS 120 TheimpliedS crossrateis CreditAgricolehaspostedaquoteofS 85sothereisanarbitrageopportunity So howcanwemakemoney 1 00 80 1 50 1 00 1 00 120 Thentradeyenforyourpreferredcurrency Buythe 80 sell 85 TriangularArbitrage CreditLyonnaisS 1 50 CreditAgricoleS 85 BarclaysS 120 Aseasyas1 2 3 1 Sellour for 2 Sellour for 3 Sellthose for 1 2 3 TriangularArbitrage Sell 100 000for atS 1 50receive 150 000 Sellour 150 000for atS 85receive 12 750 000 Sell 12 750 000for atS 120 receive 106 250 profitperroundtrip 106 250 100 000 6 250 TriangularArbitrage CreditLyonnaisS 1 50 CreditAgricoleS 85 BarclaysS 120 Herewehavetogo clockwise tomakemoney butitdoesn tmatterwherewestart 1 2 3 Ifwewent counterclockwise wewouldbethesourceofarbitrageprofits nottherecipient 即期外匯市場的微觀結(jié)構(gòu) 市場的圍觀結(jié)構(gòu)是指市場運作的基本機(jī)制 即期外匯市場的買賣價差隨著 外匯匯率波動程度的上升而增加 隨著交易商競爭的家去而下降 私有信息 Privateinformation 是影響即期匯率的重要因素 isanimportantdeterminantofspotexchangerates 遠(yuǎn)期外匯市場 遠(yuǎn)期匯率標(biāo)價遠(yuǎn)期多頭和空頭遠(yuǎn)期套算匯率遠(yuǎn)期升水互換交易 遠(yuǎn)期外匯市場 Aforwardcontractisanagreementtobuyorsellanassetinthefutureatpricesagreedupontoday 遠(yuǎn)期合約的例子 比如你訂購一件暢銷品的衣服 外匯遠(yuǎn)期市場涉及為了買入 賣出外匯而在現(xiàn)在簽訂合約 遠(yuǎn)期合約中 常見的到期期限分別為1 3 6 9 and12monthLonger termswapsareavailable 遠(yuǎn)期匯率標(biāo)價 Considertheexample forBritishpounds thespotrateis 1 9077 1 00Whilethe180 dayforwardrateis 1 8904 1 00遠(yuǎn)期外匯匯率如何標(biāo)價 ForwardRateQuotations SpotRateQuotations Spotrate Forwardrateislessthanspotrate 遠(yuǎn)期匯率標(biāo)價 美式標(biāo)價和歐式標(biāo)價S SF 0 8662 F1 SF 0 8671 F3 SF 0 8686 F6 SF 0 8715 稱為瑞士法郎對美元的遠(yuǎn)期升水 那么 遠(yuǎn)期升水的幅度是多少 遠(yuǎn)期多頭與空頭 比如F3 SF 0 8686若3個月后的即期匯率為0 8716或者為0 8616 黑板上畫圖例5 4 預(yù)期瑞士法郎會貶值 持有空頭 賣出遠(yuǎn)期外匯合約 遠(yuǎn)期多頭與空頭 Ifyouhaveagreedtosellanything spotorforward youare short Ifyouhaveagreedtobuyanything forwardorspot youare long IfyouhaveagreedtosellFXforward youareshort IfyouhaveagreedtobuyFXforward youarelong 遠(yuǎn)期套算匯率 FN j k FN j FN k 采用美式標(biāo)價套算采用歐式標(biāo)價套算 ForwardCrossExchangeRates Ingenericterms Noticethatthe scancel ForwardCrossExchangeRates F6 CAD F6 CAD F6 1 2412 1 8904 2 3464 遠(yuǎn)期升水或貼水 遠(yuǎn)期升水或貼水的計算例5 5Forexample supposethe isappreciatingfromS 1 25toF180 1 30The180 dayforwardpremiumisgivenby 0 08 互換交易 Swaptransaction 買入 或賣出 遠(yuǎn)期外匯的同時 賣出 或買入 大約等量的即期外匯 比如 sohu公司要在墨西哥投資一子公司 需要100萬比索 1年后子公司將會歸還100萬比索 sohu公司如何避免匯率波動風(fēng)險 遠(yuǎn)期點數(shù)標(biāo)價 即期1 1545 1 15481個月12 103個月32 386個月71 65 即期1 2365 1 23681個月2 43個月9 126個月10 20 CurrencySymbols Inadditiontothefamiliarcurrencysymbols e g therearethree lettercodesforallcurrencies Itisalonglist butselectedcodesinclude CHFSwissfrancsGBPBritishpoundZARSouthAfricanrandCADCanadiandollarJPYJapaneseyen Summary SpotratequotationsDirectandindirectquotesBidandaskpricesCrossRatesTriangulararbitrageForwardRateQuotationsForwardpremium discount Forwardpoints PracticeProblem Thecurrentspotexchangerateis 1 55 andthethree monthforwardrateis 1 50 Basedonyouranalysisoftheexchangerate youareconfidentthatthespotexchangeratewillbe 1 52 inthreemonths Assumethatyouwouldliketobuyorsell 1 000 000 a Whatactionsdoyouneedtotaketospeculateintheforwardmarket Whatistheexpecteddollarprofitfromspeculation b Whatwouldbeyourspeculativeprofitindollartermsifthespotexchangerateactuallyturnsouttobe 1 46 c Graphyourresults Solution a Ifyoubelievethespotexchangeratewillbe 1 52 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