3.外匯衍生產(chǎn)品市場(chǎng)

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(yùn)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(mǎi)賣(mài)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(chǎng)外交易合約條款由雙方議定，存在違約風(fēng)險(xiǎn)合約簽訂時(shí)無(wú)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(lái)指定時(shí)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(gè)半月使用擇期遠(yuǎn)期匯率為客戶(hù)提供了外匯買(mǎi)賣(mài)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(diǎn)外匯遠(yuǎn)期合約的市場(chǎng)價(jià)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(mǎi)價(jià)貼水即以擇期期末的遠(yuǎn)期匯率為銀行買(mǎi)價(jià)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($/￡)F2F1遠(yuǎn)期匯率的確定：預(yù)期遠(yuǎn)期匯率與未來(lái)即期匯率未必相同，但二者之間存在密切關(guān)系遠(yuǎn)期匯率反映未來(lái)交割貨幣的供求情況，具有某種預(yù)測(cè)未來(lái)即期匯率變動(dòng)的能力均衡條件下，遠(yuǎn)期貼水等于預(yù)期的貨幣貶值，遠(yuǎn)期升水等于預(yù)期的貨幣升值遠(yuǎn)期匯率的確定：套利利息平價(jià)定理(InterestRateParity)如果兩種相似金融工具的預(yù)期收益不同，資金就會(huì)從一種工具轉(zhuǎn)移到另一種工具相似金融工具的預(yù)期收益率相等時(shí)實(shí)現(xiàn)均衡Interestrateequalizationacrossnationswouldensurethatflowoffundswouldnotoccur國(guó)際金融套利的影響如果經(jīng)過(guò)匯率調(diào)整，一國(guó)某種金融工具的預(yù)期收益率仍高于另一國(guó)相似金融工具，資金就會(huì)跨國(guó)移動(dòng)資金在國(guó)際間的轉(zhuǎn)移，必然影響相關(guān)國(guó)家可貸資金市場(chǎng)的供求，影響利率水平，進(jìn)而影響到匯率拋補(bǔ)套利(CoveredInterestParity)CoveredinterestparityisaconditionthatrelatesinterestdifferentialstotheforwardpremiumordiscountCIPishelpfulinunderstandingshort-termmarketmovementsAsanequilibriumcondition,itassistsinourunderstandingofpotentialadjustmentsinvariousfinancialmarketsTheseadjustmentsoccurifthereisaflowofsavingsfromonenationtoanother拋補(bǔ)套利示意圖拋補(bǔ)套利情景分析假設(shè)條件某美國(guó)居民可持有一年期美元資產(chǎn)或英鎊資產(chǎn)兩國(guó)利率分別是Rh和Rf英鎊兌美元即期匯率為S，1年期遠(yuǎn)期匯率為F拋補(bǔ)利息平價(jià)公式推導(dǎo)hh習(xí)題根據(jù)拋補(bǔ)利息平價(jià)公式，預(yù)測(cè)1年期遠(yuǎn)期匯率如果銀行報(bào)1年期遠(yuǎn)期匯率2.15$/￡，是否存在套利機(jī)會(huì)。應(yīng)該如何操作？試計(jì)算6個(gè)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(chǎng)所內(nèi)，以公開(kāi)叫價(jià)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(kāi)辟?lài)?guó)際貨幣市場(chǎng)(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(jià)格波動(dòng)限制集中交易和清算市場(chǎng)流動(dòng)性高履約有保證投機(jī)性強(qiáng)ClassificationoffinancialfuturesInterest-RateFutures:ContractstobuyorsellastandardizeddenominationofaspecificfinancialinstrumentatagivenpriceatacertaindateinthefutureStock-IndexFuture:PromisesoffuturedeliveryofaportfolioofstocksrepresentedbyastockpriceindexCurrencyFutures:Anagreementtodelivertoanotherastandardizedquantityofaspecificnation’scurrencyatadesignatedfuturedateIMM外匯期貨交易場(chǎng)內(nèi)交易商場(chǎng)內(nèi)交易商交易操作臺(tái)買(mǎi)入/賣(mài)出交易交易臺(tái)報(bào)價(jià)員報(bào)價(jià)板行情報(bào)價(jià)網(wǎng)絡(luò)清算所訂單會(huì)員公司買(mǎi)方提交交易經(jīng)紀(jì)返單回公司訂單會(huì)員公司賣(mài)方提交交易經(jīng)紀(jì)返單回公司清算機(jī)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(duì)手對(duì)于外匯期貨買(mǎi)方來(lái)說(shuō)，清算所是賣(mài)方對(duì)于外匯期貨賣(mài)方來(lái)說(shuō)，清算所是買(mǎi)方清算所始終存在，并要求集中清算提高了市場(chǎng)的流動(dòng)性為外匯期貨買(mǎi)賣(mài)雙方消除了履約風(fēng)險(xiǎn)的顧慮保證金制度客戶(hù)在經(jīng)紀(jì)公司開(kāi)立保證金賬戶(hù)，經(jīng)紀(jì)公司在清算所開(kāi)立賬戶(hù)，清算所將所有買(mǎi)賣(mài)指令配對(duì)最低初始保證金和維持保證金逐日結(jié)算制度(markingtomarket)未平倉(cāng)頭寸需按當(dāng)日市場(chǎng)結(jié)算價(jià)計(jì)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(hù)流量時(shí)間市場(chǎng)報(bào)價(jià)合約價(jià)格保證金變動(dòng)追加(＋)/減少(－)金額保證金賬戶(hù)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(jià)值62500英鎊；最小價(jià)格變動(dòng)為$0.0001/￡；單日最大變動(dòng)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(gòu)買(mǎi)方在向出售方支付一定費(fèi)用（期權(quán)費(fèi)）后獲得未來(lái)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(chǎng)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(fèi)由期權(quán)購(gòu)買(mǎi)方支付給出售方期權(quán)購(gòu)買(mǎi)方的成本上限期權(quán)出售方的收入上限期權(quán)費(fèi)的決定因素供求關(guān)系期權(quán)的內(nèi)在價(jià)值期權(quán)的時(shí)間價(jià)值或期限預(yù)期的匯率波動(dòng)性看跌期權(quán)出售方看跌期權(quán)購(gòu)買(mǎi)方多頭跨式期權(quán)以相同執(zhí)行價(jià)格買(mǎi)入看跌期權(quán)和看漲期權(quán)1.10空頭寬跨式期權(quán)賣(mài)出執(zhí)行價(jià)格低的看跌期權(quán)和價(jià)格高的看漲期權(quán)多頭差價(jià)看漲期權(quán)買(mǎi)入執(zhí)行價(jià)格低的看漲期權(quán)，同時(shí)賣(mài)出執(zhí)行價(jià)格高