外汇期货 Foreign Exchange Futures MNO4 器 S miL 938 st vod 8.557. vol ed 1 8: open int E2313,± “ Dt当。和mar『c們〕-2E,oab5 por erk 4459 4200 Est val 0: voi wed 3 47 penn480.十 r can =s Mro. 49 Jure 6P12 3第 46 156 Est vol 5.944: vot wed 8, 819: open int 79. 055, +550. 9819 43 42074 t vol 9. 225: vol Wed 7, 332: open in 51 24 ArOf 百3 539 358 Est wol 993: vot Wed 1. 824: open Fnt 24. 422. ++322 Rx晶Pe。(cn配)sD, ooo Met o. s r N。v RF1189 10380 .1 32 10g June 0s84 09 sL vol 1792 vo wed 0.08 pen Int 14 ■r 5M指 官 8了p 6后8E Mro 784 Sept B823 165 Est vol 15,633: vol Wed 8.98: open int 67,562. ++66 23-6
23-6 外汇期货 Foreign Exchange Futures
汇率风险套期保值 Hedging Foreign EXchange Risk 如果利率平价遭到破坏会怎么样呢?例如,假定期货价格是157美元而不是1585 美元,那么采取以下方法你就可以获得套利赢利。用E表示-年以后的汇率,当然它 应该是一个随投资者现在的期望而改变的随机变量。 行动 初始现金流美元 一年以后的现金流美 1.在伦敦借入l英镑并兑换成美元 1.60 2.在美国货出60美元 1601.5 3.签订期货合约以F6=157美元的 1.6(E2-1.57) 期货)价格买入1.6英锫镑 总计 23-7
23-7 汇率风险套期保值 Hedging Foreign Exchange Risk
汇率风险套期保值 Hedging Foreign EXchange Risk What if the interest rate parity relationship is violated? For example, suppose the futures price is $1.57 instead of $1.585. You could adopt the following strategy to reap arbitrage profits. In this example let e, denote the exchange rate that will prevail in one year. Eyis, of course, a random variable from the perspective of today s investors Action Initial Cash Flows CF in 1 Year(s) 1. Borrow 1 U.K. pound in London. Convert to dollars E1(1.06) 2. Lend $1.60 in the United States 1.60 1601.05) 3. Enter a contract to purchase 1.06 pounds at a (futures) price of Fo=$1.57 1.06(E1-157) Total 0158 23-8
23-8 汇率风险套期保值 Hedging Foreign Exchange Risk
汇率风险套期保值 Hedging Foreign EXchange Risk 套利的净所得是无风险的,它等于E1+rusF0(1+ruk)。如果这个值是正的 ,就在英国借款,在美国贷款,然后建立期货多头头寸以消除汇率风险。如果 这个值是负的,就在美国借款,在英国贷款,然后建立英镑期货的空头头寸 i价格正好相符没有套利机会时,这个表达式一定等于零。如果它为正,投资 者会攫取套利收益;如果它为负,投资者反向操作还是能获得套利收益。把这 个表达式整理一下得到: The net proceeds to the arbitrage portfolio are risk-free and given by Eo(1+rus)- Fo(1+ruK). If this value is positive, borrow in the United Kingdom, lend in the United States, and enter a long futures position to eliminate foreign exchange risk. If the value is negative, borrow in the United States, lend in the United Kingdom, and take a short position in pound futures. When prices preclude arbitrage opportunities, the expression must equal zero. Rearranging this expression gives us the relationship 1+ Us Eo 0 1+ ruK 23-9
23-9 汇率风险套期保值 Hedging Foreign Exchange Risk 套利的净所得是无风险的，它等于 E0 (1＋rUS)-F0 (1＋r UK)。如果这个值是正的 ，就在英国借款，在美国贷款，然后建立期货多头头寸以消除汇率风险。如果 这个值是负的，就在美国借款，在英国贷款，然后建立英镑期货的空头头寸。 当价格正好相符没有套利机会时，这个表达式一定等于零。如果它为正，投资 者会攫取套利收益；如果它为负，投资者反向操作还是能获得套利收益。把这 个表达式整理一下得到： The net proceeds to the arbitrage portfolio are risk-free and given by E0 (1+rUS)- F0 (1+rUK). If this value is positive, borrow in the United Kingdom, lend in the United States, and enter a long futures position to eliminate foreign exchange risk. If the value is negative, borrow in the United States, lend in the United Kingdom, and take a short position in pound futures. When prices preclude arbitrage opportunities, the expression must equal zero. Rearranging this expression gives us the relationship
股票指数期货 Stock Index Contracts ■对本国和国际股票都有效 Available on both domestic and international stocks 与直接购买股票相比的优点 Advantages over direct stock purchase 更低的交易成本 lower transaction costs 有利市场时机和重组的选择 better for timing or allocation strategies 减少资产组合的时间 takes less time to acquire the portfolio 23-10
23-10 对本国和国际股票都有效 Available on both domestic and international stocks. 与直接购买股票相比的优点 Advantages over direct stock purchase: – 更低的交易成本 lower transaction costs – 有利市场时机和重组的选择 better for timing or allocation strategies – 减少资产组合的时间 takes less time to acquire the portfolio 股票指数期货 Stock Index Contracts