第八章貨幣期貨與期權(quán)市場國際財務(wù)管理課件

MultinationalFinancialManagement

AlanShapiro

7thEdition

J.Wiley&Sons

PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton1MultinationalFinancialManageCHAPTER8貨幣期貨與期權(quán)市場2CHAPTER8貨幣期貨與期權(quán)市場2

CHAPTEROVERVIEWI. 期貨合約II. 貨幣期權(quán)3

CHAPTEROVERVIEWI. 期貨合約3PARTI.

FUTURESCONTRACTS期貨合約I. 貨幣期貨 A. 背景 1. 1972:芝加哥商業(yè)交易所

成立了國際貨幣市場部.(IMM)

4PARTI.

FUTURESCONTRACTS期貨合約IFUTURESCONTRACTS2. IMMprovides a. 為貨幣投機者和希望減少貨幣風(fēng)險者提供了一個交易場所. b. Definitionoffuturescontracts: contractswrittenrequiring

給定貨幣的特定數(shù)量

匯率在合約生效時確定 交割日確定.5FUTURESCONTRACTS2. IMMprovidFUTURESCONTRACTSc. AvailableFuturesCurrencies:

1.)Britishpound 5.)Euro 2.)Canadiandollar 6.)Japaneseyen 3.)Deutschemark 7.)Australiandollar 4.)Swissfranc 6FUTURESCONTRACTSc. AvailableFUTURESCONTRACTS

d. 合約金額是標(biāo)準(zhǔn)化的:

contractsizesdifferforeachof the7availablecurrencies.

Examples: Euro=125,000 BritishPound=62,5007FUTURESCONTRACTS d. 合約金額是標(biāo)準(zhǔn)化的FUTURESCONTRACTSe. 交易費用: paymentofcommissiontoa traderf. 較高的杠桿作用(P233) 1.) Initialmarginrequiredis relativelylow(e.g.lessthan .02%ofsterlingcontract value).8FUTURESCONTRACTSe. 交易費用:8FUTURESCONTRACTSg. 限制每日價格變動的最大幅度 1.) Contractssettoadaily pricelimitrestricting maximumdailyprice movements.

9FUTURESCONTRACTSg. 限制每日價格變動的最FUTURESCONTRACTS2.) Iflimitisreached,amargin callmaybenecessaryto maintainaminimummargin.10FUTURESCONTRACTS2.) IflimitFUTURESCONTRACTSh. Globalfuturesexchangesthat arecompetitorstotheIMM:

1.) DeutscheTerminBourse 2.) L.I.F.F.E.LondonInternational FinancialFuturesExchange 3.) C.B.O.T.ChicagoBoardofTrade

11FUTURESCONTRACTSh. GlobalfutFUTURESCONTRACTS4.) S.I.M.E.X.SingaporeInternational MonetaryExchange5.) H.K.F.E.HongKongFuturesExchange12FUTURESCONTRACTS4.) S.I.M.E.FUTURESCONTRACTSB. 遠(yuǎn)期合約與期貨合約的基本差異:

1.交易方式 6.結(jié)算 2.管制 7.標(biāo)價法 3.交割的頻率 8.交易費用 4.合約金額 9.保證金 5.到期日 10.信用風(fēng)險235-236

13FUTURESCONTRACTSB. 遠(yuǎn)期合約與期貨合約的FUTURESCONTRACTSAdvantagesoffutures:

1.)Smaller

contractsize 2.)Easyliquidation 3.)Well- organized andstable market.

Disadvantagesoffutures: 1.)Limitedto7 currencies 2.)Limiteddates ofdelivery 3.)Rigidcontract sizes.14FUTURESCONTRACTSAdvantagesofPARTII

CURRENCYOPTIONS貨幣期權(quán)I. OPTIONS A. Currencyoptions 1. 獲得匯率有利變動所帶來的好處. 2. 費城股票交易所(PHLX)1983. 3. 成長速度最快的風(fēng)險套期市場.15PARTII

CURRENCYOPTIONS貨幣期權(quán)I.CURRENCYOPTIONS4.Definition:定義Ｐ２３８ acontractfromawriter(theseller)that givestherightnottheobligationtothe holder(thebuyer)tobuyorsellastandard amountof anavailablecurrencyatafixed exchangerateforafixedtimeperiod.

16CURRENCYOPTIONS4.DefinitionCURRENCYOPTIONS5. 類型: a. American exercisedatemayoccurany timeuptotheexpirationdate. b. European exercisedateoccursonlyatthe expirationdate.17CURRENCYOPTIONS5. 類型:17CURRENCYOPTIONS

7. ExercisePrice協(xié)定價格 a. Sometimesknownasthe strikeprice. b. theexchangerateat whichtheoptionholder canbuyorsellthe contractedcurrency.18CURRENCYOPTIONS 7. ExercisePCURRENCYOPTIONS8. Statusofanoption２３８ a. In-the-money實值期權(quán)

Call: Spot>strike Put: Spot<strike

b. Out-of-the-money虛值期權(quán)

Call: Spot<strike Put: Spot>strike

c. At-the-money平價

Spot=thestrike19CURRENCYOPTIONS8. StatusofaCURRENCYOPTIONS

9. 期權(quán)費:thepriceofan optionthatthewritercharges thebuyer.20CURRENCYOPTIONS 9. 期權(quán)費:theCURRENCYOPTIONSB. 如何使用貨幣期權(quán)２３８ 1. Forthefirmhedgingforeign exchangerisk

a.Withsizableunrealizedgains. b.Withforeigncurrencyflows forthcoming.

21CURRENCYOPTIONSB. 如何使用貨幣期權(quán)２３８CURRENCYOPTIONS

2. Forspeculators -profitfromfavorable exchangeratechanges.22CURRENCYOPTIONS 2. ForspeculCURRENCYOPTIONSC. 期權(quán)定價及其價值２４４ 1.Valueofanoptionequals a.內(nèi)在價值 b.時間價值 23CURRENCYOPTIONSC. 期權(quán)定價及其價值２４４CURRENCYOPTIONS

2. 內(nèi)在價值

實值期權(quán)的價值量．到期日前看漲期權(quán)的價值＝當(dāng)前即期匯率－協(xié)定價格

3. 時間價值 theamounttheoptionisin excessofitsintrinsicvalue.

24CURRENCYOPTIONS 2. 內(nèi)在價值24CURRENCYOPTIONS4. Otherfactorsaffectingthe valueofanoption a. valueriseswithlonger timetoexpiration. b. valueriseswhengreater volatilityintheexchange rate.25CURRENCYOPTIONS4. OtherfactoCURRENCYOPTIONS5. Valueiscomplicatedbyboth thehomeandforeigninterest rates.26CURRENCYOPTIONS26CURRENCYOPTIONSD. UsingForwardorFutures Contracts: Forwardandfuturescontracts aremoresuitableforhedginga knownamountofforeign currencyflow.27CURRENCYOPTIONSD. UsingForwCURRENCYOPTIONSE. MarketStructure 1. Location a.OrganizedExchanges b.Over-the-counter 1.)Twolevels retailandwholesale28CURRENCYOPTIONSE. MarketStruMultinationalFinancialManagement

AlanShapiro

7thEdition

J.Wiley&Sons

PowerPointsbyJosephF.Greco,Ph.D.CaliforniaStateUniversity,Fullerton29MultinationalFinancialManageCHAPTER8貨幣期貨與期權(quán)市場30CHAPTER8貨幣期貨與期權(quán)市場2

CHAPTEROVERVIEWI. 期貨合約II. 貨幣期權(quán)31

CHAPTEROVERVIEWI. 期貨合約3PARTI.

FUTURESCONTRACTS期貨合約I. 貨幣期貨 A. 背景 1. 1972:芝加哥商業(yè)交易所

成立了國際貨幣市場部.(IMM)

32PARTI.

FUTURESCONTRACTS期貨合約IFUTURESCONTRACTS2. IMMprovides a. 為貨幣投機者和希望減少貨幣風(fēng)險者提供了一個交易場所. b. Definitionoffuturescontracts: contractswrittenrequiring

給定貨幣的特定數(shù)量

匯率在合約生效時確定 交割日確定.33FUTURESCONTRACTS2. IMMprovidFUTURESCONTRACTSc. AvailableFuturesCurrencies:

1.)Britishpound 5.)Euro 2.)Canadiandollar 6.)Japaneseyen 3.)Deutschemark 7.)Australiandollar 4.)Swissfranc 34FUTURESCONTRACTSc. AvailableFUTURESCONTRACTS

d. 合約金額是標(biāo)準(zhǔn)化的:

contractsizesdifferforeachof the7availablecurrencies.

Examples: Euro=125,000 BritishPound=62,50035FUTURESCONTRACTS d. 合約金額是標(biāo)準(zhǔn)化的FUTURESCONTRACTSe. 交易費用: paymentofcommissiontoa traderf. 較高的杠桿作用(P233) 1.) Initialmarginrequiredis relativelylow(e.g.lessthan .02%ofsterlingcontract value).36FUTURESCONTRACTSe. 交易費用:8FUTURESCONTRACTSg. 限制每日價格變動的最大幅度 1.) Contractssettoadaily pricelimitrestricting maximumdailyprice movements.

37FUTURESCONTRACTSg. 限制每日價格變動的最FUTURESCONTRACTS2.) Iflimitisreached,amargin callmaybenecessaryto maintainaminimummargin.38FUTURESCONTRACTS2.) IflimitFUTURESCONTRACTSh. Globalfuturesexchangesthat arecompetitorstotheIMM:

1.) DeutscheTerminBourse 2.) L.I.F.F.E.LondonInternational FinancialFuturesExchange 3.) C.B.O.T.ChicagoBoardofTrade

39FUTURESCONTRACTSh. GlobalfutFUTURESCONTRACTS4.) S.I.M.E.X.SingaporeInternational MonetaryExchange5.) H.K.F.E.HongKongFuturesExchange40FUTURESCONTRACTS4.) S.I.M.E.FUTURESCONTRACTSB. 遠(yuǎn)期合約與期貨合約的基本差異:

1.交易方式 6.結(jié)算 2.管制 7.標(biāo)價法 3.交割的頻率 8.交易費用 4.合約金額 9.保證金 5.到期日 10.信用風(fēng)險235-236

41FUTURESCONTRACTSB. 遠(yuǎn)期合約與期貨合約的FUTURESCONTRACTSAdvantagesoffutures:

1.)Smaller

contractsize 2.)Easyliquidation 3.)Well- organized andstable market.

Disadvantagesoffutures: 1.)Limitedto7 currencies 2.)Limiteddates ofdelivery 3.)Rigidcontract sizes.42FUTURESCONTRACTSAdvantagesofPARTII

CURRENCYOPTIONS貨幣期權(quán)I. OPTIONS A. Currencyoptions 1. 獲得匯率有利變動所帶來的好處. 2. 費城股票交易所(PHLX)1983. 3. 成長速度最快的風(fēng)險套期市場.43PARTII

CURRENCYOPTIONS貨幣期權(quán)I.CURRENCYOPTIONS4.Definition:定義Ｐ２３８ acontractfromawriter(theseller)that givestherightnottheobligationtothe holder(thebuyer)tobuyorsellastandard amountof anavailablecurrencyatafixed exchangerateforafixedtimeperiod.

44CURRENCYOPTIONS4.DefinitionCURRENCYOPTIONS5. 類型: a. American exercisedatemayoccurany timeuptotheexpirationdate. b. European exercisedateoccursonlyatthe expirationdate.45CURRENCYOPTIONS5. 類型:17CURRENCYOPTIONS

7. ExercisePrice協(xié)定價格 a. Sometimesknownasthe strikeprice. b. theexchangerateat whichtheoptionholder canbuyorsellthe contractedcurrency.46CURRENCYOPTIONS 7. ExercisePCURRENCYOPTIONS8. Statusofanoption２３８ a. In-the-money實值期權(quán)

Call: Spot>strike Put: Spot<strike

b. Out-of-the-money虛值期權(quán)

Call: Spot<strike Put: Spot>strike

c. At-the-money平價

Spot=thestrike47CURRENCYOPTIONS8. StatusofaCURRENCYOPTIONS

9. 期權(quán)費:thepriceofan optionthatthewritercharges thebuyer.48CURRENCYOPTIONS 9. 期權(quán)費:theCURRENCYOPTIONSB. 如何使用貨幣期權(quán)２３８ 1. Forthefirmhedgingforeign exchangerisk

a.Withsizableunrealizedgains. b.Withforeigncurrencyflows forthcoming.

49CURRENCYOPTIONSB. 如何使用貨幣期權(quán)２３８CURRENCYOPTIONS

2. Forspeculators -profitfromfavorable exchangeratechanges.50CURRENCYOPTIONS