cha外匯衍生產(chǎn)品市場

3.外匯衍生產(chǎn)品市場

FXDerivativesMarketAMOUNTSOUTSTANDINGOFOVER-THE-COUNTER(OTC)DERIVATIVESBYRISKCATEGORYANDINSTRUMENT(InbillionsofUSdollars)DERIVATIVEFINANCIALINSTRUMENTSTRADEDONORGANISEDEXCHANGESBYINSTRUMENTANDLOCATION(Numberofcontractsinmillions)DERIVATIVEFINANCIALINSTRUMENTSTRADEDONORGANISEDEXCHANGESBYINSTRUMENTANDLOCATION(Numberofcontractsinmillions)內(nèi)容提要遠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作方式外匯遠期交易

FXFORWARDS3.1.外匯遠期交易(FXForwards)本質(zhì)上是一種預(yù)約買賣外匯的交易分為定期外匯遠期交易和擇期外匯遠期交易基本特征場外交易合約條款由雙方議定，存在違約風(fēng)險合約簽訂時無資金交收，到期前不能轉(zhuǎn)讓擇期外匯遠期交易交割日期不固定，可在未來指定時間內(nèi)的任意一天按約定匯率進行交割合同有效期通常為一個半月使用擇期遠期匯率為客戶提供了外匯買賣的靈活性，克服定期外匯遠期交易交割日期確定不變的缺點外匯匯遠遠期期合合約約的的市市場場價價值值擇期期遠遠期期匯匯率率升水水即即以以擇擇期期期期初初的的遠遠期期匯匯率率為為銀銀行行買買價價貼水水即即以以擇擇期期期期末末的的遠遠期期匯匯率率為為銀銀行行買買價價遠期期匯匯率率的的確確定定：：供供求求Theforwardexchangeratereflectsthesupplyanddemandforacurrencyforfuturedelivery.So,theforwardrateprovidesinformationonthefuturespotexchangerateTheforwardexchangeratesometimesoverestimatesthefuturespotexchangerateandsometimesunderestimatesthefuturespotexchangerate遠期匯率率的確定定：供求求Q￡Q1Q2D￡D￡'S￡F($/￡)F2F1遠期匯率率的確定定：預(yù)期期遠期匯率率與未來來即期匯匯率未必必相同，，但二者者之間存存在密切切關(guān)系遠期匯率率反映未未來交割割貨幣的的供求情情況，具具有某種種預(yù)測未未來即期期匯率變變動的能能力均衡條件件下，遠遠期貼水水等于預(yù)預(yù)期的貨貨幣貶值值，遠期期升水等等于預(yù)期期的貨幣幣升值遠期匯率率的確定定：套利利利息平價價定理(InterestRateParity)如果兩種種相似金金融工具具的預(yù)期期收益不不同，資資金就會會從一種種工具轉(zhuǎn)轉(zhuǎn)移到另另一種工工具相似金融融工具的的預(yù)期收收益率相相等時實實現(xiàn)均衡衡Interestrateequalizationacrossnationswouldensurethatflowoffundswouldnotoccur國際金融融套利的的影響如果經(jīng)過過匯率調(diào)調(diào)整，一一國某種種金融工工具的預(yù)預(yù)期收益益率仍高高于另一一國相似似金融工工具，資資金就會會跨國移移動資金在國國際間的的轉(zhuǎn)移，，必然影影響相關(guān)關(guān)國家可可貸資金金市場的的供求，，影響利利率水平平，進而而影響到到匯率拋補套利利(CoveredInterestParity)CoveredinterestparityisaconditionthatrelatesinterestdifferentialstotheforwardpremiumordiscountCIPishelpfulinunderstandingshort-termmarketmovementsAsanequilibriumcondition,itassistsinourunderstandingofpotentialadjustmentsinvariousfinancialmarketsTheseadjustmentsoccurifthereisaflowofsavingsfromonenationtoanother拋補套利利示意圖圖拋補套利利情景分分析假設(shè)條件件某美國居居民可持持有一年年期美元元資產(chǎn)或或英鎊資資產(chǎn)兩國利率率分別是是Rh和Rf英鎊兌美美元即期期匯率為為S，1年期遠期期匯率為為F拋補利息息平價公公式推導(dǎo)導(dǎo)hh習(xí)題根據(jù)拋補補利息平平價公式式，預(yù)測測1年期遠期期匯率如果銀行行報1年期遠期期匯率2.15$/￡，是否存存在套利利機會。。應(yīng)該如如何操作作？試計算6個月遠期期匯率應(yīng)應(yīng)是多少少？美元存款款年利率率15%，英鎊存存款年利利率10%，美元與英英鎊的即即期匯率率是2$/￡。外匯期貨貨交易FXFUTURES3.2.外匯期貨貨交易(FXFutures)指在有組組織的交交易場所所內(nèi)，以以公開叫叫價方式式確定匯匯率，交交易標準準交割日日期、標標準交割割數(shù)量的的外匯Futurescontractisanagreementtodelivertoanotheragivenamountofastandardizedcommodityorfinancialinstrumentatadesignatedfuturedate1972年芝加哥哥商品交交易所開開辟國際際貨幣市市場(IMM)，完成首首筆外匯匯期貨交交易外匯期貨貨的主要要特征交易合約約標準化化交易金額額和交割割日期價格波動動限制集中交易易和清算算市場流動動性高履約有保保證投機性強強ClassificationoffinancialfuturesInterest-RateFutures:ContractstobuyorsellastandardizeddenominationofaspecificfinancialinstrumentatagivenpriceatacertaindateinthefutureStock-IndexFuture:PromisesoffuturedeliveryofaportfolioofstocksrepresentedbyastockpriceindexCurrencyFutures:Anagreementtodelivertoanotherastandardizedquantityofaspecificnation’’scurrencyatadesignatedfuturedateIMM外匯期貨交交易場內(nèi)交易商場內(nèi)交易商交易操作臺買入/賣出交易交易臺報價員報價板行情報價網(wǎng)絡(luò)清算所訂單會員公司買方提交交易經(jīng)紀返單回公司訂單會員公司賣方提交交易經(jīng)紀返單回公司清算機制制由期貨交交易所提提供或指指定清算算所由清算所所充當期期貨合約約各方的的交易對對手對于外匯匯期貨買買方來說說，清算算所是賣賣方對于外匯匯期貨賣賣方來說說，清算算所是買買方清算所始始終存在在，并要要求集中中清算提高了市市場的流流動性為外匯期期貨買賣賣雙方消消除了履履約風(fēng)險險的顧慮慮保證金制制度客戶在經(jīng)經(jīng)紀公司司開立保保證金賬賬戶，經(jīng)經(jīng)紀公司司在清算算所開立立賬戶，，清算所所將所有有買賣指指令配對對最低初始始保證金金和維持持保證金金逐日結(jié)算算制度(markingtomarket)未平倉頭頭寸需按按當日市市場結(jié)算算價計算算賬面盈盈虧，據(jù)據(jù)以調(diào)整整原有的的保證金金數(shù)額英鎊期貨貨保證金金賬戶流流量時間市場報價合約價格保證金變動追加(＋)/減少(－)金額保證金賬戶余額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：每每份英鎊鎊期貨合合約價值值62500英鎊；最最小價格格變動為為$0.0001/￡；單日最最大變動動為$0.01/￡HedgingwithCurrencyFuturesCurrencyfuturescontractsentaildailycashflowsettlementsTohedgewithafuturescontract,thefirmmustsetupaninitialmargin,orbondperformancerequirementThefirmmustalsomaintainamaintenancemargin,orminimumbondperformancerequirementFuturescontractgainsorlossesaremarked-to-marketattheendofeachtradingday外匯期權(quán)權(quán)交易FXOPTIONS3.3.外匯期權(quán)權(quán)交易(FXOptions)合約購買買方在向向出售方方支付一一定費用用（期權(quán)權(quán)費）后后獲得未未來按規(guī)規(guī)定匯率率交易一一定數(shù)量量外匯的的選擇權(quán)權(quán)Afinancialcontractgivingtheownertherighttobuyorsellanunderlyingfinancialinstrumentatacertainpricewithinaspecificperiodoftime外匯匯期期權(quán)權(quán)交交易易(FXOptions)有交交易易所所交交易易期期權(quán)權(quán)和和場場外外期期權(quán)權(quán)分為為看看漲漲期期權(quán)權(quán)(calls)和看看跌跌期期權(quán)權(quán)(puts)Calloptions:allowtheholdertopurchasetheunderlyingcurrencyPutoptions:allowtheholdertoselltheunderlyingcurrency外匯匯期期權(quán)權(quán)交交易易(FXOptions)有美美式式期期權(quán)權(quán)和和歐歐式式期期權(quán)權(quán)Americanoptions:granttheholdertherighttoexercisetherighttopurchaseorselltheunderlyingcurrencyatanytimebeforeorincludingthedateatwhichthecontractexpiresEuropeanoptions:granttheholdertherighttoexercisetherighttopurchaseorselltheunderlyingcurrencyonlyatonthedatethatthecontractexpires外匯匯期期權(quán)權(quán)交交易易(FXOptions)FuturesOptions,StockOptions,andCurrencyOptionFuturesOptions:OptionstobuyorsellfuturescontractsStockOptions:OptionstobuyorsellfirmequitysharesCurrencyOption:Acontractgrantingtherighttobuyorsellagivenamountofanation’’scurrencyatacertainpricewithinaspecificperiodoftime期權(quán)費由期權(quán)購買方方支付給出售售方期權(quán)購買方的的成本上限期權(quán)出售方的的收入上限期權(quán)費的決定定因素供求關(guān)系期權(quán)的內(nèi)在價價值期權(quán)的時間價價值或期限預(yù)期的匯率波波動性看跌期權(quán)出售方看跌期權(quán)購買方多頭跨式期權(quán)權(quán)以相同執(zhí)行價價格買入看跌跌期權(quán)和看漲漲期權(quán)1.10空頭寬跨式期期權(quán)賣出執(zhí)行價格格低的看跌期期權(quán)和價格高高的看漲期權(quán)權(quán)多頭差價看漲漲期權(quán)買入執(zhí)行價格格低的看漲期期權(quán)，同時賣賣出執(zhí)行價格格高的看漲期期權(quán)外匯互換交易易FXSWAPS3.4.外匯互換交易易(FXSwaps)也稱貨幣互換換。指交易雙