《投资学 Investments》课程教学资源（PPT课件，中英文）第23章 期货与互换的详细分析 Futures and Swaps：A Closer Look

第23章 期货与互换的详细分析 Futures and Swaps: A Closer look 23-1

23-1 第23章 期货与互换的详细分析 Futures and Swaps: A Closer Look

期货与互换 Futures and swaps 23.1外汇期货 232股票指数期货 233利率期货 234商品期货的定价 235互换 23-2

23-2 期货与互换 Futures and Swaps 23.1 外汇期货 23.2 股票指数期货 23.3 利率期货 23.4 商品期货的定价 23.5 互换

外汇期货 Foreign Exchange Futures ■期货市场 Futures markets 芝加哥商品交易所(国际货币市场 Chicago Mercantile(International Monetary Market) 伦敦国际金融期货交易所 London International Financial Futures Exchange 中美洲商品交易所 MidAmerica Commodity EXchange ■活跃的远期市场 Active forward market ■期货市场和远期市场的差异 Differences between futures and forward markets 23-3

23-3 期货市场 Futures markets – 芝加哥商品交易所 ( 国际货币市场 ) Chicago Mercantile (International Monetary Market) – 伦敦国际金融期货交易所 London International Financial Futures Exchange – 中美洲商品交易所 MidAmerica Commodity Exchange 活跃的远期市场 Active forward market 期货市场和远期市场的差异 Differences between futures and forward markets 外汇期货 Foreign Exchange Futures

外汇期货定价 Pricing on Foreign Exchange Futures 利率平价理论 Interest rate parity theorem 用美元和英镑来举例 Developed using the US Dollar and British pound 1+s F0=1 where F:是远期价格 is the forward price Eo为当前两种货币的汇率 is the current exchange rate 23-4

23-4 利率平价理论Interest rate parity theorem 用美元和英镑来举例Developed using the US Dollar and British Pound T UK US r r F E         + + = 1 1 0 0 where F0 : 是远期价格 is the forward price E0: 为当前两种货币的汇率 is the current exchange rate 外汇期货定价 Pricing on Foreign Exchange Futures

定价举例 Text Pricing EXample us 5 k 6 Eo=$1.60 per pound T=l yr 1.05 Fn=$1.60 =$1.585 1.06 当r小于ru时,F肯定小于E,由F0比E得到的美元升值程 度正好可以与两国利率之间的差额抵消。当然,如果情况相反 结论依然成立:当「v大于r时,F肯定大于E When rus is less than ruk, Fo must be less than EO. The appreciation of the dollar embodied in the ratio of Fo to Eo exactly compensates for the difference in interest rates available in the two countries. Of course, the argument also works in reverse: If rus is greater than ruk, then Fo is greater than EO 23-5

23-5 定价举例 Text Pricing Example rus = 5% ruk = 6% E0 = $1.60 per pound T = 1 yr $1.585 1.06 1.05 $1.60 1 0  =      F = 当r us小于r uk时，F0肯定小于E0，由F0比E0得到的美元升值程 度正好可以与两国利率之间 的差额抵消。当然，如果情况相反 结论依然成立：当 r us大于r uk时，F0肯定大于E0。 When rus is less than ruk, F0 must be less than E0. The appreciation of the dollar embodied in the ratio of F0 to E0 exactly compensates for the difference in interest rates available in the two countries. Of course, the argument also works in reverse: If rus is greater than ruk, then F0 is greater than E0