chapter5期货工具--6
金融学框架
商业银行业务：
负债业务
活期（支票存款，无息） 吸收存款 定期
储蓄 再贴现
中央银行借款 抵押贷款 同业拆借 其他 国际货币市场借款 结算中占用 发行债券
资产业务
贴现（注意计算方法）
贷款
中间业务
证券投资
(无风险业务)
租赁业务
汇兑 信用证 代收 代客买卖 承兑
传统业务
第7页
431 金融学综合
表外业务
四大衍生工具（FFOS） 票据发行便利 贷款承诺 备用信用证
资产 国外资产 贴现+放款 政府债券+财政借款 外汇+黄金储备 其他资产
中央银行资产负债表
负债+资本 流通中通货 金融机构存款 国库及公共机构存款 对外负债 其他负债
资本
第9页
431 金融学综合
中央银行对政府的相对独立性： 独立性：①与政府的地位、目标不同 ②需专业知识和经验
这种独立性又是相对的：①应服从国家根本利益 ②需要财政政策配合 ③活动由国家授权
综合公式：均衡汇率 r=h(Yd,Yf,Pd,Pf,id,if,re) 即两国货币的均衡汇率与两国的
第3页
431 金融学综合
（收入 Y，价格水平 P，利率 i）以及市场对未来汇率预期 re 有关
③ G.加瑟尔 购买力平价（PPP） 分为 绝对购买力平价 和 相对购买力平价
PA：A 国价格水平 PA1:A 国现期价格水平 PA0：A 国基期价格水平 r0:基期汇率 r1：现期汇率
II.半强式有效（历史和公开信息无效） III．强式有效（历史、公开和内幕信息都
无效）
行为金融学对有效市场假说的质疑：①有限理性 ②有限控制力 ③有限自利
Chapter 8 金融中介
货币金融学米什金版本名词一览表
Chapter 1 Why Study Money, Banking, and Financial Markets? 第一章：为什么要研究货币、银行与金融市场1.aggregate income 总收入2.aggregate output 总产出3.aggregate price level 物价总水平4.budget deficit 预算赤字5.GDP 国内生产总值6.unemployment rate 失业率Chapter 2An Overview of the Financial System第二章：金融体系概览1.asset transformation 资产转化2.adverse selection 逆向选择3.asymmetric information 信息不对称4.Eurobond 欧洲债券5.financial panic 金融恐慌6.foreign bonds 外国债券7.liquid 流动性8.economic of scale 规模经济9.primary market 一级市场10.s econdary market 二级市场11.t ransaction costs 交易成本Chapter 3 What Is Money?第三章：什么是货币？modity money 商品货币2.currency 通货3．M14. M25. Fiat money 不兑现货币6. hyperinflation 恶性通货膨胀7. E-cash 电子现金8. M 3Chapter 4 Understanding Interest Rates第四章：理解利率1.real interest rate 实际利率2.coupon bond 息票债券3.indexed bond 指数化债券4.coupon rate 息票利率5.current yield 当期收益率6.yield on a discount basis 贴现基础上的收益率7.present value现值8.discount bond （zero-coupon bond）贴现发行债券（零息债券）9.rate of capital gain资本利得率10.yield to maturity 到期收益率Chapter 5 the behavior of interest rates第五章：利率行为1. opportunity cost 机会成本2. demand curve 需求曲线3. liquidity preference framework 流动性偏好理论4. loanable funds 可贷资金5. loanable funds framework 可贷资金理论6. Fisher effects 费雪效应Chapter 6 the Risk and Term Structure of Interest Rates第6章利率的风险结构与期限结构1. inverted yield curve 翻转的收益率曲线2. junk bonds 垃圾债券3.liquidity premium theory 流动性溢价理论4.preferred habitat theory 期限优先理论5.risk premium 风险溢价6.segmented markets theory 分割市场理论7.yield curve 收益率曲线8.terms structure of interest rates 利率期限结构Chapter 7The Stock Market, the Theory of Rational Expectations, and the efficient Market Hypothesis第7章股票市场、理性预期理论与有效市场假定1. adaptive expectations 适应性预期2. bubble 泡沫3. efficient markets 有效市场4. rational expectations 理性预期5. residual claimant 剩余索取权6. markets fundamentals 市场基本面Chapter 8An Economic Analysis of Financial Structure第8章金融结构的经济学分析1. agency theory 代理理论2. pecking order hypothesis 啄食顺序假定3. debt deflation 债务萎缩4.free-rider problem 免费搭车问题5. incentive-compatible 激励相容6. net worth(equity capital) 净值（权益资本）Chapter 9Banking and the Management of Financial Institutions第9章银行业与金融机构的管理1. compensating balance 补偿性余额2. discount loans 贴现贷款3. discount rates 贴现率4. duration 久期5. excess reserves 超额准备金6. gap analysis 缺口分析7. off-balance-sheet activities 表外业务8. required reserved ratio 法定准备金率9. ROA （return on assets）资产回报率10. ROE （return on equity）股权回报率11. secondary reserves 二级准备金12. vault cash 库存现金Chapter 10 Banking Industry: Structure and Competition 第10章银行业：结构和竞争1. disintermediation 脱媒2. dual banking system 双重银行体制3. economies of scope 范围经济4. financial derivatives 金融衍生工具5. future 期货6. hedge 对冲7. securitization 证券化Chapter 11Economic Analysis of Financial Regulation 第11章银行监管的经济学分析1.leverage ratio 杠杆比例2.leverage ratio 杠杆比例3.regulatory forbearance 监管宽容4.Basel Accord 巴塞尔协议Chapter 12Nonblank Finance第12章非银行金融机构1.annuity 年金2.closed-end fund 封闭式基金3.fully funded 足额基金4.hedge fund 对冲基金5.open-end fund 开放式基金6.load funds 付佣金基金Chapter 13 Financial Derivatives第13章衍生金融工具1.American option 美式期权2.arbitrage 套利3.call option 看涨期权4.currency swap 货币互换5.strike price or exercise price 执行价格6.forward contract 远期合约7.interest-rate swap 利率互换8.long position 多头9.option 期权10.swap 互换11.stock option 股票期权Chapter 14Central Banks and the Federal Reserve System 第14章中央银行的结构与联邦储备体系1.instruments independence 工具独立性2.political business cycle 政治经济周期3.open market operations 公开市场操作4.goal independence 目标独立性Multiple Deposit Creation and the Money Supply Process 第15章多倍存款创造和货币供给过程1.high-powered money 高能的货币2.multiple deposit creation 多倍存款创造3.required reserve ratio 法定存款准备金4.reserves 准备金Chapter 16Determinants of the Money Supply第16章货币供给的决定因素1.money multiplier 货币乘数2.non-borrowed monetary base 非借入基础货币Chapter 17 Tools of Monetary Policy第17章货币政策工具1.discount windows 贴现窗口2.defensive open market operations 防御性公开市场操作3.dynamic open market operations 能动性公开市场操作4.federal funds rate 联邦基金利率5.repurchase agreement 回购协议Conduct of Monetary Policy: Goals and Targets第18章货币政策实施：最终目标和政策指标1.intermediate targets 中介指标2.natural rate of unemployment 自然失业率3.NAIRU(non-accelerating inflation rate of unemployment ) 非加速通货膨胀失业率4.operating target 操作指标5.Phillips curve theory 菲利普斯曲线理论6.real bills doctrine 真实票据原则Chapter 19The Foreign Exchange Market第19章外汇市场1.appreciation 升值2.effective exchange rate index 有效汇率指数3.exchange rate overshooting 汇率超调4.interest parity conditions 利息平价条件w of one price 一价定律6.monetary neutrality 货币中性7.PPP （theory of purchasing power parity）购买力平价理论The International Financial System第20章国际金融体系1.1. balance of payments 国际收支平衡表2.Britton Woods System 布雷顿森林体系3.current account 经常账户4.capital account 资本账户5.fixed exchange rate regime 固定汇率制度6.IMF 国际货币基金组织7.international reserves 国际储备8.managed floating regime，dirty float 有管理的浮动制度或称肮脏的浮动汇率制度9.reserves currency 储备货币10.special drawing rights SDR 特别提款权11.sterilized foreign exchange intervention 冲销性外汇干预Chapter 21Monetary Policy Strategy: The International Experience第21章货币政策策略：国际经验1.dollarization 美元化2.nominal anchor 名义锚3.Seigniorage 铸币税4.time-consistency problem 时间非一致性问题Chapter 22The Demand for Money第22章货币需求1.real money balances 实际货币余额2.liquidity preferences theory 流动性偏好理论3.equation of exchange 交易方程式4.quantity theory of money 货币数量论5.velocity of money 货币流通速度Chapter 23The Keynesian Framework and the ISLM Model第23章凯恩斯理论框架与IS-LM模型1.animal spirits 浮躁情绪2.autonomous consumer expenditure 自主性消费支出3.expenditure multiplier 支出乘数4.IS curve IS曲线5.LM curve LM曲线6.MPC margin propensity to consumer 边际消费倾向Chapter 24Monetary and Fiscal Policy in the ISLM Model第24章IS-LM模型中的货币政策与财政政策1.aggregate demand curve 总需求曲线2.long-run monetary neutrality 长期货币中性3.natural rate level of output 产出的自然率水平pletely crowing out 完全挤出Chapter 25Aggregate Demand and Supply Analysis第25章总需求与总供给分析1.partial crowding out 部分挤出2.modern quantify theory of money 现代货币数量论3.self-correcting mechanism 自我纠错机制4.supply shock 供给冲击Chapter 26 Transmission Mechanisms of Monetary Policy: The Evidence第26章货币政策传导机制的实证分析1.reduced-form evidence 简化形式实证分析2.structural model evidence 结构模型实证分析3.transmission mechanisms of monetary policy 货币政策传导机制4.credit view 信用途径观点Chapter 27 Money and Inflation第27章货币与通货膨胀1.accommodating policy 适应性政策2.demand-pull inflation 需求拉动型通货膨胀3.constant-money-growth-rate rule 单一货币增长率规则4.Ricardo equivalence 李嘉图等价5.cost-push inflation 成本推动型通货膨胀6.monetizing the debt 债务货币化Chapter 28 Rational Expectations: Implications for Policy 第28章理性预期：政策意义1.policy ineffectiveness proposition 政策无效命题。
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目录软件操作篇 (2)一看行情，选合约 (2)二切换分析图表以及分析周期 (4)三下单操作 (5)常见问题百问百答 (8)一软件安装常见问题(18个) (8)二行情和页面常见问题(14个) (11)三技术分析常见问题(29个) (14)四程序化交易常见问题(21个) (19)五套利和资产组合常见问题(3个) (23)六新闻查阅常见问题(3个) (24)七一键通下单常见问题(12个) (24)热键列表 (28)百问百答索引 (31)软件操作篇一看行情，选合约（一）进入系统点击桌面上的图标进入系统登陆界面。
（二）切换交易所以及选取合约（三）自选合约二切换分析图表以及分析周期(一) 切换分析图表(二) 切换分析周期在分析图中利用热键进行分析周期的切换，详细热键列表如下：三下单操作(一) 进入交易系统敲键盘输入的数字相对应的分析周期0+Enter Tick 图1+Enter 1分钟周期2+Enter 3分钟周期3+Enter 5分钟周期4+Enter 10分钟周期5+Enter 15分钟周期6+Enter 30分钟周期7+Enter 1小时周期8+Enter 3小时周期9+Enter 日周期11+Enter 周周期12+Enter 月周期(二)下单操作(三) 平仓和撤单的操作注:如果需要详细的操作说明,请参考/guide/guide.htm常见问题百问百答一软件安装常见问题1 文华的行情软件是否搭载了交易系统？文华财经Mytrader 2009自带一键通交易系统，可以同时看行情做交易.2 如何获取行情账号？如果已经在期货公司开户，您可以向开户的期货公司申请账户; 如果尚未开户，请拨打电话联系文华的市场部(4008113366)。
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期货期权及其衍生品配套课件Ch06
Edition, Copyright © John C. Hull 2019
15
Forward Rates and Eurodollar
Futures continued
A convexity adjustment often made is
Forward Rate=Futures Rate−0.5s2T1T2 T1 is the time to maturity of the forward contract T2 is the time to maturity of the rate underlying the forward contract (90 days later that T1) s is the standard deviation of the short rate (typically about 1.2%)
Edition, Copyright © John C. Hull 2019
7
Eurodollar Futures (Page 136-141)
A Eurodollar is a dollar deposited in a bank outside the United States Eurodollar futures are futures on the 3-month Eurodollar deposit rate (same as 3-month LIBOR rate) One contract is on the rate earned on $1 million A change of one basis point or 0.01 in a Eurodollar futures quote corresponds to a contract price change of $25
赫尔期权、期货及其他衍生产品第10版框架知识点及课后习题解析
赫尔期权、期货及其他衍生产品第10版框架知识点及课后习题解析背景介绍赫尔期权、期货及其他衍生产品是一本经典的金融学教材，已经出版了多个版本。
本文将对第10版的框架知识点进行详细介绍，并对课后习题进行解析。
框架知识点第1章期权与期权市场本章主要介绍了期权的基本概念和期权市场的基本特点。
其中包括期权的定义、期权的基本特征、期权的交易方式、期权市场的参与者和期权市场的发展趋势等内容。
第2章期权定价基础本章介绍了期权定价的基本理论。
其中包括无套利定价原理、布莱克-舒尔斯期权定价模型、期权的几何布朗运动模型和完全市场假设等内容。
此外，还介绍了期权定价模型的应用和限制。
第3章期权策略与风险管理本章介绍了期权策略的基本概念和常见的期权策略类型。
其中包括购买期权、卖出期权、期权组合策略和套利策略等内容。
此外，还介绍了期权风险管理的基本方法和相关的风险指标。
第4章期货市场与期货定价本章介绍了期货市场的基本原理和期货合约的定价方法。
其中包括期货市场的特点、期货合约的基本要素、期货定价的原理和期货定价模型等内容。
此外，还介绍了期货市场的参与者和期货交易的风险管理。
第5章期货交易策略与风险管理本章介绍了期货交易策略的基本原理和常用的期货交易策略类型。
其中包括多头策略、空头策略、套利策略和市场中性策略等内容。
此外，还介绍了期货交易的风险管理方法和基本的交易技巧。
第6章期货市场的运行与监管本章介绍了期货市场的运行机制和监管体系。
其中包括期货市场的交易流程、交易所的角色和功能、期货市场的风险管理和期货市场的监管机构等内容。
此外，还介绍了期货市场的监管规则和期货市场的发展趋势。
课后习题解析第1章期权与期权市场习题1：期权是一种金融衍生品，它的特点是什么？答：期权有两个基本特点，即灵活性和杠杆效应。
灵活性指的是期权可以灵活选择行权，可以在未来的某个时间点以特定的价格购买或者卖出标的资产。
杠杆效应指的是期权的价格相对于标的资产的价格波动比较大，可以获得倍数的投资回报。
赫尔《期权、期货及其他衍生产品》（第9版）笔记和课后习题详解答案
赫尔《期权、期货及其他衍生产品》（第9版）笔记和课后习题详解答案赫尔《期权、期货及其他衍生产品》（第9版）笔记和课后习题详解完整版>精研学习?>无偿试用20％资料全国547所院校视频及题库全收集考研全套>视频资料>课后答案>往年真题>职称考试第1章引言1.1复习笔记1.2课后习题详解第2章期货市场的运作机制2.1复习笔记2.2课后习题详解第3章利用期货的对冲策略3.1复习笔记3.2课后习题详解第4章利率4.1复习笔记4.2课后习题详解第5章如何确定远期和期货价格5.1复习笔记5.2课后习题详解第6章利率期货6.1复习笔记6.2课后习题详解第7章互换7.1复习笔记7.2课后习题详解第8章证券化与2007年信用危机8.1复习笔记第9章OIS贴现、信用以及资金费用9.1复习笔记9.2课后习题详解第10章期权市场机制10.1复习笔记10.2课后习题详解第11章股票期权的性质11.1复习笔记11.2课后习题详解第12章期权交易策略12.1复习笔记12.2课后习题详解第13章二叉树13.1复习笔记13.2课后习题详解第14章维纳过程和伊藤引理14.1复习笔记14.2课后习题详解第15章布莱克-斯科尔斯-默顿模型15.1复习笔记15.2课后习题详解第16章雇员股票期权16.1复习笔记16.2课后习题详解第17章股指期权与货币期权17.1复习笔记17.2课后习题详解第18章期货期权18.1复习笔记18.2课后习题详解第19章希腊值19.1复习笔记第20章波动率微笑20.1复习笔记20.2课后习题详解第21章基本数值方法21.1复习笔记21.2课后习题详解第22章风险价值度22.1复习笔记22.2课后习题详解第23章估计波动率和相关系数23.1复习笔记23.2课后习题详解第24章信用风险24.1复习笔记24.2课后习题详解第25章信用衍生产品25.1复习笔记25.2课后习题详解第26章特种期权26.1复习笔记26.2课后习题详解第27章再谈模型和数值算法27.1复习笔记27.2课后习题详解第28章鞅与测度28.1复习笔记28.2课后习题详解第29章利率衍生产品：标准市场模型29.1复习笔记29.2课后习题详解第30章曲率、时间与Quanto调整30.1复习笔记30.2课后习题详解第31章利率衍生产品：短期利率模型31.1复习笔记31.2课后习题详解第32章HJM，LMM模型以及多种零息曲线32.1复习笔记32.2课后习题详解第33章再谈互换33.1复习笔记33.2课后习题详解第34章能源与商品衍生产品34.1复习笔记34.2课后习题详解第35章章实物期权35.1复习笔记35.2课后习题详解第36章重大金融损失与借鉴36.1复习笔记36.2课后习题详解。
期权期货与其他衍生产品第九版课后习题与答案Chapter(.
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金融衍生工具_课程习题-答案
第一章1、衍生工具包含几个重要类型？他们之间有何共性和差异？2、请详细解释对冲、投机和套利交易之间的区别，并举例说明。
3、衍生工具市场的主要经济功能是什么？4、“期货和期权是零和游戏。
”你如何理解这句话？第一章习题答案1、期货合约：：也是指交易双方按约定价格在未来某一期间完成特定资产交易行为的一种方式。
期货合同是标准化的在交易所交易，远期一般是OTC市场非标准化合同，且合同中也不注明保证金。
主要区别是场内和场外；保证金交易。
二者的定价原理和公式也有所不同。
交易所充当中间人角色，即买入和卖出的人都是和交易所做交易。
特点：T＋0交易；标准化合约；保证金制度（杠杆效应）；每日无负债结算制度；可卖空；强行平仓制度。
1）确定了标准化的数量和数量单位、2）制定标准化的商品质量等级、（3）规定标准化的交割地点、4）规定标准化的交割月份互换合约：是指交易双方约定在合约有效期内，以事先确定的名义本金额为依据，按约定的支付率（利率、股票指数收益率）相互交换支付的约定。
例如，债务人根据国际资本市场利率走势，将其自身的浮动利率债务转换成固定利率债务，或将固定利率债务转换成浮动利率债务的操作。
这又称为利率互换。
互换在场外交易、几乎没有政府监管、互换合约不容易达成、互换合约流动性差、互换合约存在较大的信用风险期权合约：指期权的买方有权在约定的时间或时期内，按照约定的价格买进或卖出一定数量的相关资产，也可以根据需要放弃行使这一权利。
为了取得这一权利，期权合约的买方必须向卖方支付一定数额的费用，即期权费。
期权主要有如下几个构成因素①执行价格（又称履约价格，敲定价格〕。
期权的买方行使权利时事先规定的标的物买卖价格。
②权利金。
期权的买方支付的期权价格，即买方为获得期权而付给期权卖方的费用。
③履约保证金。
期权卖方必须存入交易所用于履约的财力担保，④看涨期权和看跌期权。
看涨期权，是指在期权合约有效期内按执行价格买进一定数量标的物的权利；看跌期权，是指卖出标的物的权利。
江恩期货教程-中英文
江恩期货教程Gann Master Commodities Course 江恩生平及简历江恩(1878-1955)：于1878年6月6日出生于美国德克萨斯州的路芙根市（Lufkin Texas)，父母是爱尔兰裔移民。
少年时代的江恩在火车上卖报纸和送电报，还贩卖明信片、食品、小饰物等。
江恩被世人所津津乐道的辉煌事亦是1909年他在25个交易里赚了10倍！这一年再婚的江恩接受当时著名的《股票行情与投资文摘》杂志访问。
在杂志编辑的监督下，江恩在25个交易日里进行286次交易，其中264次获利，其余22次亏损，胜算高达92．3%。
而资本则增值了10倍。
平均交易间隔是20分钟。
在华尔街投机生涯中，江恩大约赚取了5000万美元的利润。
在今天，相当于5亿美元以上的数量。
虽然和其他的一些投资大师相比，他的财富数量并不算什么，但是我认为最重要的是他靠自己的新发现去赚取他应得的财富。
1902年，江恩在24岁时，第一次入市买卖棉花期货。
1906年，江恩到奥克拉荷马当经纪，既为自己炒，亦管理客户。
在1908年，江恩30岁时，他移居纽约，成立了自己的经纪业务。
同年8月8日，发展了他最重要的市场趋势预测方法，名为“控制时间因素” 。
经过多次准确预测后，江恩声名大噪。
最为人瞩目的是1909年10月美国“The Ticketr and Investment Digest”杂志编辑Richard .Wyckoff的一次实地访问。
在杂志人员的监察下，江恩在十月份的二十五个市场交易日中共进行286次买卖，结果，264获利，22次损失，获利率竟达92.3%。
据江恩一位朋友基利的回述：“1909年夏季，江恩预测9月小麦期权将会见1.20美元。
可是，到9月30日芝加哥时间十二时，该期权仍然在1.08美元之下徘徊，江恩的预测眼看落空。
江恩说：…如果今日收市时不见1.20美元，将表示我整套分析方法都有错误。
不管现在是什么价，小麦一定要见1.20美元。
金融工程学Chapter5
金融工程学 Chapter5引言金融工程是一门综合性学科，旨在运用数学、统计学和计算机科学等工具，研究金融市场和金融产品，以解决金融领域的实际问题。
本章将探讨金融工程学中的第五章内容，包括期权定价、风险中性测度以及波动率的估计等。
1. 期权定价1.1 期权的基本概念期权是一种金融衍生品，它给予持有者在未来某个时间点或某个特定时间段内购买或卖出某种资产的权利。
期权的价值在很大程度上取决于标的资产价格的变动。
1.2 期权定价模型1.2.1 Black-Schole模型Black-Schole模型是一个用于计算欧式期权定价的数学模型。
它假设市场中不存在任何交易费用和税收，并且市场是完全有效的。
在这个模型中，期权的价格是由标的资产的价格、执行价格、时间、无风险利率和标的资产的波动率来决定的。
1.2.2 套利定价原则套利定价原则是一种通过构建无风险套利组合来确定期权合理价格的方法。
这个原则基于市场无套利的假设，套利定价原则的核心思想是通过一系列交易来合成与期权相同的现金流。
1.3 期权定价的实证方法1.3.1 历史模拟法历史模拟法是通过使用历史价格和波动率来估计期权的价值。
这种方法的优点是计算简单，但缺点是对未来的不确定性没有考虑。
1.3.2 蒙特卡洛模拟法蒙特卡洛模拟法是一种基于随机数和模拟的方法，用于估计期权的价值。
这种方法通过生成许多随机价格路径，并计算每个路径上期权的价值，然后取平均值作为估计结果。
2. 风险中性测度风险中性测度是金融工程学中的重要概念，它给出了无套利投资策略的概率分布。
风险中性测度可以用于定价衍生品，管理风险以及进行投资决策。
风险中性测度是指在特定的投资环境下，投资者对未来收益的偏好是中性的，即对风险和收益没有明显的倾向。
2.2 风险中性测度的性质风险中性测度有以下几个重要的性质：•风险中性测度下的资产价格过程是一个马尔可夫过程，即未来的价格只依赖于当前的价格。
•在风险中性测度下，市场是完全有效的，不存在任何的套利机会。
企业会计准则第22号__金融工具确认和计量
Accounting Standard for Business Enterprises No. 22 -Recognition and measurement offinancial instruments企业会计准那么第22号——金融工具确认和计量Chapter I General Principles第一章总那么Article 1 With a view to regulating the recognition and measurement of financial instruments, the present Standards are formulated according to the Accounting Standards for Enterprises - Basic Principles .第一条为了标准金融工具确实认和计量，根据?企业会计准那么——根本准那么?，制定本准那么。
Article 2 The term "financial instruments" refers to the contracts under which the financial assets of an enterprise are formed and the financial liability or right instruments of any other entity are formed.第二条金融工具，是指形成一个企业的金融资产，并形成其他单位的金融负债或权益工具的合同。
Article 3 The term "derivative instruments" refers to the financial instruments or other contracts which are involved in the present Standards and are characterized by the following:(1) The values thereof varies with particular interest rates, prices of financial instruments, prices of commodities, foreign exchange rates, price indexes, premium rate indexes, credit ratings, credit indexes and other similar variables; if the variable is a non-financial variable, there shall not exist any special relationship between such variable and any party to the contract;(2) No initial net investment is required, or, as compared to contracts of other types that have similar responses to the market changes, very little initial net investment is required;(3) It is settled on a certain future date.Derivative instruments shall include forward contracts, futures contracts, exchanges and options, as well as the instruments that contain one or more of the characters of a forward contract, futures contract, exchange or option.第三条衍生工具，是指本准那么涉及的、具有以下特征的金融工具或其他合同：〔一〕其价值随特定利率、金融工具价格、商品价格、汇率、价格指数、费率指数、信用等级、信用指数或其他类似变量的变动而变动，变量为非金融变量的，该变量与合同的任一方不存在特定关系；〔二〕不要求初始净投资，或与对市场情况变化有类似反响的其他类型合同相比，要求很少的初始净投资；〔三〕在未来某一日期结算。
CFP国际金融理财师投资规划第五章 期货原理与实务综合练习与答案
CFP国际金融理财师投资规划第五章期货原理与实务综合练习与答案一、单选题1、目前，在国际期货市场上，（）已经占据了主导地位，并且对整个世界经济产生了深远的影响。
A.商品期货B.现货C.纸货D.金融期货【参考答案】：D【试题解析】：金融期货产生于20世纪70年代的美国市场，目前，金融期货在许多方面已经走在商品期货的前面，占整个期货市场交易量的80%。
2、期货合约是指由（）统一制定的，规定在将来某一特定时间和地点交割一定数量和质量商品的标准化合约。
A.中国证监会B.期货交易所C.期货行业协会D.期货公司【参考答案】：B【试题解析】：期货合约是标准化的，由期货交易所统一制定。
3、某投资者于5月1日卖出铜期货合约30手，成交价格为7500元/吨，当日结算价为7800元/吨，同时他缴纳的保证金数额为14040元，则该投资者缴纳保证金的比例为（）。
A.4%B.5.6%C.6%D.6.3%【参考答案】：C【试题解析】：该投资者缴纳保证金的比例=14040÷（7800×30）=6%。
4、下列各项不属于操纵市场行为的是（）。
A.单独或者通过合谋集中资金操纵证券交易价格B.以散布谣言等手段影响证券发行、交易C.出售或者要约出售其并不持有的证券，扰乱证券市场秩序D.内幕人员向他人泄露内幕信息，使他人利用该信息进行内幕交易【参考答案】：D【试题解析】：D项，“内幕人员向他人泄露内幕信息，使他人利用该信息进行内幕交易”属于内幕交易行为。
5、在证券清算和价款清算中，可以合并计算的是（）。
A.同一清算期内发生的不同种类的证券B.同一清算期内发生的不同种类的证券价款C.不同清算期内发生的相同种类的证券D.不同清算期内发生的相同种类的证券价款【参考答案】：B【试题解析】：清算价款时，同一清算期内发生的不同种类证券的买卖价款可以合并计算，但不同清算期发生的价款不能合并计算；清算证券时，只有在同一清算期内同种证券才能合并计算。
期权与期货课件第6章 期权市场机制
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©中央财经大学期权与期货
第六章 期权市场机制
第三节 期权合约条款和保证金
©中央财经大学期权与期货
第三节 期权合约条款和保证金 一、合约条款
合约条款 标的资产 合约类型 合约单位 合约到期月份 行权价格
行权价格间距
行权方式
交割方式
条款介绍
标的资产是期权合约对应的资产，期权买卖双方约定买入或卖出的对象
到期日
到期月份的第四个星期三（遇法定节假日顺延）
行权日
同合约到期日，行权指令提交时间为9:15-9:25，9:30-11:30，13:00-15:30
交收日 交易时间
委托类型 买卖类型
行权日次一交易日
上午9:15-9:25，9:30-11:30（9:15-9:25为开盘集合竞价时间）下午13:00-15:00（14:57-15:00为收盘集合 竞价时间） 普通限价委托、市价剩余转限价委托、市价剩余撤销委托、全额即时限价委托、全额即时市价委托以 及业务规则规定的其他委托类型
9个（1个平值合约、4个虚值合约、4个实值合约） 3元或以下为0.05元，3元至5元（含）为0.1元，5元至10元（含）为0.25元，10元至20元（含）为0.5元 ，20元至50元（含）为1元，50元至100元（含）为2.5元，100元以上为5元 到期日行权（欧式）
交割方式
实物交割（业务规则另有规定的除外）
➢ 时间价值(intrinsic value)，是指随着时间的推移，期权获利的可能性，而期权的买方愿意为 这种获利的可能性买单的那部分价值。
✓ 一般从期权价格中扣除内涵价值得到时间价值的数值
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©中央财经大学期权与期货
第二节 期权的价值构成与价值状态 一、期权的内涵价值与时间价值
(英文)Chapter 5市场效率
1、股价的随机漫步（random walk） 意味市场理性 2、有效市场假定（EMH）指股价已 经反映当时与证券价值有关的所有已 知信息。 3、完全有效市场下股票价格反映内 在价值，定价公平。 4、EMH有三种形式。
5、技术分析在弱式有效下无效，基 本分析在半强式有效下无效。 6、高度有效市场下，最佳投资策略 是消极投资策略。 7、有效市场中，组合管理对多元化 和分散风险依然重要。 8、有效市场可通过事件研究、查看 职业投资者的业绩等检验。
5.2什么是有效市场假定?
三、Efficient Market Hypothesis (EMH) Samuelson\Fama在Working基础上为理论 化做出了贡献。 股价已经反映所有已知信息的观点被称为 有效市场假定 有效市场前提条件：（1）（2）（3） 完全有效证券市场特点：股票价格反映内 在价值。“公平定价”
不能期望公开的投资战略产生超额收益
假定道氏理论（或波浪）预测了一 股基本上升（主升浪）趋势。 基本趋势套中、小趋势 如果该理论广为人知，股价会如何 走？ 股价突然、立即上涨取代逐渐、平 稳上升。
不能期望公开的投资战略产生超额收益
一旦一项有效的技术规则被发现, 只要大量的交易者试图利用它,它 就会变得无效。
一些股评师展示“精湛”技艺：技巧还是运气？
1Leabharlann 2345
6
7
8
1年 涨 涨 涨 涨 跌 2年 涨 涨 跌 跌 涨 3年 涨 跌 涨 跌 涨
跌 跌 跌 涨 跌 跌 跌 涨 跌
5.4有效市场检测
三、市场效率检测结果 美国：高度有效 大量异常的经验证据存在代表 市场无效还是难以理解的风险 溢价？争论将持续。 “别费劲了，如果它是真的， 早就有人把它捡走了”
期货的基本操作流程
期货的基本操作流程下载温馨提示:该文档是我店铺精心编制而成，希望大家下载以后，能够帮助大家解决实际的问题。
文档下载后可定制随意修改，请根据实际需要进行相应的调整和使用，谢谢!并且，本店铺为大家提供各种各样类型的实用资料，如教育随笔、日记赏析、句子摘抄、古诗大全、经典美文、话题作文、工作总结、词语解析、文案摘录、其他资料等等，如想了解不同资料格式和写法，敬请关注!Download tips: This document is carefully compiled by theeditor. I hope that after you download them,they can help yousolve practical problems. The document can be customized andmodified after downloading,please adjust and use it according toactual needs, thank you!In addition, our shop provides you with various types ofpractical materials,such as educational essays, diaryappreciation,sentence excerpts,ancient poems,classic articles,topic composition,work summary,word parsing,copy excerpts,other materials and so on,want to know different data formats andwriting methods,please pay attention!期货是一种金融衍生品，其基本操作流程如下：1. 开户：投资者需要选择一家期货公司，并在该公司开立期货账户。
chapter5currencyderivatives练习
Chapter 5 Currency Derivatives1. Kalons, Inc. is a MNC that frequently imports raw materials from Canada. Kalons is typically invoiced for these goods in Canadian dollars and is concerned that theCanadian dollar will appreciate in the near future. Which of the following is not anappropriate hedging technique under these circumstancesA) purchase Canadian dollars forward.B) purchase Canadian dollar futures contracts.C) purchase Canadian dollar put options.D) purchase Canadian dollar call options.ANSWER: C2. Graylon, Inc., based in Washington, exports products to a German firm and will receive payment of €200,000 in three months. On June1, the spot rate of the euro was $, and the 3-month forward rate was $. On June 1, Graylon negotiated a forward contract with a bank to sell €200,000 forward in three spot rate of the euroon September 1 is $. Graylon will receive $_________ for the euros.A) 224,000B) 220,000C) 200,000D) 230,000ANSWER: BSOLUTION: €200,000 x $ = $220,0003. The one-year forward rate of the British pound is quoted at $, and the spot rate ofthe British pound is quoted at $. The forward ________ is _______ percent.A) discount;B) discount;C) premium;D) premium;p = F–SSANSWER: BSOLUTION: (F/S) – 1 = ($$ – 1 = percent.4. The 90-day forward rate for the euro is $, while the current spot rate of theeuro is$. What is the annualized forward premium or discount of the euroA) percent discount.B) percent premium.C) percent premium.D) percent discount.ANSWER: Cp = F–S ? 360S nSOLUTION: [(F/S) – 1] x 360/90 = percent.5. Thornton, Inc. needs to invest five million Nepalese rupees in its Nepalese subsidiary tosupport local operations. Thornton would like its subsidiary to repay the rupees in oneyear. Thornton would like to engage in a swap transaction. Thus, Thornton would: A) convert the rupees to dollars in the spot market today and convert rupees to dollarsin one year at today's forward rate.B) convert the dollars to rupees in the spot market today and convert dollars to rupees inone year at the prevailing spot rate.C) convert the dollars to rupees in the spot market today and convert rupees to dollars inone year at today's forward rate.D) convert the dollars to rupees in the spot market today and convert rupees to dollarsin one year at the prevailing spot rate.ANSWER: C6. In the U.S., the typical currency futures contract is based on a currency value in termsof:A) euros.B) . dollars.C) British pounds.D) Canadian dollars.ANSWER: B7. Currency futures contracts sold on an exchange:A) contain a commitment to the owner, and are standardized.B) contain a commitment to the owner, and can be tailored to the desire of the owner.C) contain a right but not a commitment to the owner, and can be tailored to the desireof the owner.D) contain a right but not a commitment to the owner, and are standardized. ANSWER: A8. Currency options sold through an options exchange:A) contain a commitment to the owner, and are standardized.B) contain a commitment to the owner, and can be tailored to the desire of the owner.C) contain a right but not a commitment to the owner, and can be tailored to the desire ofthe owner.D) contain a right but not a commitment to the owner, and are standardized. ANSWER: D9. Currency options are traded through the GLOBEX system at the:A) Chicago Board Options Exchange when the trading floor is open.B) Chicago Mercantile Exchange when the trading floor is open.C) Chicago Mercantile Exchange even after the trading floor is closed.D) Philadelphia Exchange even after the trading floor is closed.E) Chicago Board Options Exchange even after the trading floor is closed. ANSWER: C10. Forward contracts:A) contain a commitment to the owner, and are standardized.B) contain a commitment to the owner, and can be tailored to the desire of the owner.C) contain a right but not a commitment to the owner, and can be tailored to the desire of theowner.D) contain a right but not a commitment to the owner, and are standardized. ANSWER: B11. Which of the following is the most likely strategy for a U.S. firm that will be receivingSwiss francs in the future and desires to avoid exchange rate risk (assume the firm has nooffsetting position in francs)A) purchase a call option on francs.B) sell a futures contract on francs.C) obtain a forward contract to purchase francs forward.D) all of the above are appropriate strategies for the scenario described.ANSWER: B12. Which of the following is the most unlikely strategy for a U.S. firm that will bepurchasing Swiss francs in the future and desires to avoid exchange rate risk (assume thefirm has no offsetting position in francs)A) purchase a call option on francs.B) obtain a forward contract to purchase francs forward.C) sell a futures contract on francs.D) all of the above are appropriate strategies for the scenario described. ANSWER: C13. If your firm expects the euro to substantially depreciate, it could speculate by _______euro call options(看涨期权) or _______ euros forward in the forward exchange market.A) selling; sellingB) selling; purchasingC) purchasing; purchasingD) purchasing; sellingANSWER: A14. When you own _______, there is no obligation on your part; however, when you own_______, there is an obligation on your part.A) call options; put optionsB) futures contracts; call optionsC) forward contracts; futures contractsD) put options; forward contractsANSWER: D15. The greater the variability of a currency, the _______ will be the premium ofa call optionon this currency, and the _______ will be the premium of a put option on this currency, other things equal.A) greater; lowerB) greater; greaterC) lower; greaterD) lower; lowerANSWER: B16. When currency options are not standardized and traded over-the-counter, there is ______liquidity and a ________ bid/ask spread. 买卖差价A) less; narrowerB) more; narrowerC) more; widerD) less; widerANSWER: D17. The shorter the time to the expiration date for a currency, the _______ will be thepremium of a call option, and the _______ will be the premium of a put option, other things equal.A) greater; greaterB) greater; lowerC) lower; lowerD) lower; greaterANSWER: C18. Assume that a speculator purchases a put option on British pounds (with a strike price of$ for $.05 per unit. A pound option represents 31,250 units. Assume that at the time of the purchase, the spot rate of the pound is $ and continually rises to $ by the expiration date. The highest net profit possible for the speculator based on theinformation above is:A) $1,.B) -$1,.C) -$1,.D) -$.ANSWER: BSOLUTION: The premium of the option is $.05 x (31,250 units) = $1,. Since the option will not be exercised, the net profit is -$1,.19. Which of the following is trueA) The futures market is primarily used by speculators while the forward market is primarily used for hedging. 期货—投机远期——套利B) The futures market is primarily used for hedging while the forward market is primarily used for speculating.C) The futures market and the forward market are primarily used for speculating.D) The futures market and the forward market are primarily used for hedging. ANSWER: A20. Which of the following is trueA) Most forward contracts between firms and banks are for speculative purposes.B) Most future contracts represent a conservative approach by firms to hedge foreign trade.C) The forward contracts offered by banks have maturities for only four possible dates inthe future.D) none of the aboveANSWER: D21. If you expect the euro to depreciate, it would be appropriate to _______ for speculativepurposes.A) buy a euro call and buy a euro putB) buy a euro call and sell a euro putC) sell a euro call and sell a euro putD) sell a euro call and buy a euro putANSWER: D。
国际贸易实务英文版参考答案
Chapter 1I .YES，Please refer to the 1st paragraph of the text.II. 流动性过剩自给自足经济资源直接投资国际收支易货交易出口退税倾销出口型经济增长东道国贸易差额贸易顺差／贸易逆差欧盟国际收支顺差／国际收支逆差有形贸易无形贸易货物贸易服务贸易excess liquidity self-sufficienteconomic resources direct investment balance of payments barterexport tax rebate dumpingexport-driven economic growth host country balance of tradefavorable/unfavorable balance of trade European Unionfavorable/unfavorable balance of payments visible trade invisible trade trade in goods trade in serv icesIIIThe chart above shows the U.S. imports from China, U.S. exports to China and the trade balance . The U.S. has a negative trade balance with China, and it has been growing. During the period fro m 1997 to 2003, imports from China have grown 244% while exports to China have grown 221%, indicating that the trade deficit is increasing. There had already been a sizeable trade balance defi cit with China in 1996, totaling $ 39.5 billion at the end of the year. IV1. Export goods are tangible goods sent out of countries.2. Trade in services are international earnings other than those derived from the exporting and i mporting of tangible goods.3. Import goods are tangible goods brought in.4. International trade is all business transactions that involve two or more countries.5. FDI is one t hat gives the investor a controlling interest in a foreign company.6. Investment is used primarily as financial means for a company to earn more money on its mo ney with relative safety. V1. International trade is the fair and deliberate exchange of goods and/or services across national boundaries. It concerns trade operations of both import and export and includes the purchase and s ale of both visible and invisible goods.2. In today's complex economic world, neither individuals nor nations are self-sufficient. Nation s participate in the international trade for many reasons. As to the economic reasons, no nation has all of the economic resources (land, labor and capital) that it needs to develop its economy and cu lture, and no country enjoys a particular item sufficient enough to meet its needs. As for the prefer ence reasons, international trade takes place because of innovation of style. Besides, every nation can specialize in a certain field and enjoy a comparative advantage in some particular area in term s of trade so that they need to do business with each other to make use of resources more efficientl y and effectively.3. In measuring the effectiveness of global trade, nations carefully follow two key indicators, na mely, balance of trade and balance of payments.4. FDI, the abbreviation form Foreign Direct Investment, means buying of permanent property a nd business in foreign nations. It occurs when acquisition of equity interest in a foreign company is trade. The great significance of FDI for China might be that: FDI solve the problem of capital s hortage for China so that China may spend the money on importing advanced equipment and technologies for its infrastructure, national supporting industry, key projects, etc.Chapter 2 I关税壁垒非关税壁垒从量税配额保护性关税市场失灵幼稚产业许可证制度财政关税政府采购贸易保护主义从价税最低限价本地采购规则增加内需Domestic content Red-tape barriers Export subsidies Binding quota Absolute quotas VERTariff-rate quotas Zero quota"Buy local" rules Tariff barriers non-tariff barriers specific duties quotaprotective tariff market failure infant industry licensing system Revenue tariffgovernment procurement trade protectionism Ad Valorem Duties floor price"buy local" rulesraise domestic demand 国内含量进口环节壁垒出口补贴绑定配额绝对配额自愿出口限制关税配额零配额本地采购原则II1. Protectionism means the deliberate use or encouragement of restrictions on imports to enable re latively inefficient domestic producers to compete successfully with foreign producers. 保护主义是指蓄意使用或鼓励进口限制，以此使本国相对效率低的产品能成功地和外国产品竞争。
05金融衍生工具paz
谢谢观看/欢迎下载
BY FAITH I MEAN A VISION OF GOOD ONE CHERISHES AND THE ENTHUSIASM THAT PUSHES ONE TO SEEK ITS FULFILLMENT REGARDLESS OF OBSTACLES. BY FAITH I BY FAITH
2024/7/3
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所谓实物交割制度交割是指合约到期时，按照期 货交易所的规则和程序，交易双方通过该合约所 载标的物所有权的转移，或者按照规定结算价格 进行现金差价结算，了结到期末平仓合约的过程。 以标的物所有权转移进行的交割为实物交割，按 结算价进行现金差价结算的交割为现金交割。一 般来说，商品期货以实物交割为主，金融期货以 现金交割为主。
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它覆盖了银行、钢铁、石油、电力、煤炭、水 泥、家电、机械、纺织、食品、酿酒、化纤、 有色金属、交通运输、电子器件、商业百货、 生物制药、酒店旅游、房地产等数十个主要行 业的龙头企业。
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计算公式为： 报告期指数=报告期成份股的市值/基日成份股 的市值×1000
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指数成份股的选样空间，上市交易时间超过一 个季度；非ST、*ST股票，非暂停上市股票； 公司经营状况良好，最近一年无重大违法违规 事件、财务报告无重大问题；股票价格无明显 的异常波动或市场操纵；剔除其他经专家认定 不能进入指数的股票。选样标准为选取规模大 、流动性好的股票作为样本股。
交易目的
筹资、投资 套期保值
交易价格
成交价
价格预期
交易方式
全额
保证金
结算方式
实物交收
对冲平仓 7
金融期货的主要交易制度
保证金制度 每日结算制度 强行平仓制度 涨停跌板制度
期权期货与其他衍生产品第九版课后习题与答案Chapter
CHAPTER 29Interest Rate Derivatives: The Standard Market ModelsPractice QuestionsProblem 29.1.A company caps three-month LIBOR at 10% per annum. The principal amount is $20 million. On a reset date, three-month LIBOR is 12% per annum. What payment would this lead to under the cap? When would the payment be made?An amount20000000002025100000$$,,⨯.⨯.=,would be paid out 3 months later.Problem 29.2.Explain why a swap option can be regarded as a type of bond option.A swap option (or swaption) is an option to enter into an interest rate swap at a certain time in the future with a certain fixed rate being used. An interest rate swap can be regarded as the exchange of a fixed-rate bond for a floating-rate bond. A swaption is therefore the option to exchange a fixed-rate bond for a floating-rate bond. The floating-rate bond will be worth its face value at the beginning of the life of the swap. The swaption is therefore an option on a fixed-rate bond with the strike price equal to the face value of the bond.Problem 29.3.Use the Black’s model to value a one -year European put option on a 10-year bond. Assume that the current value of the bond is $125, the strike price is $110, the one-year risk-free interest rate is 10% per annum, the bond’s forward price volatility is 8% per annum, and the present value of the coupons to be paid during the life of the option is $10.In this case, 0110(12510)12709F e .⨯=-=., 110K =, 011(0)P T e -.⨯,=, 008B σ=., and 10T =.. 2121ln(12709110)(0082)1845600800817656d d d ./+./==..=-.=. From equation (29.2) the value of the put option is011011110(17656)12709(18456)012e N e N -.⨯-.⨯-.-.-.=.or $0.12.Problem 29.4.Explain carefully how you would use (a) spot volatilities and (b) flat volatilities to value a five-year cap.When spot volatilities are used to value a cap, a different volatility is used to value eachcaplet. When flat volatilities are used, the same volatility is used to value each caplet within a given cap. Spot volatilities are a function of the maturity of the caplet. Flat volatilities are afunction of the maturity of the cap.Problem 29.5.Calculate the price of an option that caps the three-m onth rate, starting in 15 months’ time, at 13% (quoted with quarterly compounding) on a principal amount of $1,000. The forward interest rate for the period in question is 12% per annum (quoted with quarterlycompounding), the 18-month risk-free interest rate (continuously compounded) is 11.5% per annum, and the volatility of the forward rate is 12% per annum.In this case 1000L =, 025k δ=., 012k F =., 013K R =., 0115r =., 012k σ=., 125k t =., 1(0)08416k P t +,=..250k L δ=2120529505295006637d d ==-.=-.-.=-. The value of the option is25008416[012(05295)013(06637)]N N ⨯.⨯.-.-.-.059=. or $0.59.Problem 29.6.A bank uses Black’s model to price European bond options. Suppose that an implied price volatility for a 5-year option on a bond maturing in 10 years is used to price a 9-year option on the bond. Would you expect the resultant price to be too high or too low? Explain.The implied volatility measures the standard deviation of the logarithm of the bond price at the maturity of the option divided by the square root of the time to maturity. In the case of a five year option on a ten year bond, the bond has five years left at option maturity. In the case of a nine year option on a ten year bond it has one year left. The standard deviation of a one year bond price observed in nine years can be normally be expected to be considerably less than that of a five year bond price observed in five years. (See Figure 29.1.) We would therefore expect the price to be too high.Problem 29.7.Calculate the value of a four-year European call option on bond that will mature five years from today using Black’s model. The five -year cash bond price is $105, the cash price of a four-year bond with the same coupon is $102, the strike price is $100, the four-year risk-free interest rate is 10% per annum with continuous compounding, and the volatility for the bond price in four years is 2% per annum.The present value of the principal in the four year bond is 40110067032e -⨯.=.. The present value of the coupons is, therefore, 1026703234968-.=.. This means that the forward price of the five-year bond is401(10534968)104475e ⨯.-.=. The parameters in Black’s model are therefore 104475B F =., 100K =, 01r =., 4T =,and 002B =.σ.212111144010744d d d ==.=-.=. The price of the European call is014[104475(11144)100(10744)]319e N N -.⨯..-.=.or $3.19.Problem 29.8.If the yield volatility for a five-year put option on a bond maturing in 10 years time isspecified as 22%, how should the option be valued? Assume that, based on today’s interest rates the modified duration of the bond at the maturity of the option will be 4.2 years and the forward yield on the bond is 7%.The option should be valued using Black’s model in equation (29.2) with the bond price volatility being4200702200647.⨯.⨯.=. or 6.47%.Problem 29.9.What other instrument is the same as a five-year zero-cost collar where the strike price of the cap equals the strike price of the floor? What does the common strike price equal?A 5-year zero-cost collar where the strike price of the cap equals the strike price of the floor is the same as an interest rate swap agreement to receive floating and pay a fixed rate equal to the strike price. The common strike price is the swap rate. Note that the swap is actually a forward swap that excludes the first exchange. (See Business Snapshot 29.1)Problem 29.10.Derive a put –call parity relationship for European bond options.There are two way of expressing the put –call parity relationship for bond options. The first is in terms of bond prices:0RT c I Ke p B -++=+where c is the price of a European call option, p is the price of the corresponding European put option, I is the present value of the bond coupon payments during the life of the option, K is the strike price, T is the time to maturity, 0B is the bond price, and Ris the risk-free interest rate for a maturity equal to the life of the options. To prove this we can consider two portfolios. The first consists of a European put option plus the bond; the second consists of the European call option, and an amount of cash equal to the present value of the coupons plus the present value of the strike price. Both can be seen to be worth the same at the maturity of the options.The second way of expressing the put –call parity relationship isRT RT B c Ke p F e --+=+where B F is the forward bond price. This can also be proved by considering two portfolios. The first consists of a European put option plus a forward contract on the bond plus the present value of the forward price; the second consists of a European call option plus thepresent value of the strike price. Both can be seen to be worth the same at the maturity of the options.Problem 29.11.Derive a put–call parity relationship for European swap options.The put–call parity relationship for European swap options is+=c V pwhere c is the value of a call option to pay a fixed rate ofs and receive floating, p isKthe value of a put option to receive a fixed rate ofs and pay floating, and V is the valueKof the forward swap underlying the swap option wheres is received and floating is paid.KThis can be proved by considering two portfolios. The first consists of the put option; the second consists of the call option and the swap. Suppose that the actual swap rate at thes. The call will be exercised and the put will not be maturity of the options is greater thanKexercised. Both portfolios are then worth zero. Suppose next that the actual swap rate at thes. The put option is exercised and the call option is not maturity of the options is less thanKs is received and floating is paid. exercised. Both portfolios are equivalent to a swap whereKIn all states of the world the two portfolios are worth the same at time T. They must therefore be worth the same today. This proves the result.Problem 29.12.Explain why there is an arbitrage opportunity if the implied Black (flat) volatility of a cap is different from that of a floor. Do the broker quotes in Table 29.1 present an arbitrage opportunity?Suppose that the cap and floor have the same strike price and the same time to maturity. The following put–call parity relationship must hold:+=cap swap floorwhere the swap is an agreement to receive the cap rate and pay floating over the whole life of the cap/floor. If the implied Black volatilities for the cap equal those for the floor, the Black formulas show that this relationship holds. In other circumstances it does not hold and there is an arbitrage opportunity. The broker quotes in Table 29.1 do not present an arbitrage opportunity because the cap offer is always higher than the floor bid and the floor offer is always higher than the cap bid.Problem 29.13.When a bond’s price is lognormal can the bond’s yield be negative? Explain your answer.Yes. If a zero-coupon bond price at some future time is lognormal, there is some chance that the price will be above par. This in turn implies that the yield to maturity on the bond is negative.Problem 29.14.What is the value of a European swap option that gives the holder the right to enter into a3-year annual-pay swap in four years where a fixed rate of 5% is paid and LIBOR is received? The swap principal is $10 million. Assume that the LIBOR/swap yield curve is used for discounting and is flat at 5% per annum with annual compounding and the volatility of the swap rate is 20%. Compare your answer to that given by DerivaGem.Now suppose that allswap rates are 5% and all OIS rates are 4.7%. Use DerivaGem to calculate the LIBOR zero curve and the swap option value?In equation (29.10), 10000000L =,,, 005K s =., 0005s =., 10202d =.=., 2.02-=d , and 56711122404105105105A =++=.... The value of the swap option (in millions of dollars) is1022404[005(02)005(02)]0178N N ⨯...-.-.=.This is the same as the answer given by DerivaGem. (For the purposes of using theDerivaGem software, note that the interest rate is 4.879% with continuous compounding for all maturities.)When OIS discounting is used the LIBOR zero curve is unaffected because LIBOR swap rates are the same for all maturities. (This can be verified with the Zero Curve worksheet in DerivaGem). The only difference is that2790.2047.11047.11047.11765=++=Aso that the value is changed to 0.181. This is also the value given by DerivaGem. (Note that the OIS rate is 4.593% with annual compounding.)Problem 29.15.Suppose that the yield, R , on a zero-coupon bond follows the processdR dt dz μσ=+where μ and σ are functions of R and t , and dz is a Wiener process. Use Ito’s lemma to show that the volatility of the zero-coupon bond price declines to zero as it approaches maturity.The price of the bond at time t is ()R T t e -- where T is the time when the bond matures. Using Itô’s lemma the volatility of the bond price is ()()()R T t R T t e T t e Rσσ----∂=--∂ This tends to zero as t approaches T .Problem 29.16.Carry out a manual calculation to verify the option prices in Example 29.2.The cash price of the bond is005050005100005100051044410012282e e 卐e -.⨯.-.⨯.-.⨯-.⨯++++=.As there is no accrued interest this is also the quoted price of the bond. The interest paid during the life of the option has a present value of00505005100515005244441504e e e e -.⨯.-.⨯-.⨯.-.⨯+++=.The forward price of the bond is therefore005225(122821504)12061e .⨯..-.=. The yield with semiannual compounding is 5.0630%.The duration of the bond at option maturity is 00502500577500577500502500507500577500577502547754775100444100e 卐e e e 卐e -.⨯.-.⨯.-.⨯.-.⨯.-.⨯.-.⨯.-.⨯..⨯++.⨯+.⨯++++ or 5.994. The modified duration is 5.994/1.025315=5.846. The bond price volatility is therefore 584600506300200592.⨯.⨯.=.. We can therefore value the bond option using Black’s model with 12061B F =., 005225(0225)08936P e -.⨯.,.==., 592B %=.σ, and 225T =.. When the strike price is the cash price 115K = and the value of the option is 1.74. When the strike price is the quoted price 117K = and the value of the option is 2.36. This is in agreement with DerivaGem.Problem 29.17.Suppose that the 1-year, 2-year, 3-year, 4-year and 5-year LIBOR-for-fixed swap rates for swaps with semiannual payments are 6%, 6.4%, 6.7%, 6.9%, and 7%. The price of a 5-year semiannual cap with a principal of $100 at a cap rate of 8% is $3. Use DerivaGem (the zero rate and Cap_and_swap_opt worksheets) to determine(a) The 5-year flat volatility for caps and floors with LIBOR discounting(b) The floor rate in a zero-cost 5-year collar when the cap rate is 8% and LIBOR discounting is used(c) Answer (a) and (b) if OIS discounting is used and OIS swap rates are 100 basis points below LIBOR swap rates.(a) First we calculate the LIBOR zero curve using the zero curve worksheet of DerivaGem.The 1-, 2-, 3-, 4-, and 5_year zero rates with continuous compounding are 5.9118%,6.3140%, 6.6213%, 6.8297%, and 6.9328%, respectively. We then transfer these to the choose the Caps and Swap Options worksheet and choose Cap/Floor as the Underlying Type. We enter Semiannual for the Settlement Frequency, 100 for the Principal, 0 for the Start (Years), 5 for the End (Years), 8% for the Cap/Floor Rate, and $3 for the Price. We select Black-European as the Pricing Model and choose the Cap button. We check the Imply Volatility box and Calculate. The implied volatility is 25.4%.(b) We then uncheck Implied Volatility, select Floor, check Imply Breakeven Rate. Thefloor rate that is calculated is 6.71%. This is the floor rate for which the floor is worth $3.A collar when the floor rate is 6.61% and the cap rate is 8% has zero cost.(c) The zero curve worksheet now shows that LIBOR zero rates for 1-, 2-, 3-, 4-, 5-yearmaturities are 5.9118%, 6.3117%, 6.6166%, 6.8227%, and 6.9249%. The OIS zero rates are 4.9385%, 5.3404%, 5.6468%, 5.8539%, and 5.9566%, respectively. When these are transferred to the cap and swaption worksheet and the Use OIS Discounting box is checked, the answer to a) becomes 24.81%% and the answer to b) becomes 6.60%.Problem 29.18.Show that 12V f V += where 1V is the value of a swaption to pay a fixed rate of K s and receive LIBOR between times 1T and 2T , f is the value of a forward swap to receive a fixed rate of K s and pay LIBOR between times 1T and 2T , and 2V is the value of a swap option to receive a fixed rate of K s between times 1T and 2T . Deduce that 12V V = when K s equals the current forward swap rate.We prove this result by considering two portfolios. The first consists of the swap option toreceive K s ; the second consists of the swap option to pay K s and the forward swap.Suppose that the actual swap rate at the maturity of the options is greater than K s . The swapoption to pay K s will be exercised and the swap option to receive K s will not be exercised.Both portfolios are then worth zero since the swap option to pay K s is neutralized by theforward swap. Suppose next that the actual swap rate at the maturity of the options is less than K s . The swap option to receive K s is exercised and the swap option to pay K s is not exercised. Both portfolios are then equivalent to a swap where K s is received and floating ispaid. In all states of the world the two portfolios are worth the same at time 1T . They musttherefore be worth the same today. This proves the result. When K s equals the currentforward swap rate 0f = and 12V V =. A swap option to pay fixed is therefore worth thesame as a similar swap option to receive fixed when the fixed rate in the swap option is the forward swap rate.Problem 29.19.Suppose that LIBOR zero rates are as in Problem 29.17. Use DerivaGem to determine the value of an option to pay a fixed rate of 6% and receive LIBOR on a five-year swap starting in one year. Assume that the principal is $100 million, payments are exchanged semiannually, and the swap rate volatility is 21%. Use LIBOR discounting.We choose the Caps and Swap Options worksheet of DerivaGem and choose Swap Option as the Underlying Type. We enter 100 as the Principal, 1 as the Start (Years), 6 as the End (Years), 6% as the Swap Rate, and Semiannual as the Settlement Frequency. We choose Black-European as the pricing model, enter 21% as the Volatility and check the Pay Fixed button. We do not check the Imply Breakeven Rate and Imply Volatility boxes. The value of the swap option is 5.63.Problem 29.20.Describe how you would (a) calculate cap flat volatilities from cap spot volatilities and (b) calculate cap spot volatilities from cap flat volatilities.(a) To calculate flat volatilities from spot volatilities we choose a strike rate and use the spot volatilities to calculate caplet prices. We then sum the caplet prices to obtain cap prices and imply flat volatilities from Black’s model. The answe r is slightlydependent on the strike price chosen. This procedure ignores any volatility smile in cap pricing.(b) To calculate spot volatilities from flat volatilities the first step is usually to interpolate between the flat volatilities so that we have a flat volatility for each caplet payment date. We choose a strike price and use the flat volatilities to calculate cap prices. By subtracting successive cap prices we obtain caplet prices from which we can imply spot volatilities. The answer is slightly dependent on the strike price chosen. Thisprocedure also ignores any volatility smile in caplet pricing.Further QuestionsProblem 29.21.Consider an eight-month European put option on a Treasury bond that currently has 14.25 years to maturity. The current cash bond price is $910, the exercise price is $900, and the volatility for the bond price is 10% per annum. A coupon of $35 will be paid by the bond in three months. The risk-free interest rate is 8% for all maturities up to one year. Use Black’s model to determine the price of the option. Consider both the case where the strike price corresponds to the cash price of the bond and the case where it corresponds to the quoted price.The present value of the coupon payment is008025353431e -.⨯.=.Equation (29.2) can therefore be used with 008812(9103431)92366B F e .⨯/=-.=., 008r =., 010B σ=. and 06667T =.. When the strike price is a cash price, 900K = and12103587002770d d d ==.=-.=.The option price is therefore00806667900(02770)87569(03587)1834e N N -.⨯.-.-.-.=.or $18.34.When the strike price is a quoted price 5 months of accrued interest must be added to 900 to get the cash strike price. The cash strike price is 900350833392917+⨯.=.. In this case12100319001136d d d ==-.=-.=-.and the option price is0080666792917(01136)87569(00319)3122e N N -.⨯...-..=.or $31.22.Problem 29.22.Calculate the price of a cap on the 90-day LIBOR rate in nine months’ time when the principal amount is $1,000. Use Black’s model with LIBOR discounting and the following information:(a) The quoted nine-month Eurodollar futures price = 92. (Ignore differences betweenfutures and forward rates.)(b) The interest-rate volatility implied by a nine-month Eurodollar option = 15% perannum.(c) The current 12-month risk-free interest rate with continuous compounding = 7.5%per annum.(d) The cap rate = 8% per annum. (Assume an actual/360 day count.)The quoted futures price corresponds to a forward rate of 8% per annum with quarterly compounding and actual/360. The parameters for Black’s model are therefore: 008k F =., 008K =., 0075R =., 015k σ=., 075k t =., and 007511(0)09277k P t e -.⨯+,==.21220065000650d d ==.==-. and the call price, c , is given by[]025100009277008(00650)008(00650)096c N N =.⨯,⨯...-.-..=.Problem 29.23.Suppose that the LIBOR yield curve is flat at 8% with annual compounding. A swaption gives the holder the right to receive 7.6% in a five-year swap starting in four years. Payments are made annually. The volatility of the forward swap rate is 25% per annum and the principal is $1 million. Use Black’s model to price the swaption with LIBOR discounting. Compare your answer to that given by DerivaGem.The payoff from the swaption is a series of five cash flows equal to max[00760]T s .-, in millions of dollars where T s is the five-year swap rate in four years. The value of an annuity that provides $1 per year at the end of years 5, 6, 7, 8, and 9 is 95129348108i i ==..∑ The value of the swaption in millions of dollars is therefore2129348[0076()008()]N d N d ..--.-where2103526d ==. and2201474d ==-. The value of the swaption is29348[0076(01474)008(03526)]003955N N ...-.-.=.or $39,550. This is the same answer as that given by DerivaGem. Note that for the purposes of using DerivaGem the zero rate is 7.696% continuously compounded for all maturities.Problem 29.24.Use the DerivaGem software to value a five-year collar that guarantees that the maximum and minimum interest rates on a LIBOR-based loan (with quarterly resets) are 7% and 5% respectively. The LIBOR and OIS zero curves are currently flat at 6% and 5.8% respectively (with continuous compounding). Use a flat volatility of 20%. Assume that the principal is $100. Use OIS discountingWe use the Caps and Swap Options worksheet of DerivaGem. Set the LIBOR zero curve as 6% with continuous compounding. ( It is only necessary to enter 6% for one maturity.) . Set the OIS zero curve as 5.8% with continuous compounding. ( It is only necessary to enter5.8% for one maturity.) To value the cap we select Cap/Floor as the Underlying Type, enter Quarterly for the Settlement Frequency, 100 for the Principal, 0 for the Start (Years), 5 for the End (Years), 7% for the Cap/Floor Rate, and 20% for the Volatility. We selectBlack-European as the Pricing Model and choose the Cap button. We do not check the ImplyBreakeven Rate and Imply Volatility boxes. We do check the Use OIS Discounting button. The value of the cap is 1.576. To value the floor we change the Cap/Floor Rate to 5% and select the Floor button rather than the Cap button. The value is 1.080. The collar is a long position in the cap and a short position in the floor. The value of the collar is therefore1.576 ─ 1.080 = 0.496Problem 29.25.Use the DerivaGem software to value a European swap option that gives you the right in two years to enter into a 5-year swap in which you pay a fixed rate of 6% and receive floating. Cash flows are exchanged semiannually on the swap. The 1-year, 2-year, 5-year, and 10-year LIBOR-for-fixed swap rate where payments are exchanged semiannually are 5%, 6%, 6.5%, and 7%, respectively. Assume a principal of $100 and a volatility of 15% per annum. (a) Use LIBOR discounting (b) Use OIS discounting assuming that OIS swap rates are 80 basis points below LIBOR swap rates (c) Use the incorrect approach where OIS discounting is applied to swap rates calculate from LIBOR discounting. What is the error from using the incorrect approach?We first use the zero rates worksheet to calculate the LIBOR zero curve with LIBOR discounting. We then calculate the LIBOR and OIS zero curve with OIS discounting.(a)The LIBOR zero rates are transferred to the cap and swap option worksheet. Thevalue of the swaption is 4.602(b)The LIBOR and OIS zero rates are transferred to the cap and swap option worksheet.The value of the swaption is 4.736(c)The LIBOR zero curve from (a) and the OIS zero curve from (b) are transferred tothe cap and swap option worksheet. The value of the swaption is 4.783. The errorfrom using the incorrect approach is 4.783−4.736 = 0.047 or 4.7 basis points.。
期货交易管理暂行条例法律英语
期货交易管理暂行条例法律英语〔1999年5月25日国务院第18次常务会议通过，自1999年9月1日起施行，1999年6月2日中华人民共和国主席令第267号公布，自1999年9月1日起施行〕(Adopted at the 18th Executive Meeting of the State Council on May 25, 1999, promulgated by Decree No. 267 of the State Council of the People's Republic of China on June 2, 1999, and effective as of September 1, 1999 )第一章总那么Chapter I General Provisions第一条为了规范期货交易行为，加强对期货交易的监督治理，爱护期货市场秩序，防范风险，爱护期货交易各方的合法权益和社会公共利益，制定本条例。
Article 1 These Regulations are formulated in order to regulate the conduct of trading in futures, enhance the supervision and administration of futures trading, maintain order in the futures market, prevent and minimize risks, and protect the legitimate rights and interests of the parties trading in fixtures and the public interests of society.第二条从事期货交易及其相关活动的，必须遵守本条例。
Article 2 The conduct of any trading in futures and its related activities shall comply with these Regulations.第三条从事期货交易活动，应当遵循公布、公平、公平和诚实信用的原那么。
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带来损失，就可以通过股指期货空头对冲系统性风险。
（2）股指期货的最小方差套期保值比率
h HG
H G
于是股指期货的最小方差套期保值数量
N h VH VG
其中VH ,VG 分别为现货头寸的总金额和一份股指期货的合约规模（等 于期货点数乘以每点的价值）
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（3） 系数与最小方差套期保值比率
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期限（年） 1 2 3 年利率（%） 12.0 13.0 13.7 期限（年） 4 5 年利率（%） 14.2 14.5
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6. 假设 120 天期国债期货的年利率为 6%，210 天期国债期货的年利
率为 6.5%，按连续复利，则 120 天后交割的 90 天期的短期国债的价 格应该为多少？该国债期货的当前报价是多少？
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短期国债期货的套利分析
多头套期：担心未来利率下跌的投资者加入期货多头； 空头套期：担心未来利率上升的投资者加入期货空头。 分析：根据定价公式 F 100e
rF 4
，若利率下跌，到期日的国债期货
价格增大，故现在买进，将来能够以更高的价格卖出。
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例.假设短期国债的现金价格为 95.00，对于当前的 5%的利率水 平。如果交易者预测 3 个月后利率将下跌，那么他就要买进一份 3 个月期的利率期货。3 个月后，利率如他预测的那样下跌至 3% 水平，则对应于 97.00 的利率期货价格。此时，他卖出利率期货， 则赚取 2.00(97.00-95.00)的收益。
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股指期货：以股票指数作为标的资产，交易双方约定在将来某一特 定时间交收“一定指数的股价指数”的标准化期货合约。 特点： （1） 合约到期时，股指期货采用现金结算交割的方式而非实物交 割的方式。 （2） 股指期货的合约规模等于股指期货的价格点数乘以每个指 数点所代表的金额。 标准普尔 500 指数期货——500×S&P500 股价指数 香港恒生指数期货——50×恒生指数
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4.求下表中三种债劵到期年收益率（每年提息一次）
期限（年） 1.00 2.00 3.00 票息率 0.0000 0.0900 0.0950 到期收益率 发行价格 92.19 99.64 99.49
5.假设连续复利的零息票利率如下表所示，请计算第 2 年、第 3 年、 第 4 年、第 5 年的连续复利远期利率。
应用最小方差线性预测结果，有
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Cov(rH , rG ) HG Var (rG ) Var (rG ) h Var (rG ) Var (rG )
例 2.假设一投资经理管理着一个总价值为 40000000 元的多样化股票 投资组合，该组合相对于沪深 300 指数的 系数为 1.22.2012 年 3 月 14 日，该投资经理认为短期内大盘有下跌的风险，可能会使得投 资组合受到损失，决定进行套期保值。 该投资经理进行一个月的股指期货套期保值，现在 2012 年 4 月份到 期的沪深 300 指数期货为 2627 点，试制定一个最小风险套期保值方 案。
成分股交割股指期货；
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当 G Se( r q )(T t ) ，买入股指期货，卖空股票指数的成分股，到期时买 回成分股交割股指期货。 例 1. 2007 年 9 月 20 日， 美元 3 个月期无风险年利率为 3.77%， S&P500 指数预期红利收益率是 1.66%，当前 S&P500 指数 1518.75 点时， （1）2007 年 12 月到期的 S&P500 指数期货 SPZ7 相应的理论价格是 多少？ （2）若当前 SPZ7 报价为 1530 点，如何进行指数套利？
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解：进入股指期货空头，
VH 40000000,VG 2627 300 788100 N VH 40000000 1.22 61.92 VG 788100
即卖空62手指数期货。
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第五章补充题 1.假设一投资公司有＄20000000 的股票组合，应用 S&P500 指数期货 来套期保值。当前指数为 1080 点，该股票组合收益率的月标准差为 1.8，S&P500 指数期货收益率的月标准差为 0.9，两者的相关系数为 0.6，问如何进行套期保值？ 2.假设投资者 A 于 8 月 9 开仓买进 9 月沪深 300 指数期货合约 2 手， 平均价格 2800 点，经纪商收取的初始保证金和维持保证金比例均为 15%，问
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（1）该投资者需要提交多少保证金？ （2）若当日结算价为 2810 点，8 月 10 日结算价为 2750 点，填写下 表
日期 结算价 保证金帐户 余额 追加保证金 期指日收益 率 投资者在期 货头寸上的 日收益率
0809 0810
2810 2750
3.美国某公司管理一个 系数为 1.2，价格为 1000 万美元的投资组 合，当时 S&P500 指数为 1530 点，请问：该公司如何应用 S&P500 指 数期货为投资组合套期保值？
系数：CAPM 中用来描述投资组合的收益与市场收益之间的关系，
它是投资组合超出无风险利率的收益率关于市场超出无风险利率的 收益率回归得到的最优拟合直线的斜率，即
ri rM
现在在股指期货的套期保值中， ri rH , rM rG ，则有
rH rG
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5.6 5.6.1
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股指期货 股票指数
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所谓股票指数，是运用统计学方法编制而成的，反映股市中总体股 票价格或者某一类股票价格变动和走势情况的. 著名的股票指数： 道.琼斯工业股票平均数，标准普尔 500 指数（S&P500）,纽约证交 所综合股价指数，日经 225 股价指数（NK225） ，香港恒生指数，沪 深 300 指数。
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沪深 300 指数期货——300×沪深 300 指数 5.6.2 股指期货的定价
F Se( r q )(T t )
5.6.3 股指期货的应用 指数套利、套期保值。 1. 指数套利 指数套利机会：股指期货的实际价格不等于理论价格。当
G Se( r q)(T t ) ，卖出股指期货，买入股票指数的成分股，到期时卖出
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解： （1）
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T 3 12 0.25, t 0, S 1518.75, r 3.77%, q 1.6% f 1518.75e(3.77%1.6%)(0.250) 1526.78
（2）以 1530 点卖空 SPZ7， 以 1518.75 点价位买入同等规模的成分股 到期时以 1526.78 点价位卖出成分股，获得正常的收益率. 股指期货获得超额利润： （1530-1526.78）×500=1610 元
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2. 套期保值 （1）多头套期保值和空头套期保值 与其他期货品种一样，股指期货的套期保值也可以分为多头套期保 值和空头套期保值。值得强调的是，股指期货的标的资产是市场股 票指数，因此应用股指期货进行套期保值，管理的是股票市场的系 统性风险。 当投资者预期在将来特定时刻投资股票，但是担心大盘整体上扬而 抬高成本，可以预先进入股指期货多头。 当投资者看好手中的股票不愿轻易卖出，但是担心大盘整体下跌而