1、3. 外汇衍生产品市场,FX Derivatives Market,AMOUNTS OUTSTANDING OF OVER-THE-COUNTER (OTC) DERIVATIVES BY RISK CATEGORY AND INSTRUMENT (In billions of US dollars),DERIVATIVE FINANCIAL INSTRUMENTS TRADED ON ORGANISED EXCHANGES BY INSTRUMENT AND LOCATION (Number of contracts in millions),DERIVATIVE FINANCIAL INS
2、TRUMENTS TRADED ON ORGANISED EXCHANGES BY INSTRUMENT AND LOCATION (Number of contracts in millions),内容提要,远期汇率的确定外汇期货主要特征外汇期权组合交易策略外汇互换的运作方式,外汇远期交易 FX FORWARDS,3.1.,外汇远期交易 (FX Forwards),本质上是一种预约买卖外汇的交易分为定期外汇远期交易和择期外汇远期交易基本特征场外交易合约条款由双方议定，存在违约风险合约签订时无资金交收，到期前不能转让,择期外汇远期交易,交割日期不固定，可在未来指定时间内的任意一天按约定汇率进行
3、交割合同有效期通常为一个半月使用择期远期汇率为客户提供了外汇买卖的灵活性，克服定期外汇远期交易交割日期确定不变的缺点,外汇远期合约的市场价值,择期远期汇率,升水即以择期期初的远期汇率为银行买价贴水即以择期期末的远期汇率为银行买价,远期汇率的确定：供求,The forward exchange rate reflects the supply and demand for a currency for future delivery. So, the forward rate provides information on the future spot exchange rateThe for
4、ward exchange rate sometimes overestimates the future spot exchange rate and sometimes underestimates the future spot exchange rate,远期汇率的确定：供求,Q,Q1Q2,D,D ,S,F($/),F2,F1,远期汇率的确定：预期,远期汇率与未来即期汇率未必相同，但二者之间存在密切关系远期汇率反映未来交割货币的供求情况，具有某种预测未来即期汇率变动的能力均衡条件下，远期贴水等于预期的货币贬值，远期升水等于预期的货币升值,远期汇率的确定：套利,利息平价定理 (Inter
5、est Rate Parity)如果两种相似金融工具的预期收益不同，资金就会从一种工具转移到另一种工具相似金融工具的预期收益率相等时实现均衡Interest rate equalization across nations would ensure that flow of funds would not occur,国际金融套利的影响如果经过汇率调整，一国某种金融工具的预期收益率仍高于另一国相似金融工具，资金就会跨国移动资金在国际间的转移，必然影响相关国家可贷资金市场的供求，影响利率水平，进而影响到汇率,抛补套利 (Covered Interest Parity),Covered inter
6、est parity is a condition that relates interest differentials to the forward premium or discountCIP is helpful in understanding short-term market movementsAs an equilibrium condition, it assists in our understanding of potential adjustments in various financial marketsThese adjustments occur if ther
7、e is a flow of savings from one nation to another,抛补套利示意图,抛补套利情景分析,假设条件某美国居民可持有一年期美元资产或英镑资产两国利率分别是Rh和Rf英镑兑美元即期汇率为S，1年期远期汇率为F,抛补利息平价公式推导,h,h,习题,根据抛补利息平价公式，预测1年期远期汇率如果银行报1年期远期汇率2.15 $/，是否存在套利机会。应该如何操作？试计算6个月远期汇率应是多少？,美元存款年利率15%，英镑存款年利率10%，美元与英镑的即期汇率是2 $/。,外汇期货交易 FX FUTURES,3.2.,外汇期货交易 (FX Futures),指在有
8、组织的交易场所内，以公开叫价方式确定汇率，交易标准交割日期、标准交割数量的外汇Futures contract is an agreement to deliver to another a given amount of a standardized commodity or financial instrument at a designated future date1972年芝加哥商品交易所开辟国际货币市场(IMM)，完成首笔外汇期货交易,外汇期货的主要特征,交易合约标准化交易金额和交割日期价格波动限制集中交易和清算市场流动性高履约有保证投机性强,Classification of f
9、inancial futures,Interest-Rate Futures: Contracts to buy or sell a standardized denomination of a specific financial instrument at a given price at a certain date in the futureStock-Index Future: Promises of future delivery of a portfolio of stocks represented by a stock price indexCurrency Futures:
10、 An agreement to deliver to another a standardized quantity of a specific nations currency at a designated future date,IMM外汇期货交易,清算机制,由期货交易所提供或指定清算所由清算所充当期货合约各方的交易对手对于外汇期货买方来说，清算所是卖方对于外汇期货卖方来说，清算所是买方清算所始终存在，并要求集中清算提高了市场的流动性为外汇期货买卖双方消除了履约风险的顾虑,保证金制度,客户在经纪公司开立保证金账户，经纪公司在清算所开立账户，清算所将所有买卖指令配对最低初始保证金和维持保
11、证金逐日结算制度(marking to market)未平仓头寸需按当日市场结算价计算账面盈亏，据以调整原有的保证金数额,英镑期货保证金账户流量,IMM规定：每份英镑期货合约价值62500英镑；最小价格变动为$0.0001/；单日最大变动为$ 0.01 /,Hedging with Currency Futures,Currency futures contracts entail daily cash flow settlementsTo hedge with a futures contract, the firm must setup an initial margin, or bond
12、 performance requirement The firm must also maintain a maintenance margin, or minimum bond performance requirementFutures contract gains or losses are marked-to-market at the end of each trading day,外汇期权交易 FX OPTIONS,3.3.,外汇期权交易 (FX Options),合约购买方在向出售方支付一定费用（期权费）后获得未来按规定汇率交易一定数量外汇的选择权A financial con
13、tract giving the owner the right to buy or sell an underlying financial instrument at a certain price within a specific period of time,外汇期权交易 (FX Options),有交易所交易期权和场外期权分为看涨期权(calls)和看跌期权(puts)Call options: allow the holder to purchase the underlying currencyPut options: allow the holder to sell the
14、underlying currency,外汇期权交易 (FX Options),有美式期权和欧式期权American options: grant the holder the right to exercise the right to purchase or sell the underlying currency at any time before or including the date at which the contract expiresEuropean options: grant the holder the right to exercise the right to
15、 purchase or sell the underlying currency only at on the date that the contract expires,外汇期权交易 (FX Options),Futures Options, Stock Options, and Currency OptionFutures Options: Options to buy or sell futures contractsStock Options: Options to buy or sell firm equity sharesCurrency Option: A contract
16、granting the right to buy or sell a given amount of a nations currency at a certain price within a specific period of time,期权费,由期权购买方支付给出售方期权购买方的成本上限期权出售方的收入上限期权费的决定因素供求关系期权的内在价值期权的时间价值或期限预期的汇率波动性,看跌期权购买方,多头跨式期权,以相同执行价格买入看跌期权和看涨期权,1.10,空头宽跨式期权,卖出执行价格低的看跌期权和价格高的看涨期权,多头差价看涨期权,买入执行价格低的看涨期权，同时卖出执行价格高的看涨
17、期权,外汇互换交易 FX SWAPS,3.4.,外汇互换交易 (FX Swaps),也称货币互换。指交易双方相互交换不同币种但期限相同、金额相等的货币及利息A contract-entailing an exchange of payment flows between two parties可以降低筹资成本或防范汇率风险Interest-Rate Swap: A contractual exchange of one set of interest payments for anotherCurrency Swap: An exchange of payment flows denominated in different currencies,降低筹资成本：期初,降低筹资成本：期中,降低筹资成本：期末,防范汇率风险,美元,本章主要知识点,定期远期汇率与择期远期汇率的联系与区别利息平价公式的推导与运用为什么外汇期货交易比外汇远期交易的履约更有保证？举例说明如何利用外汇期权或外汇互换规避汇率风险。,演讲完毕，谢谢观看！,
