第七章-外汇期货和期权

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第七章外汇期货与外汇期权

Lecture10(Chapter 07)Futures and Options on Foreign Exchange外汇期货与期权1. A put option on $15,000 with a strike price of €10,000 is the same thing as a call option on €10,000 with a strike price of $15,000.TRUE2. A CME contract on €125,000 with Septe mber delivery 交货A. is an example of a forward contract.B. is an example of a futures contract.C. is an example of a put option.D. is an example of a call option.3. Yesterday, you entered into a futures contract to buy €62,500 at $1.50 per €. Suppose t he futures price closes today at $1.46. How much have you made/lost?A. Depends on your margin balance.B. You have made $2,500.00.C. You have lost $2,500.00.D. You have neither made nor lost money, yet.4. In reference to the futures market, a "speculator"A. attempts to profit from a change in the futures priceB. wants to avoid price variation by locking in a purchase price of the underlying asset through a long position in the futures contract or a sales price through a short position in the futures contractC. stands ready to buy or sell contracts in unlimited quantityD. both b) and c)5. Comparing "forward" and "futures" exchange contracts, we can say thatA. they are both "marked-to-market" daily.B. their major difference is in the way the underlying asset is priced for future purchase or sale: futures settle daily and forwards settle at maturity.C. a futures contract is negotiated by open outcry between floor brokers or traders and is traded on organized exchanges, while forward contract is tailor-made by an international bank for its clients and is traded OTC.D. both b) and c)Topic: Futures Contracts: Some Preliminaries6. Comparing "forward"远期合约 and "futures"期货合约 exchange contracts, we can say thatA. delivery of the underlying asset is seldom made in futures contracts.B. delivery of the underlying asset is usually made in forward contracts.C. delivery of the underlying asset is seldom made in either contract—they are typically cash settled at maturity.D. both a) and b)E. both a) and c)7. In which market does a clearinghouse serve as a third party to all transactions?A. FuturesB. ForwardsC. SwapsD. None of the above8. In the event of a default on one side of a futures trade,A. the clearing member stands in for the defaulting party. 结算会员代表为违约方B. the clearing member will seek restitution for the defaulting party.寻求赔偿C. if the default is on the short side, a randomly selected long contract will not get paid. That party will then have standing to initiate a civil suit against the defaulting short.D. both a) and b)9. Yesterday, you entered into a futures contract to buy €62,500 at $1.50 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted? 题目的意思是，初始保证金余额１５００，维持保证金水平为５００，当汇率在哪个水平上，客户需要追加保证金？,A.$1.5160 per €.B.$1.208 per €.C.$1.1920 per €.D.$1.4840 per €.10. Yesterday, you entered into a futures contract to sell €62,500 at $1.50 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted?A.$1.5160 per €.B.$1.208 per €.C.$1.1920 per €.D.$1.1840 per €.11. Yesterday, you entered into a futures contract to buy €62,500 at$1.50/€. Your initial margin was $3,750 (= 0.04 ⨯€62,500 ⨯$1.50/€ = 4 percent of the contract value in dollars). Your maintenance margin is $2,000 (meaning that your broker leaves you alone until your account balance falls to $2,000). At what settle price (use 4 decimal places) do you get a margin call?A.$1.4720/€６２５００×（１．５－？）＝３７５０－２０００B.$1.5280/€C.$1.500/€D. None of the above12. Three days ago, you entered into a futures contract to sell €62,500 at $1.50 per €. Over the past three days the contract has settled at $1.50, $1.52, and $1.54. How much have you made or lost?A.Lost $0.04 per € or $2,500B.Made $0.04 per € or $2,500C.Lost $0.06 per € or $3,750D. None of the above13. Today's settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days' settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME Yen contract is ¥12,500,000). If you have a short position 空头in one futures contract, the changes in the margin account from daily marking-to-market will result in the balance of the margin account after the third day to be 日元贬值，赚钱A. $1,425.B. $2,000.C. $2,325.＝（０．８０１１－０．７９８５）×１２５０００＋２０００D. $3,425.14. Today's settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days' settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME Yen contract is ¥12,500,000). If you have a long position 多头in one futures contract, the changes in the margin account from daily marking-to-market, will result in the balance of the margin account after the third day to be 日元贬值，亏钱A. $1,425.B. $1,675.C. $2,000.D. $3,425.Topic: Currency Futures Markets15. Suppose the futures price is below the price predicted by IRP. What steps would assure an arbitrage profit?A. Go short in the spot market, go long in the futures contract.B. Go long in the spot market, go short in the futures contract.C. Go short in the spot market, go short in the futures contract.D. Go long in the spot market, go long in the futures contract.16. What paradigm is used to define the futures price?A. IRP利率平价B. Hedge RatioC. Black ScholesD. Risk Neutral Valuation17. Suppose you observe the following 1-year interest rates, spot exchange rates and futures prices. Futures contracts are available on €10,000. How much risk-free arbitrage profit could you make on 1 contract at maturity from this mispricing?A. $159.22Ｆ＝１．４５×１．０４／１．０３＝１．４６４１B. $153.10（１．４８－１．４６４１）×１００００＝４５９C. $439.42D. None of the aboveThe futures price of $1.48/€ is above the IRP futures price of $1.4641/€, so we want to sel l (i.e. take a short position in 1 futures contract on €10,000, agreeing to sell €10,000 in 1 year for $14,800).Profit =To hedge, we borrow $14,077.67 today at 4%, convert to euro at the spot rate of $1.45/€, invest at 3%. At maturity, our investme nt matures and pays €10,000, which we sell for $14,800, and then we repay our dollar borrowing with $14,640.78. Our risk-free profit = $159.22 = $14,800 - $14,640.7818. Which equation is used to define the futures price?A.B.C.D.19. Which equation is used to define the futures price? A.B.C.D.E.Topic: Currency Futures Markets20. If a currency futures contract (direct quote) is priced below the price implied by Interest Rate Parity (IRP), arbitrageurs could take advantage of the mispricing by simultaneouslyA. going short in the futures contract, borrowing in the domestic currency, and going long in the foreign currency in the spot market.B. going short in the futures contract, lending in the domestic currency, and going long in the foreign currency in the spot market.C. going long in the futures contract, borrowing in the domestic currency, and going short in the foreign currency in the spot market.D. going long in the futures contract, borrowing in the foreign currency, and going long in the domestic currency, investing the proceeds at the local rate of interest.21. Open interest in currency futures contractsA. tends to be greatest for the near-term contracts.B. tends to be greatest for the longer-term contracts.C. typically decreases with the term to maturity of most futures contracts.D. both a) and c)22. The "open interest" shown in currency futures quotations isA. the total number of people indicating interest in buying the contracts in the near future.B. the total number of people indicating interest in selling the contracts in the near future.C. the total number of people indicating interest in buying or selling the contracts in the near future.D. the total number of long or short contracts outstanding for the particular delivery month.23. If you think that the dollar is going to appreciate against the euro, you shouldA. buy put options on the euro.B. sell call options on the euro.卖出欧元看涨权C. buy call options on the euro.D. none of the above24. From the perspective of the writer 卖家of a put option 看跌期权written on €62,500. If the s trike price执行价格 i s $1.55/€, and the option premium is $1,875, at what exchange rate do you start to lose money?A.$1.52/€B.$1.55/€C.$1.58/€D. None of the above25. A European option is different from an American option in thatA. one is traded in Europe and one in traded in the United States.B. European options can only be exercised at maturity; American options can be exercised prior to maturity.C. European options tend to be worth more than American options, ceteris paribus.D. American options have a fixed exercise price; European options' exercise price is set at the average price of the underlying asset during the life of the option.26. An "option" isA. a contract giving the seller (writer) of the option the right, but not the obligation, to buy (call) or sell (put) a given quantity of an asset at a specified price at some time in the future.B. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (call) or sell (put) a given quantity of an asset at a specified price at some time in the future.C. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (put) or sell (call) a given quantity of an asset at a specified price at some time in the future.D. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (put) or sell (sell) a given quantity of an asset at a specified price at some time in the future.27. An investor believes that the price of a stock, say IBM's shares, will increase in the next 60 days. If the investor is correct, which combination of the following investment strategies will show a profit in all the choices?(i) - buy the stock and hold it for 60 days(ii) - buy a put option(iii) - sell (write) a call option(iv) - buy a call option(v) - sell (write) a put optionA. (i), (ii), and (iii)B. (i), (ii), and (iv)C. (i), (iv), and (v)D. (ii) and (iii)28. Most exchange traded currency optionsA. mature every month, with daily resettlement.B. have original maturities of 1, 2, and 3 years.C. have original maturities of 3, 6, 9, and 12 months.D. mature every month, without daily resettlement.29. The volume of OTC currency options trading isA. much smaller than that of organized-exchange currency option trading.B. much larger than that of organized-exchange currency option trading.C. larger, because the exchanges are only repackaging OTC options for their customers.D. none of the above30. In the CURRENCY TRADING section of The Wall Street Journal, the following appeared under the heading OPTIONS:Which combination of the following statements are true?(i)- The time values of the 68 May and 69 May put options are respectively .30 cents and .50 cents.(ii)- The 68 May put option has a lower time value (price) than the 69 May put option.(iii)- If everything else is kept constant, the spot price and the put premium are inversely related. (iv)- The time values of the 68 May and 69 May put options are, respectively, 1.63 cents and 0.83 cents.(v)- If everything else is kept constant, the strike price and the put premium are inversely related.A. (i), (ii), and (iii)B. (ii), (iii), and (iv)C. (iii) and (iv)D. ( iv) and (v)31. With currency futures options the underlying asset isA. foreign currency.B. a call or put option written on foreign currency.C. a futures contract on the foreign currency.D. none of the above32. Exercise of a currency futures option results inA. a long futures position for the call buyer or put writer.B. a short futures position for the call buyer or put writer.C. a long futures position for the put buyer or call writer.D. a short futures position for the call buyer or put buyer.33. A currency futures option amounts to a derivative on a derivative. Why would something like that exist?A. For some assets, the futures contract can have lower transactions costs and greater liquidity than the underlying asset. 标的资产B. Tax consequences matter as well, and for some users an option contract on a future is more tax efficient.C. Transactions costs and liquidity.D. All of the above34. The current spot exchange rate目前即期汇率is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consi der a three-month American call option on €62,500. For this option to be considered at-the-money, the strike price must beA.$1.60 = €1.00B.$1.55 = €1.00C. $1.55 ⨯ (1+i$)3/12= €1.00 ⨯ (1+i€)3/12D. none of the above35. The current spot exchange rate is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.50 = €1.00. Immediate exercise of this option will generate a profit ofA. $6,125B. $6,125/(1+i$)3/12C. negative profit, so exercise would not occurD. $3,12536. The current spot exchange rate is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.50 = €1.00. If you pay an option premium of $5,000 to buy this call, at what exchange rate will you break-even?A.$1.58 = €1.00B.$1.62 = €1.00C.$1.50 = €1.00D.$1.68 = €1.0037. Consider the graph of a call option shown at right. The option is a three-month American call option on €62,500 with a strike price of $1.50 = €1.00 and an option premium of $3,125. What are the values of A, B, and C, respectively?A. A = -$3,125 (or -$.05 depending on your scale); B = $1.50; C = $1.55B. A = -€3,750 (or -€.06 depend ing on your scale); B = $1.50; C = $1.55C. A = -$.05; B = $1.55; C = $1.60D. none of the above38. Which of the lines is a graph of the profit at maturity of writing a call option on €62,500 with a strike price of $1.20 = €1.00 and an option premium of $3,125?A. AB. BC. CD. D39. The current spot exchange rate is $1.55 = €1.00; the three-month U.S. dollar interest rate is 2%. Consider a three-month American call option on €62,500 with a strike price of $1.50 =€1.00. What is the least that this option should sell for?A. $0.05 62,500 = $3,125B. $3,125/1.02 = $3,063.73C. $0.00D. none of the above40. Which of the follow options strategies are consistent in their belief about the future behavior of the underlying asset price?A. Selling calls and selling putsB. Buying calls and buying putsC. Buying calls and selling putsD. None of the aboveTopic: American Option-Pricing Relationships41. American call and put premiumsA. should be at least as large as their intrinsic value. 内在价值B. should be at no larger than their moneyness.C. should be exactly equal to their time value.D. should be no larger than their speculative value.42. Which of the following is correct?A. Time value = intrinsic value + option premiumB. Intrinsic value = option premium + time valueC. Option premium = intrinsic value - time valueD. Option premium = intrinsic value + time value43. Which of the following is correct?A. European options can be exercised early.B. American options can be exercised early.C. Asian options can be exercised early.D. All of the above44. Assume that the dollar-euro spot rate is $1.28 and the six-month forward rateis . The six-month U.S. dollar rate is 5% and the Eurodollar rate is 4%. The minimum price that a six-month American call option with a striking price of $1.25 should sell for in a rational market isA. 0 centsB. 3.47 centsC. 3.55 centsD. 3 cents45. For European options, what of the effect of an increase in S t?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus46. For an American call option, A and B in the graph areA. time value and intrinsic value.B. intrinsic value and time value.C. in-the-money and out-of-the money.D. none of the above47. For European options, what of the effect of an increase in the strike price E?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus48. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in r$ relative to r€?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus49. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in r$?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribusTopic: European Option-Pricing Relationships50. For European currency options written on euro with a strike price in dollars, what of the effect of an increase r€?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus51. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in the exchange rate S($/€)?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus52. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in the exchange rate S(€/$)?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus53. The hedge ratioA. Is the size of the long (short) position the investor must have in the underlying asset per option the investor must write (buy) to have a risk-free offsetting investment that will result in the investor perfectly hedging the option.B.C. Is related to the number of options that an investor can write without unlimited loss while holding a certain amount of the underlying asset.D. All of the above54. Find the value of a call option written on €100 with a strike price of $1.00 = €1.00. In one period there are two possibilities: the exchange rate will move up by 15% or down by 15% (i.e. $1.15 = €1.00 or $0.85 = €1.00). The U.S. risk-free rate is 5% over the period. The risk-neutral probability of dollar depreciation is 2/3 and the risk-neutral probability of the dollar strengthening is 1/3.A. $9.5238B. $0.0952C. $0D. $3.174655. Use the binomial option pricing model to find the value of a call option on £10,000 with a strike price of €12,500.The current exchange rate is €1.50/£1.00 and in the next period the exchange rate can increase to €2.40/£ or decrease to €0.9375/€1.00 (i.e. u = 1.6 and d = 1/u = 0.625).The current interest rates are i€ = 3% and are i£ = 4%.Choose the answer closest to yours.A.€3,275B.€2,500C.€3,373D.€3,24356. Find the hedge ratio for a call option on £10,000 with a strike price of €12,500.The current exchange rate is €1.50/£1.00 and in the next period the exchange rate can increase to €2.40/£ or decrease to €0.9375/€1.00 (i.e. u = 1.6 and d = 1/u = 0.625).The current interest rates are i€ = 3% and are i£ = 4%.Choose the answer closest to yours.A. 5/9B. 8/13C. 2/3D. 3/8E. None of the above57. You have written a call option on £10,000 with a strike price of $20,000. The current exchange rate is $2.00/£1.00 and in the next period the exchange rate can increase to$4.00/£1.00 or decrease to $1.00/€1.00 (i.e. u = 2 and d = 1/u = 0. 5). The current interest rates are i$ = 3% and are i£ = 2%. Find the hedge ratio and use it to create a position in the underlying asset that will hedge your option position.A. Buy £10,000 today at $2.00/£1.00.B. Enter into a short position in a futures contract on £6,666.67.C. Lend the present value of £6,666.67 today at i£ = 2%.D. Enter into a long position in a futures contract on £6,666.67.E. Both c) and d) would workF. None of the above58. Draw the tree for a put option on $20,000 with a strike price of £10,000. The current exchange rate is £1.00 = $2.00 and in one period the dollar value of the pound will either double or be cut in half. The current interest rates are i$ = 3% and are i£ = 2%.A.B.C. None of the above59. Draw the tree for a call option on $20,000 with a strike price of £10,000. The current exchange rate is £1.00 = $2.00 and in one period the dollar value of the pound will either double or be cut in half. The current interest rates are i$ = 3% and are i£ = 2%.A.B.C. None of the above60. Find the hedge ratio for a put option on $15,000 with a strike price of €10,000. In one period the exchange rate (currently S($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e.u = 1.6 and d = 0.625).A. -15/49B. 5/13C. 3/2D. 15/4961. Find the hedge ratio for a put option on €10,000 with a strike price of $15,000. In one period the exchange rate (currently S($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625).A. -15/49B. 8/13C. -5/13D. 15/4962. Find the dollar value today of a 1-period at-the-money call option on €10,000. The spot exchange rate is €1.00 = $1.25. In the next period, the euro can increase in dollar value to $2.00 or fall to $1.00. The interest rate in dollars is i$ = 27.50%; the interest rate in euro is i€ = 2%.A. $3,308.82B. $0C. $3,294.12D. $4,218.7563. Suppose that you have written a call option on €10,000 with a strike price in dollars. Suppose further that the hedge ratio is ½. Which of the following would be an appropriate hedge for a short position in this call option?A.Buy €10,000 today at today's spot exchange rate.B.Buy €5,000 today at today's spot exchange rate.C.Agree to buy €5,000 at the maturity of the option at the forward exchange rate for the maturity of the option that prevails today (i.e., go long i n a forward contract on €5,000).D.Buy the present value of €5,000 discounted at i€ for the maturity of the option.E. Both c) and d) would work.F. None of the above64. Find the value of a one-year put option on $15,000 with a strike price of €10,000. I n one year the exchange rate (currently S0($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625). The current one-year interest rate in the U.S. is i$ = 4% and the current one-year interest rate in the euro zone is i€ = 4%.A.€1,525.52B. $3,328.40C. $4,992.60D.€2,218.94E. None of the above65. Find the value of a one-year call option on €10,000 with a strike price of $15,000. In one year the exchange rate (currently S0($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625). The current one-year interest rate in the U.S. is i$ = 4% and the current one-year interest rate in the euro zone is i€ = 4%.A.€1,525.52B. $3,328.40C. $4,992.60D.€2,218.94E. None of the above66. Consider a 1-year call option written on £10,000 with an exercise price of $2.00 = £1.00. The current exchange rate is $2.00 = £1.00; The U.S. risk-free rate is 5% over the period and the U.K. risk-free rate is also 5%. In the next year, the pound will either double in dollar terms or fall by half (i.e. u = 2 and d = ½). If you write 1 call option, what is the value today (in dollars) of the hedge portfolio?A. £6,666.67B. £6,349.21C. $12,698.41D. $20,000E. None of the above67. Value a 1-year call option written on £10,000 with an exercise price of $2.00 = £1.00. The spot exchange rate is $2.00 = £1.00; The U.S. risk-free rate is 5% and the U.K. risk-free rate is also 5%. In the next year, the pound will either double in dollar terms or fall by half (i.e. u = 2 and d = ½). Hint: H= ⅔.A. $6,349.21B.C.D. None of the aboveTopic: Binomial Option-Pricing Model68. Which of the following is correct?A. The value (in dollars) of a call option on £5,000 with a strike price of $10,000 is equal to the value (in dollars) of a put option on $10,000 with a strike price of £5,000 only when the spot exchange rate is $2 = £1.B. The value (in dollars) of a call option on £5,000 with a strike price of $10,000 is equal to the value (in dollars) of a put option on $10,000 with a strike price of £5,000.69. Find the input d1 of the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent.A.d1 = 0.103915B.d1 = 2.9871C.d1 = -0.0283D. none of the above70. Find the input d1 of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r$ = 5.5% and r¥ = 6%.A.d1 = 0.074246B.d1 = 0.005982C.d1 = $0.006137/¥D. None of the above71. The Black-Scholes option pricing formulaeA. are used widely in practice, especially by international banks in trading OTC options.B. are not widely used outside of the academic world.C. work well enough, but are not used in the real world because no one has the time to flog their calculator for five minutes on the trading floor.D. none of the above72. Find the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is10.7 percent.A.C e = $0.63577B.C e = $0.0998C.C e = $1.6331D. none of the aboveINSTRUCTOR NOTE: YOU WILL HAVE TO PROVIDE YOUR STUDENTS WITH A TABLE OF THE NORMAL DISTRIBUTION.。

{财务管理外汇汇率}外汇期货和期权

9月5日买进4份9月份的瑞士法郎期货价格：1瑞士法郎=0.7760美元价值：125000*4*0.7760=388000（美元）
损失：387597-398724=-11127（美元）
盈利：398500-388000=10500（美元）

练习
2009年1月26日，美国某出口商向日本进口商出口一批货物，2个月后装船交货并获得一笔外汇收入25000万日元，签约日美元与日元的即期汇率为：
最后交易日
意向首日
03/17 /08
06/16 /08
09/15 /08
12/15 /08
03/16 /09
06/15
/09
03/17 /08
06/16 /08
09/15 /08
12/15 /08
03/16 /09
06/15 /09
交割首日
03/19/08 06/18/08 09/17/08 12/17/08 03/18/09 06/17/09
通过期货空头交易，交易者可以降低因外汇现汇下跌而给所持有的外汇债权带来的风险。

例1 假设7月5日美国某公司出口了一批商品，2个月后收到500000瑞士法郎。为防止2个月后瑞士法郎贬值，公司决定利用瑞士法郎（每
份合约125000瑞士法郎）进行套期保值。瑞士法郎的即期汇率和期货
价格以及空头套期保值的操作见下表。
收盘
1.4734 1.4732 1.4741

（三）单份合约的外币数额
在IMM交易的不同外币币种的期货合约所规定的外币数额是不一样的。如表6-1所示，单份英镑期货合约规定的英镑数额为62500英镑，而单份加元期货合约规定的加元数额为100000加元。单份日元期货合约规定的日元数额为 12500000日元。如果一个交易者在IMM市场购买一份英镑期货合约，根据上面的最新喊价成交，意味着他如果不在该合约到期前对冲离场，那么，他在交割日就要支付92087.50美元，而获得62500英镑。相反，如果一个交易者在IMM市场卖出一份英镑期货合约，根据上面的最新喊价成交，意味着他如果不在该合约到期前对冲离场，那么，他在交割日就要支付62500英镑，而获得92087.50

第七章期权交易

第七章期权交易
第一节期权交易概述
一、产生与发展

金融期权交易是国际金融创新的一个很显著的方面，产生的时间很短。

1、产生的原因：
人们需要一种更灵Biblioteka 的防范外汇风险的避险工具。因为当人们对一笔交易能否实现及实现的时间、数量不确定时，远期或期货就不能满足其需要。于是期权交易应运而生，因为可以放弃。如：制造商在欧洲市场上分别用美元和欧元为其商品标价，他可以获得美元收入或欧元收入，由于其收入的货币不确定，签订的其他货币套期保值的合约可能不合算，但也无法放弃。

五、交易所对期权合约的规定见书P128

六、期权交易市场
（一）场外期权交易市场

1、非标准化 2、交易私下达成，大额交易不会成为“噪音” 3、电话联系期权费私下协商 4、没有二手市场。中止的方式：到期中止；协商中止；对冲 5、参与者：银行、金融机构、政府部门、投资公司、大型非金融公司、富人

（二）场内期权交易市场
交易所规章制度标准化
七、期权费及影响因素
（一）期权费亦称权利金，是期权买方为获得买卖商品或金融工具的选择权利而支付给卖方的费用代价。一般由买方在确立期权交易时付给卖方。（二）影响（决定）因素 1、货币汇率的波动性。较稳定的货币期权费低 2、期权合约的到期时间。时间越长，期权费越高 3、协议日与到期日的差价（即约定价与市场价的差价）协议日价<到期日价买权费高，卖权费低 4、期权供求关系供>求费低供<求费高

（三）功能
1、投资组合风险管理 3、金融杠杆 2、风险转移 4、获得收益

第七章《外汇期货交易概念和外汇期货交易策略》详解课件

第七章外汇期货交易
第二节外汇期货交易策略
一、外汇期货与一般远期外汇交易的异同点
（一）、相同点 1、交易客体都是外汇 2、交易原理相同 3、交易目的相同 4、交易的经济功能相似
第二节外汇期货交易策略
（二）、不同点
2、交易者不同 3、标的物不同 4、交易方式不同 5、交易场所不同 6、保证金和佣金的制度不同 7、交易的结算制度不同 8、交割方式不同 9、交割期不同
第二节外汇期货交易策略
2、空头套期保值（Short Hedge）
空头套期保值指在期货市场上先卖出某种货币期货，然后买进该种货币期货，以抵消现汇汇率下跌而给持有的外汇债权带来的风险。当你将处于某种外汇的多头地位时，应当作空头套期保值（即在期货市场上作空）。例：见教材P168例。
<一>、标准化的外汇合约合约的币种、数量、货币的价格波动幅度、交割日期、交割月份、交割地点都是标准化的，汇率是唯一的变量。 <二>、特殊的交易方式外汇期货交易只能在期货交易所内通过公开竞价进行 <三>、外汇期货交易是以美圆作为报价货币进行报价的例：ＧＢＰ１＝ＵＳＤ１.５１５２ＣＨＦ１＝ＵＳＤ０.６２６５ <四>、保证金制度初始保证金、可变保证金、维持保证金 <五>、每日结算制度 <六>、期货交易所实行限价制度
（2）做空头
投机者预测某种货币汇率将下跌时，先卖出该货币的期货合约，然后再买进该种货币的期货合约。例：见教材P169例。
第二节外汇期货交易策略
2、外汇期货套利
跨月套利跨市场套利跨币种套利
第二节外汇期货交易策略
（1）跨月套利投资者买进某一交割月份外汇期货合约的同时，卖出另一交易月份的同种期货合约，利用相同币种但交割月份不同的期货合约在某一交易所的价格差异套期图利。例：见教材P170例。

外汇期货与期权交易

二、期货市场的结构
买方卖方
佣金商 (非交易所会员)
场内经纪人 (非清算所会员)
佣金商 (交易所会员)
场内经纪人 (清算所会员)
佣金商 (交易所会员)
场内经纪人 (清算所会员)
佣金商 (非交易所会员)
场内经纪人 (非清算所会员)
(买方) (卖方) (卖方) (买方)
清
算
所
三、外汇期货市场的主要特点
买入对冲

例：某年6月份，美国一进口商预期3个月后支付货款DM500,000，现汇市场汇率DM1＝＄ 0.50000
时期 6月份现汇市场外汇期货市场市场行情：DM1＝＄0.5000。已期货行情：DM1＝＄0.5200。购入4份知9月份将需购入DM500,000， 9月到期的期货合同。此时成本为＄250,000＝ 0.5000×500,000，担心DM 升值期货行情：DM1=0.7100。卖出4份9月市场行情：DM1=＄0.7000。买入DM500,000，需支付成本＄到期的DM期货合同，冲抵原有期货头 350,000＝0.7000×500,000。寸。相对6月份的成本，9月份的亏损冲抵后盈利为 (0.7100为(0.5000-0.7000)×500,000＝-＄ 0.5200)×5000,000=＄95,000 100,000。 -＄100,000＋＄95,000＝－＄5,000
第11讲外汇期货与期权交易
本讲概要与学习目标
本讲主要讲述外汇期货交易与期权交易的基本原理及其运用。通过本讲内容的学习，同学们需要掌握以下内容：了解外汇期货交易的概况，掌握外汇期货交易的作用。了解外汇期权交易的内容，着重了解期权交易的作用。
第一节外汇期货交易

外汇交易复习

第一章外汇和外汇市场广义的外汇：是指以外币表示的可以用作国际清偿的支付手段和资产。

包括1.外国货币：纸币、铸币2.外币支付凭证：票据，银行存款凭证，邮政储蓄凭证3.外币有价证券：政府证券，公司证券，股票4.特别提款权，欧洲货币单位外币的种类：1能否自由兑换：自由外汇，记账外汇2来源和用途：贸易外汇，非贸易外汇3资金实际交付的时间：即期外汇，远期外汇外汇市场参与者：中央银行外汇银行外汇交易员和自营商外汇经纪人外汇的最终需求者和供给者世界主要外汇市场：伦敦，纽约，巴黎，东京，法兰克福，瑞士，新加坡，中国香港第二章：外汇交易产生的原因：为贸易结算而进行的外汇交易为对外投资而进行的外汇交易为外汇保值而进行的外汇交易外汇筹资、借贷和还贷的外汇交易金融投机需要外汇交易因外币存款的需要而进行的外汇交易外汇交易规则：使用统一的标价方法采取以美元为中心的报价方法报价时力求精简交易单位为100万美元客户询价后，银行应有义务报价交易术语规范化交易双方遵守“一言为定”的原则第三章：全球两大电子即时外汇汇率报价系统Reuters （路透系统）和Bridge （桥讯）,显示的外汇汇率报价就是即期汇率即期交易的交割日：标准交割日：T+2隔日叫个：T+1当日交割：T+0即期外汇交易中，报价的最小的单位，市场称基本点，是标价货币最小价格单位的1%，人民币的最小单位是1%元。

除英镑，爱尔兰镑，澳大利亚元和新西兰元单位的汇率报价是采用间接报价法以外，其他可兑换货币的汇率报价均采用直接报价法表示。

汇率的换算：Example1（交叉相除）已知USD1=CHF1.4580/90USD1=CAD1.7320/30求：CHF1=CAD?CHF CAD =4590.17320.1/4580.17330.1=1.1871/1.1886Example2（交叉相乘）已知GBP1=USD1.6550/60USD1=CAD1.7320/30求：GBP1=CAD?CBP CAD =1.7320*1.6550/1.7330*1.6560=2.8665/2.8698 即期外汇交易是指交易双方成交签约后的在两个银行营业日内办理交割的外汇买卖。

外汇期货与期权交易

国际金融与结算实务第二部分市场篇(上)——交易篇6 外汇期货与期权交易国际金融与结算实务能力目标1.能够区分外汇期货与期汇、外汇期货与期权交易；2.能够通过外汇期货或期权交易进行涉外交易项目中的套期保值和投机获取利润的操作；3.能够进行外汇期货和期权交易的实践操作.知识目标1.了解外汇期货与期权交易的内涵和特征；2.明确外汇期货市场的构成与外汇期权交易的类型；3.理解外汇期货与期权交易的程序。

国际金融与结算实务6.1 外汇期货交易6.2 外汇期权交易6.3实操锻炼目录国际金融与结算实务导入实例1.2009年2月26日，美国某出口商预计三个月后需收入英镑62．5万，为了防止将来英镑汇率下跌造成损失，出口商应如何运用期货套期保值交易以防范风险？国际金融与结算实务2.2009年2月26日，我国某进口公司预计三个月后要支付5万美元贷款，现有的外汇是日元，即期汇价是：USD 1 = JPY 96.18若日元升值，该公司可直接在三个月后的即期市场上买入美元；若日元贬值，该公司没有保值措施就会蒙受损失，该公司可以用那些方法规避这个风险？若决定购买一笔看涨期权，金额为5万美元，协定价格为：USD 1 = JPY 96.18到期日为5月26日，期权费为：USD 1 = JPY 0.5000情况一，若期权到期时的即期汇率为：USD 1 = JPY 96.18该公司该怎么做？损益情况如何？情况二，若期权到期时的即期汇率为：USD 1 = JPY 96.50该公司该怎么做？损益情况如何？情况三，若期权到期时的即期汇率为：USD 1 = JPY 96.05该公司该怎么做？损益情况如何？国际金融与结算实务6.1 外汇期货交易6.1.1外汇期货交易的内涵外汇期货也称货币期货，是金融期货交易的一种，是指期货交易者在固定场所内根据规定的交易币种、合约金额、交割时间等标准化的原则买进或卖出远期外汇，再在约定的时间，按约定的币种、价格、数量等进行交割或对冲的一种外汇交易。

期货从业资格考试复习资料7.第七章-外汇衍生品

第七章外汇衍生品第一节外汇远期一、汇率的标价1.直接标价法直接标价法是指以本币表示外币的价格，即以一定单位（1、100或1 000个单位）的外国货币作为标准，折算为一定数额本国货币的标价方法。

2.间接标价法间接标价法是以外币表示本币的价格，即以一定单位（1、100或 1 000个单位）的本国货币作为标准，折算为一定数额外国货币6605方法。

3.美元标价法除了直接标价法和间接标价法之外，还有美元标价法。

在美元标价法下，各国均以一定单位的美元为标准来计算应该汇兑多少他国货币，而非美元外汇买卖时，则是根据各自对美元的比率套算出买卖双方货币的汇价。

4.点值在外汇交易中，某种货币标价变动一个“点”的价值称为点值，是汇率变动的最小单位。

二、远期汇率与升贴水1.即期汇率与远期汇率外汇现汇交易中使用的汇率是即期汇率，即交易双方在交易后两个营业日以内办理交割所使用的汇率，而外汇远期交易中使用的汇率是远期汇率，即交易双方事先约定的，在未来一定日期进行外汇交割的汇率。

2.升贴水一种货币的远期汇率高于即期汇率称之为升水，又称远期升水。

相反，一种货币的远期汇率低于即期汇率称之为贴水，又称远期贴水。

如果用百分比表示，则更能清晰地反映出两种货币升水或贴水的程度，其计算公式为：升（贴）水=（远期汇率-即期汇率）/即期汇率×（12/月数）三、外汇远期交易（一）外汇远期交易的概念外汇远期交易指交易双方以约定的币种金额汇率，在未来某一约定的日期交割的外汇交易。

（二）外汇远期交易通常应用1.进出口商通过锁定外汇远期汇率以规避汇率风险2.短期投资者或外汇债务承担者通过外汇远期交易规避汇率风险第二节外汇期货一、外汇期货套期保值外汇期货套期保值可分为卖出套期保值、买入套期保值和交叉套期保值。

1.卖出套期保值（1）概念外汇期货卖出套期保值（Short Hedging），又称外汇期货空头套期保值，是指在现汇市场上处于多头地位的交易者为防止汇率下跌，在外汇期货市场上卖出期货合约对冲现货的价格风险。

第七章外汇期货和期权PPT课件

0
E
ST
ST E ST – E
E
ST
ST E 时，A、 B两种方式都得到 ST
ST E 时，投资组
合A的收益（E）大于B（ ST ）
27
欧式期权定价关系
如此，可以得到，投资组合A的价格至少和B一样高则：

同理也可得到看跌期权的定价：

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二项式期权定价模型
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逐日结算
保证金：如果投资者的账户余额低于维持保证金水平，就必须存入相应金额使得账户余额达到初始保证金水平，否则他的账户将被强行平仓。
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逐日结算
期货合约：
前三天期货合约的结算价、投资者的利得及账户余额如下
日期 1 2 3
结算价 $1.31 $1.30 $1.27
利得 $1,250 –$1,250 –$3,750
账户余额 $ 7750 $6,500 $2750
第三天，投资者若想保住其账户头寸，需再存入
$3,750
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逐日结算
接下来两天，情况如下：
日期 1 2 3 4 5
结算价 $1.31 $1.30 $1.27 $1.26 $1.24
利得 $1,250 –$1,250 –$3,750 –$1,250 –$2,500
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期权到期时的基本定价关系
期权到期时的价格若在价内，则
获利ST – E。
若在价外，则净损失c0
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期权到期时的基本定价关系
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国际金融-掉期交易、期货、期权

买卖双方的合同和责任关系不同
买卖双方均与清算所有合同责任关系，而双方无直接合同责任关系
买卖双方签有合同，具有合同责任关系
foreign exchange future
*
不同点
外汇期货
远期外汇
是否收取手续费不同
每一标准合同，清算所收一定的手续费。
银行不收手续费
是否直接成交与收取佣金不同
是否交存保证金不同
须交存保证金，清算所实行每日无债结算制，按收市结算价对每笔交易的多头方和空头方盈亏结算，保证金多退少补，形成现金流.
远期外汇交易在合同到期交割前无现金流，双方仅负履约责任.
是否需要了解对方的资信不同
双方无须了解对方资信情况，只要交足保证金，信用风险由清算所承担。
双方（尤其是银行对一般客户），在开始交易前须作资信调查，自行承担信用风险。
虽有部分通过经纪人牵线而成，但最终是由交易各方通过电话.电传和电脑直接商谈成交的。
报价内容不同
买方或卖方只报出一种价格，买方报买价，卖方报卖价。
双向报价，既报买价也报卖价
*
外汇期货
不同点
远期外汇
有无统一的标准化规定不同
对交易的货币.合同面额和交割日期都有统一的标准
对货币交易量和到期交割日都可议定
Foreign Exchange Option
*
期权业务下的保险费不能收回；期权业务保险费费率不固定；外汇期权是一种选择的权利，而不是义务。
02
外汇期权的特点
01
三、外汇期权类型
外汇期权
看涨期权看跌期权
按期权性质
按行使期权时间分
欧式期权美式期权
Foreign Exchange Option

第七章外汇期货与外汇期权

04 外汇期货投资策略及风险管理
CHAPTER
套期保值策略
买入套期保值
当投资者预期未来外汇汇率将上涨时，可以在期货市场买入相应数量的外汇期货合约，以锁定未来的购汇成本。
卖出套期保值
当投资者持有外汇资产并预期未来汇率将下跌时，可以在期货市场卖出相应数量的外汇期货合约，以规避汇率下跌带来的损失。
第七章外汇期货与外汇期权
目录
CONTENTS
• 外汇期货概述 • 外汇期权概述 • 外汇期货与外汇期权比较 • 外汇期货投资策略及风险管理 • 外汇期权投资策略及风险管理 • 跨境资本流动下的外汇衍生品市场机遇与挑战
01 外汇期货概述
CHAPTER
定义与功能
定义
外汇期货是一种金融衍生品，其标的物为外汇汇率。买卖双方通过签订标准化合约，约定在未来某个特定日期以特定汇率进行交割。
风险逆转组合
买入看跌期权并卖出看涨期权，或相反操作，适用于对汇率走势有一定预测但不确定的情况。通过调整买卖期权的行权价格和到期时间，可以构建不同的风险逆转组合策略。
宽跨式组合
买入较高行权价格的看涨期权和卖出较低行权价格的看跌期权，适用于预期汇率波动幅度较大的情况。
评估与调整
定期评估组合策略的表现并根据市场变化及时调整策略参数，以确保策略的有效性。
05 外汇期权投资策略及风险管理
CHAPTER
买入看涨或看跌期权策略
预期汇率上涨
01
买入看涨期权，获得以固定价格购买外汇的权利，从而从汇率
上涨中获利。
预期汇率下跌

买入看跌期权，获得以固定价格出售外汇的权利，从而从汇率
下跌中获利。
风险与收益评估
03

金融工程习题及答案

《金融工程学》思考与练习题第一章金融工程概述1.金融工程的含义是什么？2.金融工程中的市场如何分类？3.金融工程中的无套利分析方法？举例说明。

4.金融工程中的组合分解技术的含义是什么？举例说明。

5.远期利率与即期利率的关系如何确定。

推导远期利率与即期利率的关系。

6.假定在外汇市场和货币市场有如下行情，分析市场是否存在套利机会。

如何套利？如何消除套利？货币市场外汇市场美元利率20% 即期汇率1美元=2马克马克利率10% 1年远期汇率1美元=2.1马克第二章现货工具及其应用1.举例说明商品市场与货币市场如何配置？2.商品市场与外汇市场的现货工具如何配置？举例说明。

3.举一个同一个金融市场中现货工具配置的例子。

4.举例说明多重现货市场之间的工具配置。

第三章远期工具及其应用1.什么是远期交易？远期交易的基本要素有哪些？2.多头与空头交易策略的含义是什么？3.什么是远期利率？4.举例说明“借入长期，贷出短期”与“借入短期，贷出长期”策略的含义。

5.何谓远期利率协议？其主要功能是什么？描述其交易时间流程。

6.在远期利率协议的结算中，利率上涨或下跌对借款方和贷款方的影响如何？7.什么情况下利用购入远期利率协议进行保值？什么情况下利用卖出远期利率协议进行保值？8.远期合约的价格与远期价格的含义是什么？如果远期价格偏高或偏低，市场会出现什么情况？9.远期价格和未来即期价格的关系是什么？10.在下列三种情况下如何计算远期价格？11.合约期间无现金流的投资类资产12.合约期间有固定现金流的投资类资产13.合约期间按固定收益率发生现金流的投资类资产14.一客户要求银行提供500万元的贷款，期限半年，并且从第6个月之后开始执行，该客户要求银行确定这笔贷款的固定利率，银行应如何操作？目前银行的4月期贷款利率为9.50%，12月期贷款利率为9.80%。

15.假设某投资者现在以20美元的现价购买某只股票，同时签订一个半年后出售该股票的远期合约，在该期间不分红利，试确定该远期合约的价格。

外汇期货和期权市场课件

思考与讨论
• 试比较远期外汇市场和外汇期货市场各自的特点，并分析其优缺点。
• 中国目前是否有必要发展远期外汇市场和外汇期货市场？发展的时机是否成熟？目前的现状如何？
• 进一步学习（外汇）期权市场的有关理论知识，并了解一下外汇期权市场在世界范围内的发展情况。
16
•
竹笋虽然柔嫩，但它不怕重压，敢于奋斗敢于冒尖。。20. 8.520.8. 5Wednesday, August 05, 2020
– 买入期权，call option，又叫看涨期权，其买方有权在未来的一定时间内按约定的汇率向期权的卖方买进约定数额的某种外汇
– 卖出期权，put option，又叫看跌期权，其买方有权在未来的一定时间内按约定的汇率向期权的卖方卖出约定数额的某种外汇
10
外汇期权市场
• 美式期权和欧式期权
– 美式期权是指期权的买方可以在合约到期日之前的任何一天行使选择是否履约的权利
12
外汇期权市场
• 外汇期权的价格
– 影响期权价格的主要因素
• 期权期限的长短 • 市场即期汇率与期权合同中约定的执行价格之间
的差别 • 汇率的预期波动程度
13
外汇期权市场
• 外汇期权的作用
– 买方具有较大的灵活性和选择性，既为国际企业提供了外汇保值的方法，又为国际企业提供了从汇率变动中获利的机会
– 该市场有严格的组织管理，只有会员才能进入交易所进行交易，非会员必须委托会员买卖，并缴纳交易费和/或经纪人佣金
– 外汇期货合约是标准化的，合约都是以各种货币的一定金额作为订约单位，期货交易按订约单位或其整数倍进行，并且交割日期、交割地点也由交易所统一规定，唯一不确定的是成交价格

第7章必讲外汇期货与外汇期权

INTERNATIONAL FINANCIAL MANAGEMENT
7-0
Futures and Options on Foreign Exchange
Chapter Objective:
This chapter discusses exchange-traded currency futures contracts(交易所交易的货币期货合约), options Fourth Edition contracts, and options on currency futures.
7-5
Futures Contracts: Preliminaries

Standardizing Features:

Contract Size （合约规模) Delivery Month (交割月份) Daily resettlement

Initial performance bond（Initial margin，初始履约保证金）and Maintenance performance bond (Maintenance margin，维持保证金，about 2 percent of
7-3
Chapter Outline (continued)

Basic Option Pricing Relationships at Expiry（期权到期时的基本定价关系） American Option Pricing Relationships European Option Pricing Relationships Binomial Option Pricing Model European Option Pricing Model Empirical Tests（实证检验） of Currency Option Models

国际金融学分章习题作业(中文)

第一章国际收支与国际收支平衡表一、选择题1、在下列经济主体中，哪些属于国际收支活动的非居民（）。

A、外交官B、驻外军事人员C、世界银行D、旅游者2、下列几项中属于国际收支经常项目的是（）。

A、经常转移B、货物C、服务D、投资收益3、如果在国际收支平衡表中，储备资产项目余额为380亿美元，则表示该国（）。

A、增加了380亿美元的储备资产B、减少了380亿美元的储备资产C、该年的储备资产余额为380亿美元D、人为制造的账面平衡4、下列项目应记入贷方的是（）。

A、反映进口实际资源的经常项目B、反映出口实际资源的经常项目C、反映资产增加或负债减少的金融项目D、反映资产减少或负债增加的金融项目5、下列哪些内容不列入国际收支平衡表的资本和金融项目（）。

A、某中国公司海外分公司汇回股息收益B、HP公司在中国建立分公司C、宝钢购买秘鲁的铁矿D、中国红十字会捐助印尼地震200万美元6、官方储备资产包括（）。

A、外汇资产B、黄金C、在IMF的储备头寸D、SDRs7、一国国际收支的综合差额为顺差，则该国（）。

A、外汇储备减少B、外汇储备增加C 官方短期债权增加 D、官方短期债权减少8、下列关于国际收支的描述正确的是（）A、流量概念B、时点数C、时期数D、事后的9、在一国的国际收支平衡表上该国对外证券投资记( )号，对外证券投资收益记（）号。

A、+，+B、+，－C、－，+D、―，―10、国际收支反映的内容是（）A、与国外的现金交易B、与国外的金融资产交易C、全部对外经济交易D、一国的外汇收支11、广义的国际收支记录的是一个国家在一定时期内居民与非居民之间所有的( )。

A．外贸收支 B．外汇收支 C．经济交易 D．国际交易12、在我国的国际收支平衡表中，各种实务和资产的往来均以（）作为计算单位。

A、人民币B、美元C、欧元D、英磅第二章国际收支失衡及其理论一、选择题1、马歇尔－勒纳条件是指只有当（）条件满足时，货币贬值才能解决国际收支逆差问题。

《外汇交易原理与实务》课后习题参考答案

《外汇交易与实务》习题参考答案——基本训练+观念应用（注：以下蓝色表示删减，粉红色表示添加）第一章外汇与外汇市场一、填空题1、汇兑2、即期外汇远期外汇3、比价4、间接标价法5、国际清偿6、外币性普遍接受性可自由兑换性7、国家或地区货币单位8、外汇市场的4个参与者：外汇银行、经纪人、一般客户、中央银行。

(原8、9、10删除)二、判断题1、F2、T3、F4、T5、T6、T7、F8、F案例分析：太顺公司是我国一家生产向美国出口旅游鞋的厂家，其出口产品的人民币底价原来为每箱5500元，按照原来市场汇率USDI=RMB6.56，公司对外报价每箱为838.41美元。

但是由于外汇市场供求变动，美元开始贬值，美元对人民币汇率变为USDl=RMB6.46，此时太顺公司若仍按原来的美元价格报价，其最终的人民币收入势必减少。

因此，公司经理决定提高每箱旅游鞋的美元定价，以保证最终收入。

问：太顺公司要把美元价格提高到多少，才能保证其人民币收入不受损失？若公司为了保持在国际市场上的竞争力而维持美元价格不变，则在最终结汇时，公司每箱旅游鞋要承担多少人民币损失？解答：⑴为保证人民币收入不受损失，美元价格需提高至：5500/6.46≈851.39（USD）⑵如维持美元价格不变，公司需承担人民币损失为：5500-838.41*6.46=5500-5425.12 ≈83.87（CNY）第二章外汇交易原理二、填空1、汇率交割日货币之间2、高3、大4、止损位5、买入价卖出价6、大高7、多头8、空头9、售汇10、低9、外汇交易双方必须恪守信用，遵循“一言为定”的原则，无论通过电话或电传，交易一经达成就不得反悔。

三、单项选择1、A2、C3、D4、B5、C6、A7、B8、D9、C 10、D四、多项选择1、ABCD2、BD3、ABCD4、ABCD5、AC五、判断题1、T2、F3、T4、F5、T案例分析与计算1.下列为甲、乙、丙三家银行的报价，就每一个汇率的报价而言，若询价者要购买美元，哪报价有竞争力的是丙、丙、丙、丙、乙丙、乙2.市场USD/JPY= 101.45/50，现：A行持美元多头，或市场超买，该行预卖出美元头寸，应如何报价？并说明理由。

外汇期权和期货交易共74页

外汇期货交易（Foreign Exchange Future Transaction), 亦称外币期货交易（Foreign Currency Future Transaction),是指在有形的交易市场，通过结算所的下属成员清算公司或经纪人，根据成交单位，交割时间标准化的原则，按约定价格购买与出售远期外汇的一种业务。
每天的清算结果如下：
星期一收盘时：(1.79 —1.77)X 62 500＝1250($)，投资者赢利；
星期二收盘时：(1.80—1.79)X62 500＝625($)，投资者赢利；
星期三合同到期时：(1.796—1.80)X62 500＝一250($)，投资者亏损。
投资者投资的这份期货合同最终赢利：1250 十 625— 250＝1625($)；
(3)交割月份。交割月份是指期货交易所规定的期货合约的到期月份，大多数期货交易所一般都以3月、6月、9 月、12月作为交割月份。
(4)交割日期。交割日期是指进行期货合约实际交割的日期，即具体为交割月份的某一天，不同的交易所有不同的规定。
（5）价格波动。在外汇期货交易中，每种货币期货合约都规定有价格变动的最低限度和日价格波动的最高限度。
方法一：使用远期外汇合同进行套期保值。卖出3个月远期日元，合同金额2500万日元，3个月后，以到期的汇票交割3个月远期日元。若日元升值，远期交易将减少收益；若日元贬值，远期交易则可避免损失。
方法二：使用外汇期货合同进行套期保值。预期日元贬值，则先卖后买。因为日元期货合约的合同规模为1250万日元，需日元期货合约2500／1250＝2份。交易过程如下表所示。
CAD100000
报价方法
美分/英镑
美分/马克
美分/瑞士法郎

第七章外汇期货《金融工程学》PPT课件

7.1 外汇期货概述
➢ 3）外汇期货合约应用
➢ 现在时间为某年3月1日，假设美国一个出口商与德国厂商签订合约，出口价值1亿欧元的商品，3个月后结售汇，为防范汇率波动风险，美国出口商做外汇期货交易套期保值。
➢ 3月1日欧元期货价格为EUR1=USD1.1980 ➢ 3个月后，6月1日欧元期货价格为EUR1=USD1.1610 ➢ 此时，即期汇价为EUR1=USD1.1580／90 ➢ 问美国出口商实际收入多少美元？ ➢ 如果3月1日，3个月期欧元兑美元远期价格为1.1910／20，那么该出
➢ 和外汇远期市场一样，外汇期货也根据利率平价理论定价。这表明有着同等风险和期限的证券在价格上的差异量与两国利率之差正好相等而方向相反
7.2 外汇期货定价
1）影响期货汇率波动的主要因素 ➢ （1）利率
➢ 利率作为一国信贷状况的基本反映，对汇率波动能起到决定性的作用；一般而言，一国利率提高，将导致该国信贷紧缩，货币升值；反之，则导致该国货币贬值
7.3 外汇期货的应用
7.3.2风险的处理
➢ 1）风险头寸的处理
➢ （1）忽略风险暴露
一个投资者可能会意识到与一种非美国证券相关的外汇交易风险，但是却认为这种风险是全球投资活动的自然现象。
➢ （2）降低或者消除风险头寸
这种选择是抛出外国证券，或者减少你持有这种风险头寸的规模
➢ （3）对风险头寸进行套期保值
7.1 外汇期货概述
➢ 2）外汇期货合约规格 ➢ （4）最小价格波动幅度
➢ 国际货币市场对每一种外汇期货报价的最小变动幅度做了规定，在交易场内，经纪人所做的出价或叫价只能是最小变动幅度的倍数
➢ （5）每日涨跌停板
➢ 每日涨跌停板是一项期货合约价格在一天之内比前一个营业日的结算价格高出或低过的最大波动幅度

《国际金融学》课件-7 外汇期货与期权交易共43页PPT资料

履约保证
保证金制度交易佣金
结算机构即保证人，双方交易可不考没有结算机构，必须考虑对方信
虑对方的信用度
用
必须缴纳保证金
一般无
有
无（除通过外汇经纪人交易的外）
结算方式
由结算机构负责，规定时间
交易参与者目的套期保值、投机 2交01易9/武8监/3汉管理工大学经济学院政金府融机学构系统一监管
双方约定结算方式和时间
上午7：20～下午2：00
保证金
I：2800，M：2000
武汉理工大学经济学院金融学系 2019/8/3
copyright 沈蕾
88
1.2 外汇期货交易的基本规则
订单或指令制度
公开叫价制度保证金制度逐日盯市制度
原始保证金（initial margin）维持保证金（maintenance margin) 变动保证金（variation margin )
copyright 沈蕾
77
1.1 外汇期货交易的基本特征——标准化合约
IMM 3个月英镑外汇期货交易合约
交易单位
62,500英镑
交割月份
3月、6月、9月、12月
交割日
交割月份的第三个星期三
最后交易日
交割日前两个交易日
报价最小变动价位
美元/英镑 0.0002(英镑)
最小变动值
12.5美元
交割时间
实际交付(套期保值、投机)
copyrigh交t 沈易蕾双方自我管理
11 11
1.3 远期外汇交易与外汇期货交易的比较—联系
交易客体完全相同——外汇
交易原理相同
－为防止或转移汇率风险，达到套期保值或投机获利的目的
经济作用一致

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