1、国际财务管理,EUN / RESNICK,Sixth Edition,INTERNATIONAL FINANCIAL MANAGEMENT,EUN / RESNICK,Fourth Edition,外汇市场交易时间（北京时间）,Function and Structure of the FX Market The Spot Market The Forward Market,Function and Structure of the FX Market FX Market Participants Correspondent Banking Relationships The Spot Mar
2、ket The Forward Market,Function and Structure of the FX Market The Spot Market Spot Rate Quotations The Bid-Ask Spread Spot FX Trading Cross Exchange Rate Quotations Triangular Arbitrage Spot Foreign Exchange Market Microstructure The Forward Market,Function and Structure of the FX Market The Spot M
3、arket The Forward Market Forward Rate Quotations Long and Short Forward Positions Forward Cross-Exchange Rates Swap Transactions Forward Premium,外汇市场的功能和结构 外汇即期市场 外汇远期市场,Chapter Outline,外汇市场的功能和结构,将全球范围的协助交易的货币交易银行、非银行交易商和外汇经纪人联系在一起。 外汇市场的参与者,FX Market Participants,外汇市场可分为两个层级: 银行同业市场(Wholesale) 客户市
4、场(Retail) 据2010年国际清算银行统计，14%为零售交易量，86%为银行同业交易。 市场参与者包括： 国际银行 international banks 银行客户 banks customers 非银行交易商 nobank dealers 外汇经纪人FX brokers 俗称中介 中央银行 central banks,通汇关系,国际银行间的外汇交易如何结算的？ The interbank market is a network of correspondent banking relationships 画图中国进口商从荷兰进口一批商品，采用欧元结算。,进口商,出口商,国际银行,国际银
5、行,通汇账户,即期外汇市场 The Spot Market,即期汇率标价 套算汇率标价 汇率买卖价差 即期外汇交易 三角套利,即期外汇标价,直接标价Direct quotation the U.S. dollar equivalent e.g. “a Japanese Yen is worth about a penny” 间接标价Indirect Quotation the price of a U.S. dollar in the foreign currency e.g. “you get 100 yen to the dollar” 见表5-3,Spot Rate Quotations
6、,Spot Rate Quotations,The direct quote for British pound is: 1 = $1.9077,Spot Rate Quotations,The indirect quote for British pound is: .5242 = $1,Spot Rate Quotations,Note that the direct quote is the reciprocal of the indirect quote:,5242,.,1,9077,.,1,=,请解释以下外汇标价含义 S（/$）=0.8171, S（$/￥）=0.010854 S($
7、/HKD)=0.1283 S（/$）=0.6824,套算汇率标价,Suppose that S($/) = 1.4655i.e. $1. 4655=1 and that S($/) = 1.1975 i.e. $1. 1975= 1.0 What must the / cross rate be? 美式标价法 欧式标价法 一个美式与一个欧式标价汇率 P117计算题1,汇率买卖价差 The Bid-Ask Spread,买价：The bid price is the price a dealer is willing to pay you for something. 卖价：The ask pr
8、ice is the amount the dealer wants you to pay for the thing. 买卖价差：The bid-ask spread is the difference between the bid and ask prices. 思考：Sa（$/）和Sa（/$）以及 Sb（$/）和Sb（/$）含义、关系. 写出公式。,The Bid-Ask Spread,A dealer could offer bid price of $1.25 per ask price of $1.26 per ask price 大于bid price The bid-ask
9、spread represents the dealers expected profit.,The Bid-Ask Spread,A dealer would likely quote these prices as 50-55. It is presumed that anyone trading $10m already knows the “big figure”.,买卖价差,回答P107表中的含义。 套算汇率买卖价差的计算 以表5-6为例，辅以板书 计算题P118第8和第9题。,三角套利,$,Credit LyonnaisS(/$)=1.50,Credit Agricole S(/)
10、=85,Barclays S(/$)=120,书上的例子5-3,Triangular Arbitrage,$,Credit LyonnaisS(/$)=1.50,Credit Agricole S(/)=85,Barclays S(/$)=120,The implied S(/) cross rate is,Credit Agricole has posted a quote of S(/)=85 so there is an arbitrage opportunity.,So, how can we make money?,1.00,80,=,1.50,$1.00,$1.00,120,The
11、n trade yen for your preferred currency.,Buy the 80; sell 85.,Triangular Arbitrage,$,Credit LyonnaisS(/$)=1.50,Credit Agricole S(/)=85,Barclays S(/$)=120,As easy as 1 2 3:,1. Sell our $ for , 2. Sell our for , 3. Sell those for $.,1,2,3,$,Triangular Arbitrage,Sell $100,000 for at S(/$) = 1.50 receiv
12、e 150,000,Sell our 150,000 for at S(/) = 85 receive 12,750,000,Sell 12,750,000 for $ at S(/$) = 120,receive $106,250,profit per round trip = $106,250 $100,000 = $6,250,Triangular Arbitrage,$,Credit LyonnaisS(/$)=1.50,Credit Agricole S(/)=85,Barclays S(/$)=120,Here we have to go “clockwise” to make m
13、oneybut it doesnt matter where we start.,1,2,3,$,If we went “counter clockwise” we would be the source of arbitrage profits, not the recipient!,即期外汇市场的微观结构,市场的围观结构是指市场运作的基本机制。 即期外汇市场的买卖价差随着： 外汇汇率波动程度的上升而增加； 随着交易商竞争的家去而下降。 私有信息（Private information）是影响即期汇率的重要因素。is an important determinant of spot exch
14、ange rates.,远期外汇市场,远期汇率标价 远期多头和空头 远期套算汇率 远期升水 互换交易,远期外汇市场,A forward contract is an agreement to buy or sell an asset in the future at prices agreed upon today. 远期合约的例子，比如你订购一件畅销品的衣服。,外汇远期市场涉及为了买入、卖出外汇而在现在签订合约。 远期合约中，常见的到期期限分别为 1, 3, 6, 9, and 12 month Longer-term swaps are available.,远期汇率标价,Consider
15、 the example : for British pounds, the spot rate is $1.9077 = 1.00 While the 180-day forward rate is $1.8904 = 1.00 远期外汇汇率如何标价？ （Forward Rate Quotations）。,Spot Rate Quotations,Spot rate,Forward rate is less than spot rate,远期汇率标价,美式标价和欧式标价 S($/SF)=0.8662, F1($/SF)=0.8671, F3 ($/SF)=0.8686, F6 ($/SF)=
16、0.8715, 称为瑞士法郎对美元的远期升水。 那么，远期升水的幅度是多少？,远期多头与空头,比如F3（$/SF）=0.8686 若3个月后的即期汇率为0.8716或者为0.8616. 黑板上画图 例5-4，预期瑞士法郎会贬值，持有空头，卖出远期外汇合约。,远期多头与空头,If you have agreed to sell anything (spot or forward), you are “short”. If you have agreed to buy anything (forward or spot), you are “long”. If you have agreed to
17、 sell FX forward, you are short. If you have agreed to buy FX forward, you are long.,远期套算汇率,FN(j/k)=FN(j/$)* FN($/k) 采用美式标价套算 采用欧式标价套算,Forward Cross Exchange Rates,In generic terms,Notice that the “$”s cancel.,Forward Cross Exchange Rates,F6(CAD/)=F6(CAD/$)*F6($/),=1.2412*1,8904 =2.3464,远期升水或贴水,远期升水
18、或贴水的计算例5-5 For example, suppose the is appreciating from S($/) = 1.25 to F180($/) = 1.30 The 180-day forward premium is given by:,= 0.08,互换交易,Swap transaction：买入（或卖出）远期外汇的同时，卖出（或买入）大约等量的即期外汇。 比如，sohu公司要在墨西哥投资一子公司，需要100万比索，1年后子公司将会归还100万比索，sohu公司如何避免汇率波动风险。 远期点数标价,即期 1.1545-1.1548 1个月 12-10 3个月 32-38
19、 6个月 71-65,即期 1.2365-1.2368 1个月 2-4 3个月 9-12 6个月 10-20,Currency Symbols,In addition to the familiar currency symbols (e.g. , , , $) there are three-letter codes for all currencies.It is a long list, but selected codes include:CHF Swiss francsGBP British poundZAR South African randCAD Canadian dollar
20、JPY Japanese yen,Summary,Spot rate quotations Direct and indirect quotes Bid and ask prices Cross Rates Triangular arbitrage Forward Rate Quotations Forward premium (discount) Forward points,Practice Problem,The current spot exchange rate is $1.55/ and the three-month forward rate is $1.50/. Based o
21、n your analysis of the exchange rate, you are confident that the spot exchange rate will be $1.52/ in three months. Assume that you would like to buy or sell 1,000,000.a. What actions do you need to take to speculate in the forward market? What is the expected dollar profit from speculation?b. What
22、would be your speculative profit in dollar terms if the spot exchange rate actually turns out to be $1.46/?c. Graph your results.,Solution,a. If you believe the spot exchange rate will be $1.52/ in three months, you should buy 1,000,000 forward for $1.50/. Your expected profit will be: $20,000 = 1,000,000 ($1.52 $1.50)b. If the spot exchange rate actually turns out to be $1.46/ in three months, your loss from the long position will be: $40,000 = 1,000,000 ($1.46 $1.50),Solution,loss,0,S180(/$),F180(/$) = 1.50,$40k,1.52,$20k,profit,1.46,End Chapter Five,
