1.11 Example (page 3) On august 16, 2001 the treasurer of a corporation enters into(签署) a long forward contract(多头远期合约) to buy￡1 million in six months at an exchange rate of 1. 4359 This obligates the corporation to pay $1, 435, 900 for f1 million on February 16, 2002 What are the possible outcomes? Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.11 Example (page 3) • On August 16, 2001 the treasurer of a corporation enters into(签署) a long forward contract(多头远期合约) to buy £1 million in six months at an exchange rate of 1.4359 • This obligates the corporation to pay $1,435,900 for £1 million on February 16, 2002 • What are the possible outcomes?
1.12 Payoff(损益)roma Long Forward position Profit Price of Underlying K at Maturity, ST Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.12 Payoff(损益) from a Long Forward Position Profit Price of Underlying K at Maturity, ST
1.13 Payoff from a Short forward position Profit Price of Underlying K at Maturity, ST Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.13 Payoff from a Short Forward Position Profit Price of Underlying K at Maturity, ST
1.14 Futures contracts(期货合约) Agreement to buy or sell an asset for a certain price at a certain time Similar to forward contract Whereas a forward contract is traded OTC. a futures contract is traded on an exchange Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.14 Futures Contracts (期货合约) • Agreement to buy or sell an asset for a certain price at a certain time • Similar to forward contract • Whereas a forward contract is traded OTC, a futures contract is traded on an exchange
1.15 1. Gold: An Arbitrage Opportunity? Suppose that The spot price of gold is US$300 The 1-year forward price of gold is US$340 The 1-year USS interest rate is 5%per annum Is there an arbitrage opportunity? Options, Futures, and Other Derivatives, 4th edition g 2000 by John C Hull Tang Yincai, C 2005
Options, Futures, and Other Derivatives, 4th edition © 2000 by John C. Hull Tang Yincai, © 2005 1.15 1. Gold: An Arbitrage Opportunity? • Suppose that: - The spot price of gold is US$300 - The 1-year forward price of gold is US$340 - The 1-year US$ interest rate is 5% per annum • Is there an arbitrage opportunity?