FuturesAndHedge
Money Market Hedge(货币市场对冲)
Complexity
Volatility
Disclosure
Complexity 复杂性
Hedging strategy is typically misunderstood by all but the most knowledgeable insiders. Futures, forwards, options and swaps（互换） are the most commonly employed money market hedges. Further, financial engineering（金 融工程） and large investors continue to roll out "exotic" products that add to the confusion. Institutions often have difficulty simply selecting the right product for the right situation.
Example
Consider a small Canadian company that has exported goods to a U.S. customer and expects to receive US$50,000 in one year. The Canadian CEO views the current exchange rate of US$1 = C$1.10 as favorable, and would like to lock it in, since he thinks that the Canadian dollar may appreciate over the year ahead (which would result in fewer Canadian dollars for the U.S. dollar export proceeds when received in a year’s time). The Canadian company can borrow US$ at 1.75% for one year and can receive 2.5% per annum（年利息） for Canadian-dollar deposits（存款）.
期货常用单词Futures
AAcross the board 全盘Adjusted Futures Price 调整后的期货价格American-style options 美式期权AON (all or none) AON( 全部的或决不) Arbitrage 套利Arbitration 仲裁As-of trade 原有贸易Ask 沽出价指的是在指定的价格下愿意出售期货合约。
Assignment 转让Associated person (AP) 期货业务员commodity brokerAt the market 市场价At-the-money 平价An option with a strike price equal to the underlying futures price. Average Daily Volume 平均每日交易量Average Down 平均值下移Average Price Call 平均价买入期权Average Price Put 平均价卖出期权BBack months 远期月Bar chart 条形图Basis 基差Basis contract 基差合约Bear 熊市( 跌市)Bear call spread 熊市购进认购期权跨价组合Bear market (bear/bearish) 熊市( 熊市/ 看空)Bearish key reversal 熊市重要反转Bid 买价Bid (or buy) 买( 或买)Black Scholes Model 布莱克斯格尔模式Blowoff volume 倾销量Board of Trade 交易委员会Bond 债券Box Spread 盒式套利Break 突破Breakaway gap 突破缺口Breakeven 平衡点（收支相抵）Brokerage 佣金Brokerage house 经纪行Bulge 暴涨Bull 牛市( 买空)Bull market 牛市、多头市场Bull spread 牛市套利Bullish key reversal 牛市重要反转Bundle 一揽子交易Buoyant 市场活跃Butterfly Spread 蝶式套利Buy To Close 买进冲销、买进平仓Buy To Open 买入建仓CCall 买入期权Call breakeven 买入期权平衡点Call option 买进期权Call profit/loss 认购期权盈亏Call value 认购价值Canceling Order 取消订单Carrying Charge (Cost of Carry) 持仓费Carryover 接转Cash commodity 现货Cash price 现货价Also called "spot price." Cash settlement 现金交割Certificate of Deposit (CD) 存款证Charting 绘图Chartist 绘图分析员Cheapest to deliver 廉价交割方式Class B clearing member B 等级清算成员Class code or transition class 分类符号或转折组Clearing 清算Clearing fee 结算费Clearing margin 结算押金Clearing trade transaction 结算交易Close 收盘、收市Closing price 收盘价Closing range 结算幅度Commission Fee 佣金Commitment of Open Interest 未平仓权益承诺Contract close-out 清算合约Contract Grades 合约级别Contract month 到期交割月Convergence 整合Coupon 票面利率Credit spread 融资套利Crush Spread 变形套利（跨品种套利）Cultural 文化风险Current delivery month 当前交割月Customer Margin 客户保证金DDaily trading limits 日交易限制Day trader 当日交易者Day trading 即日交易Differentials 差价Deferred 延期See "back months." 见“远期月"Delivery 交割Delivery month 交割月See "contract month." 见"到期交割月"Delivery Points 交割点EElliot wave theory 艾略特波浪理论Equilibrium Price 均衡价格European-style options 欧式期权Excess reserves 超额储备Exercise 执行Exercise or strike price 执行或交易价格Exercise price 执行价格Exhaustion gap 竭尽缺口Expanded Trading Hours 延迟交易时间Expiration 期满、截止期限FFast market 快市Federal Funds Rate 联邦基金利率Feed Ratio 饲养收益率Fill-or-kill order (FOK) 成交或取消委托Financial Instrument 金融商品First Day Notice 第一通知日Floor trader 场内交易员Full Carrying Charge Market 总持仓价市场Futures 期货Futures contract 期货合同Futures Exchange 期货交易所GGamma 伽玛Gap 缺口Gap theory 缺口理论Give up 过户Gross Domestic Product (GDP) 国内生产总值Gross National Product (GNP) 国民生产总Gross Processing Margin (GPM) 加工毛利HHead and shoulders 头肩形Hedge 保值Hedger 保值避险者Hidden quantity 隐藏交易额High 高价High Limit 涨停价Historical volatility 历史波幅Holder 持有者Hog/Corn Ratio 猪/ 玉米比率House 清算所Clearing member or a firm.清算成员或公司Hundredweight 英担IIn-the-money 实值Index 指数Initial margin 原始保证金Instrument 金融商品In-the-Money Option 实值期权Intrinsic value 内在价值Introducing broker (IB) 中介经纪商Inverted Market 逆转市场Invisible Supply 私人仓储LLagging Indicators 滞后指标Last trading day 最后交易日Lead month 最近合约月Leading Indicators 领先指标Leverage 杠杆作用Limit 限价Limit move 涨跌停See "maximum price fluctuation." 见"最大价格波幅"Limit order 限价委托单Liquid 流动性Liquidate 平仓，斩仓Locals 自由经纪人Long 买入Long hedge 多头避险Long position 多头头寸Lot 、手Low 最低价MManaged Futures 管理期货Margin 保证金Margin Call 追缴保证金，补仓Mark-to-market 逐日结算Market order 市价委托单Market segment 市场划分Market value 市场价值Market-if-touched (MIT) 触价单Market-on-close (MOC) 收盘价委托单Marketplace 市场Matched trade 对应交易Maturity 到期期间Maximum price fluctuation 最大价格波幅Minimum price fluctuation 最小价格波幅ML 限价累积表现市场Mnemonic 记符MO 委托单表现市场MOC (market order at closing) 收盘价委托单MOO 开盘市价单Market order at opening –a market order MOS 跨国对冲系统Moving average chart 移动平均图表Moving averages 移动平均线NNearby 最近合约月Nearby (Delivery) Month 交割月份Net Liquidation Value 净清盘价值Net Options Value 净期权价值Non-serial options 不分期期权Notice Day 通知日Notional value 名目金额OOCO (order cancels order) 选择性委托单Offer (or ASK, or sell) 报价Offset 平仓Open interest 未平仓合约Open order 未成交单Open outcry 公开喊价Opening 开市Opening price 开市价Opening range 开盘时段Option 期权Option assignment 期权转让Option buyer 期权购买者Option Premium 期权金Option seller 期权出售者Order 委托单Order type 委托单类型Out-of-the-money 虚值Out-trades 错误交易Overbought/oversold 超买/ 超卖PP&S(Purchase and Sale) Statement 买卖表Phase (market) 阶段（市场）Point and Figure Chart 点形图Position 持仓Position Day 持仓日Position Limit 持仓限额Position Trader 头寸交易者Premium 期权金Price 价格Price Discovery 市场定价Price Limit 价格限额Price order 定价定单Producer Price Index (PPI) 产品价格指数Purchasing Hedge (or Long Hedge) 买入避险Purchasing Power 购买力Pure hedger 单纯避险者Put 看跌期权Put breakeven 看跌期权平衡点See "breakeven."见"平衡点"Put option 看跌期权Put profit / loss 看跌期权获利/ 损失Put value 看跌期权价值QQualifier 定单有效时间Quantity 数量Quote 报价RRally 反弹Range 波幅Reaction 下跌Reference price 参考价格Registered representative 注册代理人Repurchase Agreements (or Repo) 回购协议Resistance line 阻力线Reserve Requirements 储备需求Federal Reserve( 联邦储备) 需要他的成员Resistance 价格阻力Retracement 背驰Reverse Crush Spread 反变形套利Risk 风险Possibility of suffering loss.遭受损失的可能性。
futures hedging金融术语意思
futures hedging金融术语意思
期货套期保值（Futures Hedging）是指企业通过持有与其现货市场头寸相反的期货合约，以对冲现货市场价格波动风险的一种金融策略。
期货套期保值的主要目的是降低企业面临的价格风险，保护企业的利润或成本。
下面是一个简单的例子来说明期货套期保值的概念：假设一家生产大豆的企业担心大豆价格下跌会影响其利润，因此决定在期货市场上进行套期保值。
该企业在期货市场上买入大豆期货合约，以锁定未来购买大豆的价格。
如果大豆价格下跌，期货合约的价值将会上升，从而抵消了现货市场上的损失。
相反，如果大豆价格上涨，期货合约的价值将会下降，但是企业在现货市场上的销售收入也会增加，从而仍然能够获得利润。
期货套期保值可以分为买入套期保值和卖出套期保值两种类型。
买入套期保值是指企业在期货市场上买入期货合约，以锁定未来购买原材料或商品的价格。
卖出套期保值是指企业在期货市场上卖出期货合约，以锁定未来销售产品的价格。
需要注意的是，期货套期保值并不能完全消除价格风险，而是将价格风险转移到了期货市场上。
此外，期货套期保值也需要企业具备一定的市场分析和风险管理能力，以确保套期保值策略的有效性。
期权期货常用英语（Optionfutures）
期权期货常用英语（Option futures）Abandon abandon: confirm option failureActuals in stock (LME generally uses physical)Arbitrage inter market arbitrageAssay test analysisAsk asking for priceAt-the-Money equal value: the performance price of the option is exactly the same as the current price of the current option futures contractBack pricing effective time pricing: producers usually use the LME settlement price as the benchmark and the daily settlement price is valid until noon the following day. Also known as Known the (Pricing on pricing)Backwardation spot Premium: the spot price is higher than the futures price (also known as Back). It is the reverse market and the inverted MarketBase, Metal, base metal, fund: metals other than gold, silver, and platinumBar Chart bar graphBasis: the basis of a commodity spot price and futures price differenceBasis Price basic price, exercise price: the price in which the seller and the Buyer agree and conclude the transaction in the options transaction. Also known as Price (Strike price), usually for the current market priceBear short seller, bearish: Contrary to BullBear Covering ends the short positionBear, Market, bear markets, bear markets: markets where prices have generally fallenBear Position has been selling the futures short positions: hope the future will at a lower price to buy, sell and profit is now the difference between the purchase price laterBest Orders best buy and sell order (Buying/Selling, at, Best)Bid buyer's offerBond bondBottom bottom price: the lowest price for a period of timeBorrowing borrow (Borrowing metal from the market): buy near futures at the same time, sell far futuresBreak slump, sudden rise, breakthrough: prices appear larger fluctuationsBroker brokers, brokersBull bulls, Bulls: the opposite of BearBull, Market bull markets, bull markets: markets where prices have generally risenBull Position long position: buy futures and expect to sell at a higher price later. The profit is the difference between the present and future selling pricesBusiness Day trading dayBuying Hedge (Long Hedge) buy hedgeBuy In: open, hedge, or close a short positionBuy on Close buy at close: buy at closing price at closingBuy on Opening open to buy: buy at the opening price at the openingCall Option call option, delay buying options: allow buyers to buy a specified futures contracts according to a specific power price. When the expected market value is bullish, a call option, such as a buyer's mistake, can be waived. The risk of loss is only the premium of the purchase optionCall Price call priceCanceling Order undo instruction: the instruction to cancel theprevious instructionCarrying borrows and lends: LEM refers to the borrowed loan, and it also represents a borrowing operation that causes the borrower to deposit the metal that he holds into the LEM registered warehouseCarrying Charge storage costs: the storage, payment of insurance, loss, interest, etc.Cash pays cash on hand: LEM means cash delivery for second days after the closing of the spot transaction at settlement price; other exchanges often refer to spot transactionsCashCarry borrow: futures premium, the impact on the long term premium goods often during storage, insurance, the cost of capital. When the metal is in excess, the futures premium tends to expand. As the traders buy near futures futures, the financing cost of futures is low, which makes the bank lending attractiveCash Commodity spot merchandiseCash Today next day delivery: the delivery date of the contract is the next trading dayCFTC Commodity Futures Trading Commission: futures trading is managed by the office of the commodity exchange of the Ministry of AgricultureClear, Clearance liquidation: settlement of funds for futurescontractsClearing House clearing houseClearingMember settlement member: the member company of the clearing house. The settlement member must be a member of the clearing houseClerk floor brokerage assistant: authorized to act as a floor brokerClient Contract commission contract: settlement contract between members and non settlement members, non settlement members and other tradersClient Option: the principal option options trading either Junfei trading settlement membersClose closeClosing Range closing price rangeCOMEX（纽约商品交易所）纽约商品交易所委员会佣金承诺承诺（或未结清权益）大宗商品交易中心（CEC）纽约商品交易中心：纽约商品交易所、纽约商业交易所（NYMEX）、纽约棉花交易所、咖啡糖可可交易所的所在地委员会（证监会或丝房子房子房子）经纪商行代办行升水期货升水：金属近期供货充足时，远期价高于现货价是为正向市场，顺价市场。
Derivative market
未来支付 额的减少
波动越大越可能获 得更高的收益，纵 使价格下跌也不会 损失更多（0）
Option Value Determinants
不能用 DCF，因 为那是确 定的现金 流收益
• 内在Intrinsic价值：立即执行的收益 Call=S0-X， Put= X- S0 时间价值：期权价格和内生价值的差
Forward & Futures Contracts
1. Forward 远期合约 • 买卖双方在将来某一时间进行一定数量的资产和现金的交换。 多头—未来买资产；空头—未来卖资产 • 特征：现金和实物交割；场外交易，每份合约可以量身定做
2. Future 期货合约 类似于远期合约，但是： • 期货交易所给出标准化合约，并担保向遭受信用或违约风险的 一方赔偿，需要保证金 • 逐日盯市marked to market的结算制度，合约价格每天调整并在 账户上反映，确保双方拥有足够的资金偿付。具体来说，初始 保证金performance bond 5%-10%，并且有维持保证金要求
Options 期权
Example
所有的投资 收益都可以 通过期权工 具的组合来 达到
Example
Put Call Parity
• 投资组合A：股票+看跌期权 投资组合B：看涨期权+国债（面值为执行价） 组合A相当于一个保护策略 具体收益
Option Value Determinants
衍生品交易目的
• Speculation投机：依靠标的价格变化牟利，但不用直接投资标的资产 • Hedge对冲：降低风险--对于已有资产的保护；对于未来期待的承诺 • 用远期来对冲 - 股指期货：防范现有资产的市场风险 - 期货空头：认为未来市场会下跌 - 商品期货：小麦生产者是期货空头，锁定未来产品价格 • 通过一价定律套利 e.g. 金价2% ，利率1%，现货价格$1400/盎司 一年后的远期= 1400 *(1+0.02+0.01)=$1442 如果目前远期是$1450，可以买现货，存一年后卖出套利
金融英语口语大全第41期：Hedging
New Words新单词hedging n.套期保值broker n.经纪⼈purchase v.购买consignment n.⼀批货物starch n.淀粉futures n.期货Phrases & Expressions短语senior executive⾼级职员grain exchange⾕物交易所anticipatory hedging预期性套期保值cash market现货市场sell short卖空buy long买空CIF (cost, insurance and freight )到岸价L:Excuse me, sir. I come here to meet Mr. Kent.兰：请原谅，先⽣。
我找肯特先⽣。
K:It is me. Are you Mr. Landor?肯：我就是我，您是兰道先⽣吧？L:Yes, I am Landor.兰：是的，我是兰道。
K:Good morning. My secretary told me you would come this morning.肯：早上好，我的秘书对我说你今天早上会来。
L:Good morning. I have got something to consult with you.兰：早上好，我有点⼉事向您咨询。
/K:Yes?肯：什么事？L:Our company is going to purchase 50 000 tons of corn from America on August 20th and the CIF is 15 000 American dollars per ton.兰：我们公司在8⽉20⽇将要从美国购买5万吨⽟⽶，它的岸价是每吨15000美元，40 000 of the consignment have been ordered by a feed processing plant and a corn starch plant,其中4万吨已被饲料加⼯公司和⽟⽶淀粉公司预定了。
【VIP专享】对冲基金多头-空头策略实例 An Example of Long-short Strategy
2. Simply hedge long positions with ETFs or derivatives to reduce market risk. Managers selects a diversified portfolio of long stocks via fundamental analysis, and then hedge market risk with a synthetic short position, for example long put plus short call (relating stock index options). Main advantages When the short opportunities are limited or short selling is restricted, this technique enables hedge fund manager to construct long/short portfolio. In practice, borrowing certain amount of one specific stock from brokers might be hard and expensive; moreover, in several financial markets (for example China) short-selling is heavily restricted. Given these facts, this strategy exhibits its great advantage that it’s practicable. And the initial investments of constructing short positions are comparatively low (differences of option premiums). In addition, to hedge out market risk, the direct and efficient way is constructing short position using index options. When the options are in-the-money, the profit from short position is linear to index changes.
hedge的用法 -回复
hedge的用法-回复"Hedge" 的用法引言：当我们需要表达一种保留意见、避免承诺或减少风险的方式时，我们常常会使用"hedge" 这个词。
本文将详细介绍"hedge" 一词的不同用法，并给出丰富的例句来帮助读者更好地理解。
第一部分："Hedge" 的基本含义与用法1. "Hedge" 的动词用法：在动词形式下，"hedge" 的基本意思是采取保守措施，以减少风险或避免承诺。
常见的动词短语有"hedge against" 或"hedge on"。
例如：a. The company hedged against currency fluctuations by buying foreign currency.（该公司通过购买外汇避免了货币波动的风险。
）b. He hedged on the agreement, refusing to make any firm commitments.（他对协议采取保留意见，拒绝做出任何明确的承诺。
）2. "Hedge" 的名词用法：在名词形式下，"hedge" 指的是减少风险或保护自身利益的手段。
常见的短语有"a hedge against" 或"a hedge fund"。
例如：a. Gold is often considered a hedge against inflation.（黄金通常被认为是对抗通货膨胀的保值手段。
）b. Many wealthy investors put their money into hedge funds to diversify their portfolios.（许多富有的投资者将资金投入对冲基金中，以分散投资组合。
国际财务管理(英文版)课后习题答案8
CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1. Explain the basic differences between the operation of a currency forward market and a futures market.Answer: The forward market is an OTC market where the forward contract for purchase or sale of foreign currency is tailor-made between the client and its international bank. No money changes hands until the maturity date of the contract when delivery and receipt are typically made. A futures contract is an exchange-traded instrument with standardized features specifying contract size and delivery date. Futures contracts are marked-to-market daily to reflect changes in the settlement price. Delivery is seldom made in a futures market. Rather a reversing trade is made to close out a long or short position.2. In order for a derivatives market to function most efficiently, two types of economic agents are needed: hedgers and speculators. Explain.Answer: Two types of market participants are necessary for the efficient operation of a derivatives market: speculators and hedgers. A speculator attempts to profit from a change in the futures price. To do this, the speculator will take a long or short position in a futures contract depending upon his expectations of future price movement. A hedger, on-the-other-hand, desires to avoid price variation by locking in a purchase price of the underlying asset through a long position in a futures contract or a sales price through a short position. In effect, the hedger passes off the risk of price variation to the speculator who is better able, or at least more willing, to bear this risk.3. Why are most futures positions closed out through a reversing trade rather than held to delivery?Answer: In forward markets, approximately 90 percent of all contracts that are initially established result i n the short making delivery to the long of the asset underlying the contract. This is natural because the terms of forward contracts are tailor-made between the long and short. By contrast, only about one percent of currency futures contracts result in delivery. While futures contracts are useful for speculation and hedgi ng, their standardized delivery dates make them unlikely to correspond to the actual future dates when foreignexchange transactions will occur. Thus, they are generally closed out in a reversing trade. In fact, the commission that buyers and sellers pay to transact in the futures market is a single amount that covers the round-trip transactions of initiating and closing out the position.4. How can the FX futures market be used for price discovery?Answer: To the extent that FX forward prices are an unbiased predictor of future spot exchange rates, the market anticipates whether one currency will appreciate or depreciate versus another. Because FX futures contracts trade in an expiration cycle, different contracts expire at different periodic dates into the future. The pattern of the prices of these cont racts provides information as to the market’s current belief about the relative future value of one currency versus another at the scheduled expiration dates of the contracts. One will generally see a steadily appreciating or depreciating pattern; however, it may be mixed at times. Thus, the futures market is useful for price discovery, i.e., obtaining the market’s forecast of the spot exchange rate at different future dates.5. What is the major difference in the obligation of one with a long position in a futures (or forward) contract in comparison to an options contract?Answer: A futures (or forward) contract is a vehicle for buying or selling a stated amount of foreign exchange at a stated price per unit at a specified time in the future. If the long holds the contract to the delivery date, he pays the effective contractual futures (or forward) price, regardless of whether it is an advantageous price in comparison to the spot price at the delivery date. By contrast, an option is a contract giving the long the right to buy or sell a given quantity of an asset at a specified price at some time in the future, but not enforcing any obligation on him if the spot price is more favorable than the exercise price. Because the option owner does not have to exercise the option if it is to his disadvantage, the option has a price, or premium, whereas no price is paid at inception to enter into a futures (or forward) contract.6. What is meant by the terminology that an option is in-, at-, or out-of-the-money?Answer: A call (put) option with S t > E (E > S t) is referred to as trading in-the-money. If S t E the option is trading at-the-money. If S t< E (E < S t) the call (put) option is trading out-of-the-money.7. List the arguments (variables) of which an FX call or put option model price is a function. How does the call and put premium change with respect to a change in the arguments?Answer: Both call and put options are functions of only six variables: S t, E, r i, r$, T andσ.When all else remains the same, the price of a European FX call (put) option will increase:1. the larger (smaller) is S,2. the smaller (larger) is E,3. the smaller (larger) is r i,4. the larger (smaller) is r$,5. the larger (smaller) r$ is relative to r i, and6. the greater is σ.When r$ and r i are not too much different in size, a European FX call and put will increase in price when the option term-to-maturity increases. However, when r$ is very much larger than r i, a European FX call will increase in price, but the put premium will decrease, when the option term-to-maturity increases. The opposite is true when r i is very much greater than r$. For American FX options the analysis is less complicated. Since a longer term American option can be exercised on any date that a shorter term option can be exercised, or a some later date, it follows that the all else remaining the same, the longer term American option will sell at a price at least as large as the shorter term option.PROBLEMS1. Assume today’s settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three days’ settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the chan ges in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day.Solution: $1,700 + [($1.3140 - $1.3126) + ($1.3126 - $1.3133)+ ($1.3133 - $1.3049)] x EUR125,000 = $2,837.50,where EUR125,000 is the contractual size of one EUR contract.2. Do problem 1 again assuming you have a long position in the futures contract.Solution: $1,700 + [($1.3126 - $1.3140) + ($1.3133 - $1.3126) + ($1.3049 - $1.3133)] x EUR125,000 = $562.50,where EUR125,000 is the contractual size of one EUR contract.With only $562.50 in your performance bond account, you would experience a margin call requesting that additional funds be added to your performance bond account to bring the balance back up to the initial performance bond level.3. Using the quotations in Exhibit 7.3, calculate the face value of the open interest in the June 2005 Swiss franc futures contract.Solution: 2,101 contracts x SF125,000 = SF262,625,000.where SF125,000 is the contractual size of one SF contract.4. Using the quotations in Exhibit 7.3, note that the June 2005 Mexican peso futures contract has a price of $0.08845. You believe the spot price in June will be $0.09500. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?Solution: If you expect the Mexican peso to rise from $0.08845 to $0.09500, you would take a long position in futures since the futures price of $0.08845 is less than your expected spot price.Your anticipated profit from a long position in three contracts is: 3 x ($0.09500 - $0.08845) x MP500,000 = $9,825.00, where MP500,000 is the contractual size of one MP contract.If the futures price is an unbiased predictor of the expected spot price, the expected spot price is the futures price of $0.08845/MP. If this spot price materializes, you will not have any profits or losses from your short position in three futures contracts: 3 x ($0.08845 - $0.08845) x MP500,000 = 0.5. Do problem 4 again assuming you believe the June 2005 spot price will be $0.08500.Solution: If you expect the Mexican peso to depreciate from $0.08845 to $0.07500, you would take a short position in futures since the futures price of $0.08845 is greater than your expected spot price.Your anticipated profit from a short position in three contracts is: 3 x ($0.08845 - $0.07500) x MP500,000 = $20,175.00.If the futures price is an unbiased predictor of the future spot price and this price materializes, you will not profit or lose from your long futures position.6. George Johnson is considering a possible six-month $100 million LIBOR-based, floating-rate bank loan to fund a project at terms shown in the table below. Johnson fears a possible rise in the LIBOR rate by December and wants to use the December Eurodollar futures contract to hedge this risk. The contract expires December 20, 1999, has a US$ 1 million contract size, and a discount yield of7.3 percent.Johnson will ignore the cash flow implications of marking to market, initial margin requirements, and any timing mismatch between exchange-traded futures contract cash flows and the interest payments due in March.Loan TermsSeptember 20, 1999 December 20, 1999 March 20, 2000 ∙Borrow $100 million at ∙Pay interest for first three ∙Pay back principal September 20 LIBOR + 200 months plus interestbasis points (bps) ∙Roll loan over at∙September 20 LIBOR = 7% December 20 LIBOR +200 bpsLoan First loan payment (9%) Second paymentinitiated and futures contract expires and principal↓↓↓∙∙9/20/99 12/20/99 3/20/00a. Formulate Johnson’s September 20 floating-to-fixed-rate strategy using the Eurodollar future contracts discussed in the text above. Show that this strategy would result in a fixed-rate loan, assuming an increase in the LIBOR rate to 7.8 percent by December 20, which remains at 7.8 percent through March 20. Show all calculations.Johnson is considering a 12-month loan as an alternative. This approach will result in two additional uncertain cash flows, as follows:Loan First Second Third Fourth payment initiated payment (9%) payment payment and principal↓↓↓↓↓∙∙∙∙9/20/99 12/20/99 3/20/00 6/20/00 9/20/00b. Describe the strip hedge that Johnson could use and explain how it hedges the 12-month loan (specify number of contracts). No calculations are needed.CFA Guideline Answera. The basis point value (BPV) of a Eurodollar futures contract can be found by substituting the contract specifications into the following money market relationship:BPV FUT = Change in Value = (face value) x (days to maturity / 360) x (change in yield)= ($1 million) x (90 / 360) x (.0001)= $25The number of contract, N, can be found by:N = (BPV spot) / (BPV futures)= ($2,500) / ($25)= 100ORN = (value of spot position) / (face value of each futures contract)= ($100 million) / ($1 million)= 100ORN = (value of spot position) / (value of futures position)= ($100,000,000) / ($981,750)where value of futures position = $1,000,000 x [1 – (0.073 / 4)]102 contractsTherefore on September 20, Johnson would sell 100 (or 102) December Eurodollar futures contracts at the 7.3 percent yield. The implied LIBOR rate in December is 7.3 percent as indicated by the December Eurofutures discount yield of 7.3 percent. Thus a borrowing rate of 9.3 percent (7.3 percent + 200 basis points) can be locked in if the hedge is correctly implemented.A rise in the rate to 7.8 percent represents a 50 basis point (bp) increase over the implied LIBOR rate. For a 50 basis point increase in LIBOR, the cash flow on the short futures position is:= ($25 per basis point per contract) x 50 bp x 100 contracts= $125,000.However, the cash flow on the floating rate liability is:= -0.098 x ($100,000,000 / 4)= - $2,450,000.Combining the cash flow from the hedge with the cash flow from the loan results in a net outflow of $2,325,000, which translates into an annual rate of 9.3 percent:= ($2,325,000 x 4) / $100,000,000 = 0.093This is precisely the implied borrowing rate that Johnson locked in on September 20. Regardless of the LIBOR rate on December 20, the net cash outflow will be $2,325,000, which translates into an annualized rate of 9.3 percent. Consequently, the floating rate liability has been converted to a fixed rate liability in the sense that the interest rate uncertainty associated with the March 20 payment (using the December 20 contract) has been removed as of September 20.b. In a strip hedge, Johnson would sell 100 December futures (for the March payment), 100 March futures (for the June payment), and 100 June futures (for the September payment). The objective is to hedge each interest rate payment separately using the appropriate number of contracts. The problem is the same as in Part A except here three cash flows are subject to rising rates and a strip of futures is used tohedge this interest rate risk. This problem is simplified somewhat because the cash flow mismatch between the futures and the loan payment is ignored. Therefore, in order to hedge each cash flow, Johnson simply sells 100 contracts for each payment. The strip hedge transforms the floating rate loan into a strip of fixed rate payments. As was done in Part A, the fixed rates are found by adding 200 basis points to the implied forward LIBOR rate indicated by the discount yield of the three different Eurodollar futures contracts. The fixed payments will be equal when the LIBOR term structure is flat for the first year.7. Jacob Bower has a liability that:∙has a principal balance of $100 million on June 30, 1998,∙accrues interest quarterly starting on June 30, 1998,∙pays interest quarterly,∙has a one-year term to maturity, and∙calculates interest due based on 90-day LIBOR (the London Interbank OfferedRate).Bower wishes to hedge his remaining interest payments against changes in interest rates.Bower has correctly calculated that he needs to sell (short) 300 Eurodollar futures contracts to accomplish the hedge. He is considering the alternative hedging strategies outlined in the following table.Initial Position (6/30/98) in90-Day LIBOR Eurodollar ContractsStrategy A Strategy BContract Month (contracts) (contracts)September 1998 300 100December 1998 0 100March 1999 0 100a. Explain why strategy B is a more effective hedge than strategy A when the yield curveundergoes an instantaneous nonparallel shift.b. Discuss an interest rate scenario in which strategy A would be superior to strategy B.CFA Guideline Answera. Strategy B’s SuperiorityStrategy B is a strip hedge that is constructed by selling (shorting) 100 futures contracts maturing in each of the next three quarters. With the strip hedge in place, each quarter of the coming year is hedged against shifts in interest rates for that quarter. The reason Strategy B will be a more effective hedge than Strategy A for Jacob Bower is that Strategy B is likely to work well whether a parallel shift or a nonparallel shift occurs over the one-year term of Bower’s liability. That is, regardless of what happens to the term structure, Strategy B structures the futures hedge so that the rates reflected by the Eurodollar futures cash price match the applicable rates for the underlying liability-the 90day LIBOR-based rate on Bower’s liability. The same is not true for Strategy A. Because Jacob Bower’s liability carries a floating interest rate that resets quarterly, he needs a strategy that provides a series of three-month hedges. Strategy A will need to be restructured when the three-month September contract expires. In particular, if the yield curve twists upward (futures yields rise more for distant expirations than for near expirations), Strategy A will produce inferior hedge results.b. Scenario in Which Strategy A is SuperiorStrategy A is a stack hedge strategy that initially involves selling (shorting) 300 September contracts. Strategy A is rarely better than Strategy B as a hedging or risk-reduction strategy. Only from the perspective of favorable cash flows is Strategy A better than Strategy B. Such cash flows occur only in certain interest rate scenarios. For example Strategy A will work as well as Strategy B for Bower’s liability if interest rates (instantaneously) change in parallel fashion. Another interest rate scenario where Strategy A outperforms Strategy B is one in which the yield curve rises but with a twist so that futures yields rise more for near expirations than for distant expirations. Upon expiration of the September contract, Bower will have to roll out his hedge by selling 200 December contracts to hedge the remaining interest payments. This action will have the effect that the cash flow from Strategy A will be larger than the cash flow from Strategy B because the appreciation on the 300 short September futures contracts will be larger than the cumulative appreciation in the 300 contracts shorted in Strategy B (i.e., 100 September, 100 December, and 100 March). Consequently, the cash flow from Strategy A will more than offset the increase in the interest payment on the liability, whereas the cash flow from Strategy B will exactly offset the increase in the interest payment on the liability.8. Use the quotations in Exhibit 7.7 to calculate the intrinsic value and the time value of the 97 September Japanese yen American call and put options.Solution: Premium - Intrinsic Value = Time Value97 Sep Call 2.08 - Max[95.80 – 97.00 = - 1.20, 0] = 2.08 cents per 100 yen97 Sep Put 2.47 - Max[97.00 – 95.80 = 1.20, 0] = 1.27 cents per 100 yen9. Assume spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the minimum price that a six-month American call option with a striking price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3 ½ percent.Solution:Note to Instructor: A complete solution to this problem relies on the boundary expressions presented in footnote 3 of the text of Chapter 7.C a≥Max[(70 - 68), (69.50 - 68)/(1.0175), 0]≥Max[ 2, 1.47, 0] = 2 cents10. Do problem 9 again assuming an American put option instead of a call option.Solution: P a≥Max[(68 - 70), (68 - 69.50)/(1.0175), 0]≥Max[ -2, -1.47, 0] = 0 cents11. Use the European option-pricing models developed in the chapter to value the call of problem 9 and the put of problem 10. Assume the annualized volatility of the Swiss franc is 14.2 percent. This problem can be solved using the FXOPM.xls spreadsheet.Solution:d1 = [ln(69.50/68) + .5(.142)2(.50)]/(.142)√.50 = .2675d2 = d1 - .142√.50 = .2765 - .1004 = .1671N(d1) = .6055N(d2) = .5664N(-d1) = .3945N(-d2) = .4336C e = [69.50(.6055) - 68(.5664)]e-(.035)(.50) = 3.51 centsP e = [68(.4336) - 69.50(.3945)]e-(.035)(.50) = 2.03 cents12. Use the binomial option-pricing model developed in the chapter to value the call of problem 9.The volatility of the Swiss franc is 14.2 percent.Solution: The spot rate at T will be either 77.39¢ = 70.00¢(1.1056) or 63.32¢ = 70.00¢(.9045), where u = e.142 .50= 1.1056 and d = 1/u= .9045. At the exercise price of E= 68, the option will only be exercised at time T if the Swiss franc appreciates; its exercise value would be C uT= 9.39¢ = 77.39¢ - 68. If the Swiss franc depreciates it would not be rational to exercise the option; its value would be C dT = 0.The hedge ratio is h = (9.39 – 0)/(77.39 – 63.32) = .6674.Thus, the call premium is:C0= Max{[69.50(.6674) – 68((70/68)(.6674 – 1) +1)]/(1.0175), 70 – 68}= Max[1.64, 2] = 2 cents per SF.MINI CASE: THE OPTIONS SPECULATORA speculator is considering the purchase of five three-month Japanese yen call options with a striking price of 96 cents per 100 yen. The premium is 1.35 cents per 100 yen. The spot price is 95.28 cents per 100 yen and the 90-day forward rate is 95.71 cents. The speculator believes the yen will appreciate to $1.00 per 100 yen over the next three months. As the speculator’s assistant, you have been asked to prepare the following:1. Graph the call option cash flow schedule.2. Determine the speculator’s profit if the yen appreciates to $1.00/100 yen.3. Determine the speculator’s profit if the yen only appreciates to the forward rate.4. Determine the future spot price at which the speculator will only break even.Suggested Solution to the Options Speculator:1.-2. (5 x ¥6,250,000) x [(100 - 96) - 1.35]/10000 = $8,281.25.3. Since the option expires out-of-the-money, the speculator will let the option expire worthless. He will only lose the option premium.4. S T = E + C = 96 + 1.35 = 97.35 cents per 100 yen.。
金融工程原理-future hedge (2)
In October, US Company A is expecting to pay 62,500 pounds in December for import from Britain, while US Company B is expecting to receive 62,500 pounds for its export to Britain.A futures contract is for 62,500 pounds.
Spot price and futures price move in the same direction The profit on the futures position will partially offset the loss in the spot market hedging
Opposite positions in futures market and spot market
Chapter 3: Futures Hedging Strategies
Important Concepts
Basic
principles Hedging concepts Perfect hedging vs. imperfect hedging Contract choice Minimum variance hedge ratio
The situation would be better if we didn’t use futures contracts to hedge.
Ch. 3: 8
3.2 Hedging Concepts
It is important to recognize that futures hedging does not necessarily improve the overall financial outcome. What the futures hedge does do is to reduce risk by making the outcome more certain.
第3讲：对冲与对冲策略
12
Example
A firm with $100m debt vulnerable to the combination of a weak economy and weak dollar (a US exporting firm). Without hedging with
Lecture 3: Hedging and Hedging Strategies
10
减少预期税收支出
Non-linearity in tax system can create incentives to hedge. In particular, profits and losses are often treated differently. Electronics company exporting from Singapore into US, 40% income tax (assuming exchange rate does not affect quantity):
Lecture 3: Hedging and Hedging Strategies
5
对冲基金投资策略的特点
运用杠杆效应。典型的对冲基金往往利用银行信贷以较高 的财务杠杆在其原始基金的基础上以几倍、几十倍甚至是 成百上千倍地扩大投资规模，从而达到最大程度地获取投 资回报的目的； 大量卖空交易。当对冲基金经理认为某一证券价值被高估 ，市场价格远偏离其真实的价值，预计该证券难以支撑如 此高的市场价格，价格必将下跌，于是对冲基金的投资经 理事先缴纳保证金从经纪商或机构投资者那里借入一定数 量的该证券，并将其全部出售，待价格下跌后，又在低价 买入，将购回的证券归还给经纪商或机构投资者，并由此 赚取证券差价收益。 大量使用金融衍生工具。
商务应用文写作需要的商务词汇
aabroad adv. 在国外，出国，广泛流传absence n. 缺席，离开absent adj. 不在，不参与absenteeism n. （经常性）旷工，旷职absorb v. 吸收，减轻（冲击、困难等）作用或影响abstract n. 摘要access n. 接近（或进入）的机会，享用权v. 获得使用计算机数据库的权利accommodation n. 设施，住宿account n. 会计帐目accountancy n. 会计工作accountant n. 会计accounts n. 往来帐目account for 解释，说明account executive n. （广告公司）客户经理*accruals n. 增值，应计achieve v. 获得或达到，实现，完成acknowledge v. 承认，告知已收到（某物），承认某人acquire v. 获得，得到*acquisition n. 收购，被收购的公司或股份acting adj. 代理的activity n. 业务类型actual adj. 实在的，实际的，确实的adapt v. 修改，适应adjust v. 整理，使适应administration n. 实施，经营，行政administer v. 管理，实施adopt v. 采纳，批准，挑选某人作候选人advertise v. 公布，做广告ad n. 做广告，登广告advertisement n. 出公告，做广告advertising n. 广告业after-sales service n. 售后服务agenda n. 议事日程agent n. 代理人，经纪人allocate v. 分配，配给amalgamation n. 合并，重组ambition n. 强烈的欲望，野心*amortise v. 摊还analyse v 分析，研究analysis n. 分析，分析结果的报告analyst n. 分析家，化验员annual adj. 每年的，按年度计算的annual general meeting （AGM）股东年会anticipate v. 期望anticipated adj. 期待的appeal n. 吸引力apply v. 申请，请求；应用，运用applicant n. 申请人application n. 申请，施用，实施appointee n. 被任命人appraisal n. 估量，估价appreciate v. 赏识，体谅，增值*appropriate v. 拨出（款项）approve v. 赞成，同意，批准aptitude n. 天资，才能*arbitrage n. 套利arbitration n. 仲裁*arrears n. 欠帐assemble v. 收集，集合assembly-line n. 装配线，流水作业线assess v. 评定，估价asset n. 资产current asset n. 流动资产fixed asset n. 固定资产frozen asset n. 冻结资产intangible assets n. 无形资产liquid assets n. 速动资产tangible assets n. 有形资产assist v. 援助，协助，出席audit n. 查账，审计automate v. 使某事物自动操作average n. 平均，平均水准awareness n. 意识；警觉Bbacking n. 财务支持，赞助backhander n. 贿赂*backlog n. 积压（工作或订货）bad debt 死账（无法收回的欠款）balance n. 收支差额，余额balance of payments n. 贸易支付差额balance sheet n. 资产负债表bankrupt adj. 破产的bankruptcy n. 破产bank statement n. 银行结算清单（给帐户的），银行对账单bar chart n. 条形图，柱状图bargain v. 谈判，讲价base n. 基地，根据地batch n. 一批，一组，一群batch production 批量生产bear market n. 熊市beat v. 超过，胜过behave v. 表现，运转behaviour n. 举止，行为，运转情况below-the-line advertising 线下广告，尚未被付款的广告benchmark n. 衡量标准benefit n. 利益，补助金，保险金得益fringe benefits n. 附加福利sickness benefit n. 疾病补助费bid n. 出价，投标takeover bid n. 盘进（一个公司）的出价bill n. 账单，票据billboard n. （路边）广告牌，招贴板black adj. 违法的in the black 有盈余，贷方black list 黑名单，禁止贸易的（货物、公司及个人）名单black Monday n. 黑色星期一，指1987年10月国际股票市场崩溃的日子blue chips n. 蓝筹股，绩优股blue-collar adj. 蓝领（工人）的Board of Directors n. 董事会Bond n. 债券bonus n. 津贴，红利books n . 公司帐目book value n. 账面价值，（公司或股票）净值bookkeeper n. 簿记员，记帐人boom n. 繁荣，暴涨boost v. 提高，增加，宣扬bottleneck n. 瓶颈，窄路，阻碍bottom adj. 最后的，根本的v. 到达底部，建立基础bounce v. 支票因签发人无钱而遭拒付并退回brainstorm n./v. 点子会议，献计献策, 头脑风暴branch n. 分支，分部brand n. 商标，品牌brand leader n. 占市场最大份额的品牌，名牌brand loyalty n. （消费者）对品牌的忠实break even v. 收支相抵，不亏不盈break even point 收支相抵点, 盈亏平衡点breakthrough n. 突破brief n. 摘要brochure n. 小册子broker n. 经纪人，代理人bull market 牛市budget n. 预算bulk n. 大量（货物）adj. 大量的bust adj. 破了产的buyout n. 买下全部产权CCAD(=Computer Aided Design) n. 计算机辅助设计call n. 打电话call on v. 呼吁，约请，拜访campaign n. 战役，运动candidate n. 求职者，候选人canteen n. 食堂canvass v. 征求意见，劝说capacity n. 生产额，（最大）产量caption n. 照片或图片下的简短说明capital n. 资本，资金capture v. 赢得cash n. 现金，现付款v. 兑现cash flow n. 现金流量case study n. 案例分析catalogue n. 目录，产品目录catastrophe n. 大灾难，大祸CEO n. Chief Executive Officer（美）总经理chain n. 连锁店challenger n. 挑战者channel n. (商品流通的)渠道charge n. 使承担，要（价），把……记入（账册等）chart n. 图表checkout n. 付款台chief adj. 主要的，首席的，总的CIF, c.i.f. 成本保险费加运费circular n. 传阅的小册子（传单等）circulate v. 传阅claim n./v. 要求，索赔client n. 委托人，顾客cold adj. 没人找上门来的，生意清淡的commercialise v. 使商品化commission n. 佣金*commitment n. 承诺commodity n. 商品，货物company n. 公司limited (liability) company (ltd.) 股份有限公司public limited company (plc) n. 股票上市公司compensate v. 补偿，酬报compensation n. 补偿，酬金compete v. 比赛，竞争competition n. 比赛，竞争competitor n. 竞争者，对手competitive adj. 竞争性的component n. 机器元件、组件、部件，部分concentrated marketing n. 集中营销策略condition n. 条件，状况*configuration n. 设备的结构、组合conflict n. 冲突，争论*conglomerate n. 综合商社，多元化集团公司*consolidate v. 帐目合并*consortium n. 财团constant adj. 恒定的，不断的，经常的consultant n. 咨询人员，顾问，会诊医生consumables n. 消耗品consumer durables n. 耐用消费品（如：洗衣机）consumer goods n. 消费品，生活资料*contingency n. 意外事件continuum n. 连续时间contract n. 合同，契约contractor n. 承办商，承建人contribute v. 提供，捐献contribution n. 贡献，捐献，税conversion n. 改装，改造conveyor n. 运送，传递，转让core time n. （弹性工作制的）基本上班时间（员工于此段时间必须上班，弹性只对除此以外的时间有效）cost n. 成本fixed costs 固定成本running costs 日常管理费用variable costs 可变成本cost-effective adj. 合算的，有效益的costing n. 成本计算，成本会计credit n. 赊购，赊购制度credit control 赊销管理（检查顾客及时付款的体系）letter of credit 信用证credit limit 赊销限额credit rating 信贷的信用等级，信誉评价creditor n. 债权人，贷方*creditworthiness n. 信贷价值，信贷信用crisis n. 危机，转折点critical adj. 关键的*critical path analysis n. 关键途径分析法currency n. 货币，流通current adj. 通用的，现行的Current account 往来帐户，活期（存款）户current assets n. 流动资产current liabilities n. 流动负债customise v. 按顾客的具体要求制造（或改造等）；顾客化cut-throat adj. 残酷的，激烈的cut-price a. 削价（出售）的CV(=curriculum vitae) n. 简历，履历*cycle time n. 循环时间Ddamages n. 损害，损失deadline n. 最后期限deal n. 营业协议，数量v. 交易dealer n. 商人debit n. 借方，欠的钱v. 记入帐户的借方debt n. 欠款，债务to get into debt 负债to be out of debt 不欠债to pay off a debt 还清债务debtor n. 债务人aged debtors 长期债务人declare v. 申报，声明decline n./v. 衰退，缓慢，下降decrease v. 减少deduct v. 扣除，减去default n. 违约，未履行defect n. 缺陷defective adj. 有缺点的defer v. 推迟deferred payments n. 延期支付deficit n. 赤字delivery cycle n. 交货周期*demand management n. 需求规化demotivated adj. 消极的，冷谈的deposit n. 储蓄，预付（定金）depot n. 仓库depreciate v. 贬值，（对资产）折旧depressing adj. 令人沮丧的deputy n. 代理人，副职，代理devalue v. 货币贬值（相对于其它货币）diet n. 饮食，食物，特种饮食differentiation n. 区分，鉴别dimensions n. 尺寸，面积，规模direct v 管理，指导director n. 经理，主管Managing Director n. 总经理direct cost n. 直接成本direct mail n. （商店为招揽生意而向人们投寄的）直接邮件direct selling n. 直销，直接销售directory n. 指南，号码簿discount n. 折扣，贴现dismiss v. 让……离开，打发走dismissal n. 打发走dispatch n./v. 调遣display n./v. 展出，显示dispose v. 安排，处理（事务）dispose of 去掉，清除distribution n. 分配，分发，分送产品*diversify v. 从事多种经营；多样化divest v. 剥夺dividend n. 股息，红利，年息division n. 部门*dog n. 滞销品down-market a./ad. 低档商品的*down-time/downtime n. 设备闲置期DP(=Data Processing) n. 计算机数据处理，计算机数据处理部门dramatic adj. 戏剧性的drive n. 积极性，能动性due adj. 应付的，预期的dynamic adj. 有活力的Eearnings n. 工资efficiency n. 效率endorse v. 背书，接受engage v. 雇用entitle v. 授权entitlement n. 应得的权利holiday entitlement n. 休假权equity n. 股东权益equity capital n. 股本equities 普通股，股票estimated demand n. 估计需求evaluate v. 估价，评价eventual adj. 最终的exaggerate v. 夸张exceed v. 超过exhibit n. 展览，表现expenditure n. 花费，支出额expense n. 费用，支出expense account n. 费用帐户expenses n. 费用，业务津贴expertise n. 专长，专门知识和技能*exposure n. 公众对某一产品或公司的知悉；广告所达到的观众总数Ffacilities n. 用于生产的设备、器材facilities layout n. 设备的布局规化、计划facilities location n. 设备安置*factoring n. 折价购买债券*fail-safe system n. 安全系统feasibility study n. 可行性研究feedback n. 反馈，反馈的信息field n. 办公室外边，具体业务file n. 文件集，卷宗，档案，文件v. 把文件（或资料）归档fill v. 充任finance n. 资金，财政v. 提供资金financial adj. 财政的financing n. 提供资金，筹借资金finished goods n. 制成品firm n. 公司fire v. 解雇fix v. 确定，使固定在fix up v. 解决，商妥fiscal adj. 国库的，财政的*flagship n. 同类中最成功的商品，佼佼者flexible adj. 有弹性的，灵活的flextime n. 弹性工作时间制flier(=flyer) n. 促销传单float v. 发行股票flop n. 失败flow shop n. 车间fluctuate v. 波动，涨落，起伏FOB, f.o.b n. 离岸价*follow-up n. 细节落实，接连要做的事forecast v. 预测four P's 指产品PRODUCT、价格PRICE、地点PLACE、促销PROMOTION framework n. 框架，结构*franchise n. 特许经销权v. 特许经销，给予特许经销权franchisee n. 特许经营人franchiser n. 授予特许经营权者fraud n. 欺骗*freebie n. （非正式的）赠品，免费促销的商品freelance n.& adj. 自由职业者（的）funds n. 资金，基金futures n. 期货交易Ggap n. 缺口，空隙*gearing n. 配称（即定息债务与股份资本之间的比率）*gimmick n. 好主意，好点子goal n. 目标going adj. 进行的，运转中的going rate n. 产品的市场价格goods n. 货物，商品goodwill n. 声誉*go public v. 首次公开发行股票grapple with v. 与……搏斗，尽力解决grievance n. 申诉，抱怨gross adj. 总的，毛的gross margin n. 毛利率gross profit n. 毛利gross yield n. 毛收益gradually adv. 逐渐地group n. （由若干公司联合而成的）集团grow v. 增长，扩大growth n. 增长，发展guarantee n. 保证，保单guidelines n. 指导方针，准则Hhand in v. 呈送hand in one's notice 递交辞呈handle v. 经营*hands on adj. 有直接经验的hard sell n. 强行推销hazard n. 危险，危害行为head n. 主管，负责health and safety n. 健康和安全*hedge n. 套期保值hidden adj. 隐藏的，不明显的hierarchy n. 等级制度，统治集团，领导层hire v. 雇用hire purchase n. 分期付款购物法hit v. 击中，到达holder n. 持有者holding company n. 控股公司hostile adj. 不友好的，恶意的HRD n. 人力资源发展部human resources n. 人力资源*hype n. 天花乱坠的（夸张）广告宣传Iimpact n. 冲击，强烈影响implement v. 实施，执行implication n 隐含意义incentive n. 刺激；鼓励income n. 工资或薪金收入，经营或投资的收入earned income 劳动收入，劳动所得unearned income 非劳动收入，投资所得increment v. 定期增加incur v 招致，承担*indemnity n. 偿还，赔偿index n. 指数，索引retail price index 零售价格指数indirect costs n. 间接成本induction n. 就职industrial adj. 工业的industrial action n. （罢工、怠工等）劳工行动industrial relations n. 劳资关系inefficiency n. 低效率，不称职inflate v. 抬高（物价），使通货等）膨胀inflation n. 通货膨胀*infringe v. 违法，违章initial adj. 初步的innovate v. 革新input n. 投入insolvent adj. 无清偿力的installment n. 部分，分期付款insure v. 给……保险，投保insurance n. 保险interest n. 利息，兴趣interest rate n. 利率interim n. 中期，过渡期间intermittent production n. 阶段性生产interview n./v. 面试interviewee n. 被面试的人interviewer n. 主持面试的人，招聘者introduce v. 介绍，提出*inventory n. 库存buffer inventory n. 用于应付突发性需求的存货capacity inventory n. 用于将来某时使用的存货cycle inventory n. 循环盘存decoupling inventory n. 保险性存货（以应付万一）finished goods inventory n. 制成品存货（盘存）pipeline inventory n. 在途存货raw materials inventory n. 原材料存货work-in-proGREss inventory n. 在制品盘存（存货）invest v. 投资investment n. 投资investor n. 投资者invoice n. 发票v. 给（某人）开发票irrevocable adj. 不可撤消的，不能改变的issue n. 发行股票* rights issue n. 优先认股权IT=Information Technology 信息技术item n. 货物，条目，条款Jjob n. 工作job description 工作说明，职务说明*job lot n. 一次生产的部分或少数产品job mobility 工作流动job rotation 工作轮换job satisfaction 工作的满意感（自豪感）*job shop n. 专门车间jobbing n. 为一次性的或小的订货需求而特设的生产制度joint adj. 联合的joint bank account （几个人的）联合银行存款帐户journal n. 专业杂志*jurisdiction n. 管辖（权）junk bonds n. 低档（风险）债券，垃圾债券junk mail n. （未经收信人要求的）直接邮寄的广告宣传*just-in-time n. 无库存制度Kkey adj. 主要的，关键的knockdown adj. （价格）很低的know-how n. 专门技术Ｌlabel n. 标签，标牌v. 加标签，加上标牌labour n. 劳动，工作，劳动力labour market 劳动力市场labour relations 劳资关系labour shortage 劳动力短缺*launch v. 在市场推出一种新产品n. 新产品的推出lay-off/layoff n./v. 临时解雇layout n. 工厂的布局lead v. 领先，领导lead time n. 完成某项活动所需的时间leaflet n. 广告印刷传单lease n. 租借，租赁物legal adj. 合法的lend v. 出借，贷款lessee n. 承租人lessor n. 出租人*ledger n. 分类帐nominal ledger n. 记名帐purchase ledger n. 进货sales ledger n. 销货帐*leverage n. 杠杆比率liability n. 负债liabilities n. 债务licence(US: license) n. 许可证license v. 许可，批准life cycle n. 寿命周期likely adj. 可能的*line process 流水线（组装）link n. 关系，联系，环liquid adj. 易转换成现款的liquidate v. 清算*liquidity n. 拥有变现力liquidation n. 清理（关闭公司），清算liquidator n. 清算人，公司资产清理人listed adj. 登记注册的listing n. 上市公司名录literature n. （产品说明书之类的）印刷品，宣传品litigate v. 提出诉讼loan n./v. 贷款，暂借logo n. 企业的特有标记lose v. 亏损loser n. 失败者loss n. 损失lot n. 批，量loyalty n. 忠诚，忠实Mmagazine n. 杂志，期刊mailshot n. 邮购maintain v. 维持，保持maintenance n. 维持，坚持major adj. 重大的，主要的，较大的majority shareholding 绝对控股make n. 产品的牌子或型号make-to-order adj. 根据订货而生产的产品make-to-stock adj. 指那些在未收到订货时就已生产了的产品management n. 管理，管理部门middle management n. 中层管理人员senior management n. 高层管理人员managerial adj. 管理人员的，管理方面的manager n. 经理plant manager n. 工厂负责人line manager n. 基层负责人staff manager n. 部门经理助理management accounts n. 管理帐目matrix management n. 矩阵管理*management information system(MIS) n. 管理信息系统manning n. 人员配备manpower n. 劳动力manpower resources n. 劳动力资源manual adj. 体力的，人工的，蓝领的manufacture v. （用机器）制造manufacturer n. 制造者（厂、商、公司）manufacturing adj. 制造的manufacturing industry 制造业margin n. 利润gross margin n. 毛利率net margin n. 净利润mark-up v. 标高售价，加价market n. 市场；产品可能的销量down market adv./adj. 低档商品/地的up market adj./adv. 高档商品的/地marketing mix n. 综合营销策略，指定价、促销、产品等策略的配合market leader n. 市场上的主导公司*market niche n. 小摊位，专业市场的一个小部分market penetration n. 市场渗入market segmentation 市场划分market share n. 市场占有率，市场份额*mass-marketing n. 大众营销术*master production schedule n. 主要生产计划*material requirements planning(MRP) n. 计算生产中所需材料的方法*materials handling n. 材料管理，材料控制maximise v. 使增至最大限度、最大化measure n. 措施，步骤media n. 新闻工具，传媒mass media 大众传媒（如电视、广播、报纸等）merchandising n. （在商店中）通过对商品的摆放与促销进行经营merge v. 联合，合并merger n. （公司，企业等的）合并merit n. 优点，值得，应受method study n. 方法研究middleman n. 中间人，经纪人full milk n. 全脂牛奶skimmed milk n. 脱脂乳minimise v. 使减至最小限度，最小化*mission n. 公司的长期目标和原则mobility n. 流动性，可移性moderately adv. 中等地，适度地monopoly n. 垄断，独占mortgage n./v. 抵押motivate v. 激励，激发……的积极性motivated adj. 有积极性的motivation n. 提供动机，积极性，动力motive n. 动机Nnegotiate v. 谈判negotiable adj. 可谈判的，可转让的net adj. 净的，纯的network n. 网络*niche n. 专业市场中的小摊位notice n. 通知，辞职申请，离职通知Oobjective n. 目标，目的obsolete adj. 过时的，淘汰的，废弃的offer n. 报价，发盘offer v. 开价off-season adj./adv. 淡季的off-the-shelf adj. 非专门设计的off-the-peg adj. 标准的，非顾客化的opening n. 空位operate v. 操作，经营，管理operating profits 营业利润*operations chart n. 经营（管理）表*operations scheduling n. 生产经营进度表opportunity n. 机会*optimize v. 优化option n. 选择权share option n. 期权organigram n. 组织图organisation chart n. 公司组织机构图orient v. 定向，指引orientation n. 倾向，方向；熟悉，介绍情况outcome n. 结果outlay n. 开销，支出，费用*outlet n. 商店a retail outlet 零售店outgoings n. 开支，开销outlined adj. 概括，勾勒的草图output n. 产量*outsource v. 外购产品或由外单位制做产品outstanding adj. 未付款的，应收的over-demand n. 求过于供overdraft n. 透支overdraft facility 透支限额overdraw v. 透支*overhead costs n. 营业成本*overheads n. 企业一般管理费用overpay n. 多付（款）overtime n. 加班overview n. 概述，概观owe v. 欠钱，应付Pp.a.(=per annum) n. 每年packaging n. 包装物；包装parent company n. 母公司，总公司part-time adj. 部分时间工作的，业余的participate v. 参加，分享(in)partnership n. 合伙（关系），合伙，合伙企业patent n. 专利pay n. 工资，酬金v. 付钱，付报酬take-home pay 实得工资payroll n. 雇员名单，工资表peak n. 峰值，顶点penetrate v. 渗透，打入（市场）penetration n. 目标市场的占有份额pension n. 养老金，退休金perform v. 表现，执行performance n. 进行，表现工作情况performance appraisal n. 工作情况评估perk n. 额外待遇（交通、保健、保险等）personnel n. 员工，人员*petty cash n. 零用现金phase out n. 分阶段停止使用*pick v. 提取生产用零部件或给顾客发货* picking list n. 用于择取生产或运输订货的表格pie chart n. 饼形图pilot n. 小规模试验pipeline n. 管道，渠道plant capacity n. 生产规模，生产能力plot v. 标绘，策划*plough back n. 将获利进行再投资* point of sale (POS) n. 销售点policy n. 政策，规定, 保险单*portfolio n. （投资）组合*portfolio management n. 组合证券管理post n. 邮件，邮局；职位position n. 职位potential n. 潜在力，潜势power n. 能力purchasing power 购买力PR=Public Relations 公共关系*preference shares n. 优先股price n. 价格market price 市场价，市价retail price 零售价probation n. 试用期product n. 产品production cycle n. 生产周期production schedule n. 生产计划product life cycle n. 产品生命周期product mix n. 产品组合（种类和数量的组合）productive adj. 生产的，多产的*profile n. 简介形象特征profit n. 利润operating profit n. 营业利润profit and loss account n. 损益帐户project v. 预测promote v . 推销promotion n. 提升，升级proposal n. 建议，计划prospect n. 预期，展望prospectus n. 计划书，说明书prosperity n. 繁荣，兴隆prototype n. 原型，样品*publicity n. 引起公众注意public adj. 公众的，公开的go public 上市public sector 公有企业publicity n. 公开场合，名声，宣传publics n. 公众，（有共同兴趣的）一群人或社会人士punctual adj. 准时的punctuality n. 准时purchase v. & n. 购买purchaser n. 买主，采购人QQC(=Quality Circle) n. 质检人员qualify v. 有资格，胜任qualified adj. 有资格的，胜任的，合格的qualification n. 资格，资格证明quality n. 质量quality assurance n. 质量保证quality control 质量控制，质量管理quarterly adj./adv. 季度的，按季度questionnaire n. 调查表，问卷quote n. 报价，股票牌价quotation n. 报价，股票牌价RＲ＆ＤResearch and Development 研究与开发radically adv. 根本地，彻底地raise n. （美）增加薪金v. 增加，提高；提出，引起range n. 系列产品rank n./v. 排名rapport n. 密切的关系，轻松愉快的气氛rate n. 比率，费用fixed rate 固定费用，固定汇率going rate 现行利率，现行汇率rating 评定结果ratio n. 比率rationalise v. 使更有效，使更合理raw adj. 原料状态的，未加工的raw material n. 原材料receive v. 得到receipt n. 收据receiver n. 接管人，清算人accounts receivable 应收帐receivership n. 破产管理recession n. 萧条reckon v. 估算，认为recognise v. 承认reconcile v. 使……相吻合，核对，调和recoup v. 扣除，赔偿recover v. 重新获得，恢复recovery n. 重获，恢复recruit v. 招聘，征募n. 新招收的人员recruitment n. 新成员的吸收red n. 红色in the red 赤字，负债reduce v. 减少reduction n. 减少redundant adj. 过多的，被解雇的redundancy n. 裁员，解雇reference n. 参考，参考资料reference number (Ref. No.) 产品的参考号码refund n./v. 归还，偿还region n. 地区*reimburse v. 偿还，报销reject n./v. 拒绝reliability n. 可靠性relief n. 减轻，解除，救济relocate v. 调动，重新安置remuneration n. 酬报，酬金rent v. 租n. 租金rep （代表）的缩写report to v. 低于（某人），隶属，从属reposition v. (为商品)重新定位represent v. 代表，代理representative n. 代理人，代表reputation n. 名声，声望reputable adj. 名声/名誉好的reserves n. 储量金，准备金resign v. 放弃，辞去resignation n. 辞职resistance n. 阻力，抵触情绪respond v. 回答，答复response n. 回答，答复restore v. 恢复result/results n. 结果，效果retail n./v. 零售retailer n. 零售商*retained earnings n. 留存收益retire v. 退休retirement n. 退休return n. 投资报酬*return on investment (ROI) n. 投资收入，投资报酬revenue n. 岁入，税收review v./n. 检查reward n./v. 报答，报酬，奖赏*rework v. （因劣质而）重作risk capital n. 风险资本rival n. 竞争者，对手adj. 竞争的rocket v. 急速上升，直线上升，飞升ROI Return on Investment 投资利润roughly adv. 粗略地round adj. 整数表示的，大约round trip 往返的行程royalty n. 特许权，专利权税run v. 管理，经营running adj. 运转的Ｓsack v. 解雇sales force 销售人员sample n. 样品；v. 试验；抽样检验*saturation n. （市场的）饱和（状态）saturate v. 饱和save v. 节省，储蓄savings n. 存款scale n. 刻度，层次scapegoat n. 替罪羊scare adj. 缺乏的，不足的*scrap n. 废料或废品seasonal adj. 季节性的section n. 部门sector n. 部门*securities n. 债券及有价证券segment n. 部分v. 将市场划分成不同的部分segmentation n. 将市场划分成不同的部门semi-skilled adj. 半熟练的settle v. 解决，决定settlement n. 解决，清偿，支付service n. 服务，帮佣services n. 专业服务settle v. 安排，支付set up v. 创立share n. 股份shareholder n. 股东*shelf-life n. 货架期（商品可以陈列在货架上的时间）shift n. 轮班showroom n. 陈列室simulation n. 模拟shop n. 商店closed shop 限制行业（只允许本工会会员）open shop 开放行业（非会员可从事的工作）shop steward 工会管事shopfloor 生产场所shortlist n. ……供最后选择的候选人名单v. 把……列入最后的候选人名单sick adj. 病的sick leave 病假sick note 病假条sick pay 病假工资sickness 生病skill n. 技能，熟巧skilled employee n. 熟练工人*skimming n. 高额定价，撇奶油式定价slogan n. 销售口号slump n. 暴跌a slump in sales 销售暴跌soft-sell n. 劝诱销售（术），软销售（手段）software n. 软件sole adj. 仅有的，单独的sole distributor 独家分销商solvent adj. 有偿付能力的*sourcing n. 得到供货spare part n. 零部件specification n. 产品说明split v. 分离spokesman n. 发言人sponsor n. 赞助者（为了商品的广告宣传）spread n. （股票买价和卖价的）差额stable adj. 稳定的staff n. 职员stag n. 投机认股者v. 炒买炒卖stagnant adj. 停滞的，萧条的*statute n. 成文法statutory adj. 法定的steadily adv. 稳定地，平稳地stock n. 库存，股票stock exchange n. 证券交易所*stockbroker n. 股票经纪人stock controller 库房管理者storage n. 贮藏，库存量strategy n. 战略*streamline v. 精简机构，提高效率stress n. 压力，紧迫strike n. 罢工structure n. 结构，设备*subcontract v. 分包（工程项目），转包subordinate n. 下级adj. 下级的subscribe v. 认购subsidiary n. 子公司subsidise v. 补贴，资助subsidy n. 补助金substantially adv. 大量地，大幅度地summarise v. 概括，总结superior n. 上级，长官supervisor n. 监督人，管理人supervisory adj. 监督的，管理的supply n./v. 供给，提供survey n 调查*SWOT analysis n. SWOT分析是分析一个公司或一个项目的优点、弱点、机会和风险*synergy n. 协作Ｔtactic n. 战术，兵法tailor v. 特制产品tailor made products 特制产品take on 雇用takeover n. 接管target n. 目标v. 把……作为目标tariff n. 关税；价目表task n. 任务，工作task force n. 突击队，攻关小队（为完成某项任务而在一起的一组人）tax n. 税，税金capital gains tax n. 资本收益税corporation tax n. 公司税，法人税income tax n. 所得税value added tax 增值税tax allowance 免减税tax avoidance 避税taxable 可征税的taxation 征税tax-deductible 在计算所得税时予以扣除的telesales n. 电话销售，电话售货temporary adj. 暂时的temporary post 临时职位tender n./v. 投标territory n. （销售）区域tie n. 关系，联系throughput n. 工厂的总产量TQC(=Total Quality Control) n. 全面质量管理*track record n. 追踪记录，业绩trade n./v. 商业，生意；交易，经商balance of trade 贸易平衡trading profit 贸易利润insider trading 内部交易trade mark 商标trade union 工会trainee n. 受培训者*transaction n. 交易，业务transfer n./v. 传输，转让*transformation n. 加工transparency n. (投影用)透明胶片treasurer n. 司库，掌管财务的人*treasury n. 国库，财政部trend n. 趋势，时尚*trouble-shooting n. 解决问题turnover n. 营业额，员工流动的比率staff turnover 人员换手率stock turnover 股票换手率Uundertake v. 从事、同意做某事undifferentiated marketing n. 无差异性营销策略uneconomical adj. 不经济的，浪费unemployment n. 失业unemployment benefit n. 失业津贴unit n. 单位unit cost n. 单位成本update v. 使现代化up to date adj./adv. 流行的，现行的，时髦的upgrade v. 升级，增加upturn n. 使向上，使朝上USP 唯一的销售计划Vvacancy n. 空缺vacant adj. 空缺的value n./v. 价值，估价valuation n. 价值value-added n. 增加值variable n. 可变物variation n. 变化，变更variety n. 多样化a variety of 多种多样的vary v. 改变，修改V AT Value Added Tax 增值税vendor n. 卖主（公司或个人）venture n. 冒险，投机venue n. 地点，集合地点viable adj. 可行的viability n. 可行性vision n. 设想，公司的长期目标vocation n. 行业，职业vocational adj. 行业的，职业的Wwage n. （周）工资wage freeze n. 工资冻结warehouse n. 仓库，货栈wealth n. 财富，资源wealthy adj. 富裕的，丰富的welfare n. 福利white-collar 白领阶层white goods n. 如冰箱和洗衣机等用在厨房中的产品wholesale n./adj./adv. 批发wholesaler 批发商*wind up v. 关闭公司withdraw v. 拿走，收回，退出withdrawal n. 拿走，收回，退出wholesale n./a. 批发；批发的wholesaler n. 批发商work n. 工作working conditions n. 工作条件work-in-proGREss n. 工作过程workload n. 工作量work order n. （包括原料、半成品、成品的）全部存货总量work station 工作位置*working capital n. 营运资本，营运资金write off v. 取消write-off n. 债务的取消Y*yield n. 有效产量Z*zero defect n. 合格产品*zero inventory n. 零存货。
国际财务管理课后习题答案chapter 7doc资料
CHAPTER 7 FUTURES AND OPTIONS ON FOREIGN EXCHANGESUGGESTED ANSWERS AND SOLUTIONS TO END-OF-CHAPTERQUESTIONS AND PROBLEMSQUESTIONS1. Explain the basic differences between the operation of a currency forward market and a futures market.Answer: The forward market is an OTC market where the forward contract for purchase or sale of foreign currency is tailor-made between the client and its international bank. No money changes hands until the maturity date of the contract when delivery and receipt are typically made. A futures contract is an exchange-traded instrument with standardized features specifying contract size and delivery date. Futures contracts are marked-to-market daily to reflect changes in the settlement price. Delivery is seldom made in a futures market. Rather a reversing trade is made to close out a long or short position.2. In order for a derivatives market to function most efficiently, two types of economic agents are needed: hedgers and speculators. Explain.Answer: Two types of market participants are necessary for the efficient operation of a derivatives market: speculators and hedgers. A speculator attempts to profit from a change in the futures price. To do this, the speculator will take a long or short position in a futures contract depending upon his expectations of future price movement. A hedger, on-the-other-hand, desires to avoid price variation by locking in a purchase price of the underlying asset through a long position in a futures contract or a sales price through a short position. In effect, the hedger passes off the risk of price variation to the speculator who is better able, or at least more willing, to bear this risk.3. Why are most futures positions closed out through a reversing trade rather than held to delivery?Answer: In forward markets, approximately 90 percent of all contracts that are initially established result in the short making delivery to the long of the asset underlying the contract. This is natural because the terms of forward contracts are tailor-made between the long and short. By contrast, only about one percent of currency futures contracts result in delivery. While futures contracts are useful for speculation and hedging, their standardized delivery dates make them unlikely to correspond to the actual future dates when foreign exchange transactions will occur. Thus, they are generally closed out in a reversing trade. In fact, the commission thatbuyers and sellers pay to transact in the futures market is a single amount that covers the round-trip transactions of initiating and closing out the position.4. How can the FX futures market be used for price discovery?Answer: To the extent that FX forward prices are an unbiased predictor of future spot exchange rates, the market anticipates whether one currency will appreciate or depreciate versus another. Because FX futures contracts trade in an expiration cycle, different contracts expire at different periodic dates into the future. The pattern of the prices of these cont racts provides information as to the market’s current belief about the relative future value of one currency versus another at the scheduled expiration dates of the contracts. One will generally see a steadily appreciating or depreciating pattern; however, it may be mixed at times. Thus, the futures market is useful for price discovery, i.e., obtaining the market’s forecast of the spot exchange rate at different future dates.5. What is the major difference in the obligation of one with a long position in a futures (or forward) contract in comparison to an options contract?Answer: A futures (or forward) contract is a vehicle for buying or selling a stated amount of foreign exchange at a stated price per unit at a specified time in the future. If the long holds the contract to the delivery date, he pays the effective contractual futures (or forward) price, regardless of whether it is an advantageous price in comparison to the spot price at the delivery date. By contrast, an option is a contract giving the long the right to buy or sell a given quantity of an asset at a specified price at some time in the future, but not enforcing any obligation on him if the spot price is more favorable than the exercise price. Because the option owner does not have to exercise the option if it is to his disadvantage, the option has a price, or premium, whereas no price is paid at inception to enter into a futures (or forward) contract.6. What is meant by the terminology that an option is in-, at-, or out-of-the-money?Answer: A call (put) option with S t > E (E > S t) is referred to as trading in-the-money. If S t E the option is trading at-the-money. If S t< E (E < S t) the call (put) option is trading out-of-the-money.7. List the arguments (variables) of which an FX call or put option model price is a function. How does the call and put premium change with respect to a change in the arguments?Answer: Both call and put options are functions of only six variables: S t, E, r i, r$, T andσ. When all else remains the same, the price of a European FX call (put) option will increase:1. the larger (smaller) is S,2. the smaller (larger) is E,3. the smaller (larger) is r i,4. the larger (smaller) is r$,5. the larger (smaller) r$ is relative to r i, and6. the greater is σ.When r$ and r i are not too much different in size, a European FX call and put will increase in price when the option term-to-maturity increases. However, when r$ is very much larger than r i, a European FX call will increase in price, but the put premium will decrease, when the option term-to-maturity increases. The opposite is true when r i is very much greater than r$. For American FX options the analysis is less complicated. Since a longer term American option can be exercised on any date that a shorter term option can be exercised, or a some later date, it follows that the all else remaining the same, the longer term American option will sell at a price at least as large as the shorter term option.PROBLEMS1. Assume today’s settlement price on a CME EUR futures contract is $1.3140/EUR. You have a short position in one contract. Your performance bond account currently has a balance of $1,700. The next three day s’ settlement prices are $1.3126, $1.3133, and $1.3049. Calculate the changes in the performance bond account from daily marking-to-market and the balance of the performance bond account after the third day.Solution: $1,700 + [($1.3140 - $1.3126) + ($1.3126 - $1.3133)+ ($1.3133 - $1.3049)] x EUR125,000 = $2,837.50,where EUR125,000 is the contractual size of one EUR contract.2. Do problem 1 again assuming you have a long position in the futures contract.Solution: $1,700 + [($1.3126 - $1.3140) + ($1.3133 - $1.3126) + ($1.3049 - $1.3133)] x EUR125,000 = $562.50,where EUR125,000 is the contractual size of one EUR contract.With only $562.50 in your performance bond account, you would experience a margin call requesting that additional funds be added to your performance bond account to bring the balance back up to the initial performance bond level.3. Using the quotations in Exhibit 7.3, calculate the face value of the open interest in the June 2005 Swiss franc futures contract.Solution: 2,101 contracts x SF125,000 = SF262,625,000.where SF125,000 is the contractual size of one SF contract.4. Using the quotations in Exhibit 7.3, note that the June 2005 Mexican peso futures contract has a price of $0.08845. You believe the spot price in June will be $0.09500. What speculative position would you enter into to attempt to profit from your beliefs? Calculate your anticipated profits, assuming you take a position in three contracts. What is the size of your profit (loss) if the futures price is indeed an unbiased predictor of the future spot price and this price materializes?Solution: If you expect the Mexican peso to rise from $0.08845 to $0.09500, you would take a long position in futures since the futures price of $0.08845 is less than your expected spot price.Your anticipated profit from a long position in three contracts is: 3 x ($0.09500 - $0.08845) x MP500,000 = $9,825.00, where MP500,000 is the contractual size of one MP contract.If the futures price is an unbiased predictor of the expected spot price, the expected spot price is the futures price of $0.08845/MP. If this spot price materializes, you will not have any profits or losses from your short position in three futures contracts: 3 x ($0.08845 - $0.08845) x MP500,000 = 0.5. Do problem 4 again assuming you believe the June 2005 spot price will be $0.08500.Solution: If you expect the Mexican peso to depreciate from $0.08845 to $0.07500, you would take a short position in futures since the futures price of $0.08845 is greater than your expected spot price.Your anticipated profit from a short position in three contracts is: 3 x ($0.08845 - $0.07500) x MP500,000 = $20,175.00.If the futures price is an unbiased predictor of the future spot price and this price materializes, you will not profit or lose from your long futures position.6. George Johnson is considering a possible six-month $100 million LIBOR-based, floating-rate bank loan to fund a project at terms shown in the table below. Johnson fears a possible rise in the LIBOR rate by December and wants to use the December Eurodollar futures contract to hedge this risk. The contract expires December 20, 1999, has a US$ 1 million contract size, and a discount yield of7.3 percent.Johnson will ignore the cash flow implications of marking to market, initial margin requirements, and any timing mismatch between exchange-traded futures contract cash flows and the interest payments due in March.Loan TermsSeptember 20, 1999 December 20, 1999 March 20, 2000 • Borrow $100 million at • Pay interest for first three • Pay back principal September 20 LIBOR + 200 months plus interestbasis points (bps) • Roll loan over at• September 20 LIBOR = 7% December 20 LIBOR +200 bpsLoan First loan payment (9%) Second paymentinitiated and futures contract expires and principal↓↓↓•••9/20/99 12/20/99 3/20/00a. Formulate Johnson’s September 20 floating-to-fixed-rate strategy using the Eurodollar future contracts discussed in the text above. Show that this strategy would result in a fixed-rate loan, assuming an increase in the LIBOR rate to 7.8 percent by December 20, which remains at 7.8 percent through March 20. Show all calculations.Johnson is considering a 12-month loan as an alternative. This approach will result in two additional uncertain cash flows, as follows:Loan First Second Third Fourth payment initiated payment (9%) payment payment and principal ↓↓↓↓↓•••••9/20/99 12/20/99 3/20/00 6/20/00 9/20/00 b. Describe the strip hedge that Johnson could use and explain how it hedges the 12-month loan (specify number of contracts). No calculations are needed.CFA Guideline Answera. The basis point value (BPV) of a Eurodollar futures contract can be found by substituting the contract specifications into the following money market relationship:BPV FUT = Change in Value = (face value) x (days to maturity / 360) x (change in yield)= ($1 million) x (90 / 360) x (.0001)= $25The number of contract, N, can be found by:N = (BPV spot) / (BPV futures)= ($2,500) / ($25)= 100ORN = (value of spot position) / (face value of each futures contract)= ($100 million) / ($1 million)= 100ORN = (value of spot position) / (value of futures position)= ($100,000,000) / ($981,750)where value of futures position = $1,000,000 x [1 – (0.073 / 4)]102 contractsTherefore on September 20, Johnson would sell 100 (or 102) December Eurodollar futures contracts at the 7.3 percent yield. The implied LIBOR rate in December is 7.3 percent as indicated by the December Eurofutures discount yield of 7.3 percent. Thus a borrowing rate of 9.3 percent (7.3 percent + 200 basis points) can be locked in if the hedge is correctly implemented.A rise in the rate to 7.8 percent represents a 50 basis point (bp) increase over the implied LIBOR rate. For a 50 basis point increase in LIBOR, the cash flow on the short futures position is:= ($25 per basis point per contract) x 50 bp x 100 contracts= $125,000.However, the cash flow on the floating rate liability is:= -0.098 x ($100,000,000 / 4)= - $2,450,000.Combining the cash flow from the hedge with the cash flow from the loan results in a net outflow of $2,325,000, which translates into an annual rate of 9.3 percent:= ($2,325,000 x 4) / $100,000,000 = 0.093This is precisely the implied borrowing rate that Johnson locked in on September 20. Regardless of the LIBOR rate on December 20, the net cash outflow will be $2,325,000, which translates into an annualized rate of 9.3 percent. Consequently, the floating rate liability has been converted to a fixed rate liability in the sense that the interest rate uncertainty associated with the March 20 payment (using the December 20 contract) has been removed as of September 20.b. In a strip hedge, Johnson would sell 100 December futures (for the March payment), 100 March futures (for the June payment), and 100 June futures (for the September payment). The objective is to hedge each interest rate payment separately using the appropriate number of contracts. The problem is the same as in Part A except here three cash flows are subject to rising rates and a strip of futures is used to hedge this interest rate risk. This problem is simplified somewhat because the cash flow mismatch between thefutures and the loan payment is ignored. Therefore, in order to hedge each cash flow, Johnson simply sells 100 contracts for each payment. The strip hedge transforms the floating rate loan into a strip of fixed rate payments. As was done in Part A, the fixed rates are found by adding 200 basis points to the implied forward LIBOR rate indicated by the discount yield of the three different Eurodollar futures contracts. The fixed payments will be equal when the LIBOR term structure is flat for the first year.7. Jacob Bower has a liability that:• has a principal balance of $100 million on June 30, 1998,• accrues interest quarterly starting on June 30, 1998,• pays interest quarterly,• has a one-year term to maturity, and• calculates interest due based on 90-day LIBOR (the London Interbank OfferedRate).Bower wishes to hedge his remaining interest payments against changes in interest rates.Bower has correctly calculated that he needs to sell (short) 300 Eurodollar futures contracts to accomplish the hedge. He is considering the alternative hedging strategies outlined in the following table.Initial Position (6/30/98) in90-Day LIBOR Eurodollar ContractsStrategy A Strategy BContract Month (contracts) (contracts)September 1998 300 100December 1998 0 100March 1999 0 100a. Explain why strategy B is a more effective hedge than strategy A when the yield curveundergoes an instantaneous nonparallel shift.b. Discuss an interest rate scenario in which strategy A would be superior to strategy B.CFA Guideline Answera. Strategy B’s SuperiorityStrategy B is a strip hedge that is constructed by selling (shorting) 100 futures contracts maturing in each of the next three quarters. With the strip hedge in place, each quarter of the coming year is hedged against shifts in interest rates for that quarter. The reason Strategy B will be a more effective hedge than Strategy A for Jacob Bower is that Strategy B is likely to work well whether a parallel shift or a nonparallel shift occurs over the one-year term of Bower’s liability. That is, regardless of what happens to the term structure, Strategy B structures the futures hedge so that the rates reflected by the Eurodollar futures cash price match the applicable rates for the underlying liability-the 90day LIBOR-based rate on Bower’s liability. The same is not true for Strategy A. Because Jacob Bower’s liability carries a floating interest rate that resets quarterly, he needs a strategy that provides a series of three-month hedges. Strategy A will need to be restructured when the three-month September contract expires. In particular, if the yield curve twists upward (futures yields rise more for distant expirations than for near expirations), Strategy A will produce inferior hedge results.b. Scenario in Which Strategy A is SuperiorStrategy A is a stack hedge strategy that initially involves selling (shorting) 300 September contracts. Strategy A is rarely better than Strategy B as a hedging or risk-reduction strategy. Only from the perspective of favorable cash flows is Strategy A better than Strategy B. Such cash flows occur only in certain interest rate scenarios. For example Strategy A will work as well as Strategy B for Bower’s liability if interest rates (instantaneously) change in parallel fashion. Another interest rate scenario where Strategy A outperforms Strategy B is one in which the yield curve rises but with a twist so that futures yields rise more for near expirations than for distant expirations. Upon expiration of the September contract, Bower will have to roll out his hedge by selling 200 December contracts to hedge the remaining interest payments. This action will have the effect that the cash flow from Strategy A will be larger than the cash flow from Strategy B because the appreciation on the 300 short September futures contracts will be larger than the cumulative appreciation in the 300 contracts shorted in Strategy B (i.e., 100 September, 100 December, and 100 March). Consequently, the cash flow from Strategy A will more than offset the increase in the interest payment on the liability, whereas the cash flow from Strategy B will exactly offset the increase in the interest payment on the liability.8. Use the quotations in Exhibit 7.7 to calculate the intrinsic value and the time value of the 97 September Japanese yen American call and put options.Solution: Premium - Intrinsic Value = Time Value97 Sep Call 2.08 - Max[95.80 – 97.00 = - 1.20, 0] = 2.08 cents per 100 yen97 Sep Put 2.47 - Max[97.00 – 95.80 = 1.20, 0] = 1.27 cents per 100 yen9. Assume spot Swiss franc is $0.7000 and the six-month forward rate is $0.6950. What is the minimum price that a six-month American call option with a striking price of $0.6800 should sell for in a rational market? Assume the annualized six-month Eurodollar rate is 3 ½ percent.Solution:Note to Instructor: A complete solution to this problem relies on the boundary expressions presented in footnote 3 of the text of Chapter 7.C a≥Max[(70 - 68), (69.50 - 68)/(1.0175), 0]≥Max[ 2, 1.47, 0] = 2 cents10. Do problem 9 again assuming an American put option instead of a call option.Solution: P a≥Max[(68 - 70), (68 - 69.50)/(1.0175), 0]≥Max[ -2, -1.47, 0] = 0 cents11. Use the European option-pricing models developed in the chapter to value the call of problem 9 and the put of problem 10. Assume the annualized volatility of the Swiss franc is 14.2 percent. This problem can be solved using the FXOPM.xls spreadsheet.Solution:d1 = [ln(69.50/68) + .5(.142)2(.50)]/(.142)√.50 = .2675d2 = d1 - .142√.50 = .2765 - .1004 = .1671N(d1) = .6055N(d2) = .5664N(-d1) = .3945N(-d2) = .4336C e = [69.50(.6055) - 68(.5664)]e-(.035)(.50) = 3.51 centsP e = [68(.4336) - 69.50(.3945)]e-(.035)(.50) = 2.03 cents12. Use the binomial option-pricing model developed in the chapter to value the call of problem 9.The volatility of the Swiss franc is 14.2 percent.Solution: The spot rate at T will be either 77.39¢ = 70.00¢(1.1056) or 63.32¢ = 70.00¢(.9045), where u = e.142 .50 = 1.1056 and d = 1/u = .9045. At the exercise price of E = 68, the option will only be exercised at time T if the Swiss franc appreciates; its exercise value would be C uT= 9.39¢ = 77.39¢ - 68. If the Swiss franc depreciates it would not be rational to exercise the option; its value would be C dT = 0.The hedge ratio is h = (9.39 – 0)/(77.39 – 63.32) = .6674.Thus, the call premium is:C0 = Max{[69.50(.6674) – 68((70/68)(.6674 – 1) +1)]/(1.0175), 70 – 68}= Max[1.64, 2] = 2 cents per SF.MINI CASE: THE OPTIONS SPECULATORA speculator is considering the purchase of five three-month Japanese yen call options with a striking price of 96 cents per 100 yen. The premium is 1.35 cents per 100 yen. The spot price is 95.28 cents per 100 yen and the 90-day forward rate is 95.71 cents. The speculator believes the yen will appreciate to $1.00 per 100 yen over the next three months. As the speculator’s assistant, you have been asked to prepare the following:1. Graph the call option cash flow schedule.2. Determine the speculator’s profit if the yen appreciates to $1.00/100 yen.3. Determine the speculator’s profit if the yen only appreciates to the forward rate.4. Determine the future spot price at which the speculator will only break even.Suggested Solution to the Options Speculator:1.-2. (5 x ¥6,250,000) x [(100 - 96) - 1.35]/10000 = $8,281.25.3. Since the option expires out-of-the-money, the speculator will let the option expire worthless. He will only lose the option premium.4. S T = E + C = 96 + 1.35 = 97.35 cents per 100 yen.。
《Options, Futures and Other Derivatives 》
Options, Futures, and Other Derivatives 6th Edition, Copyright © John C. Hull 2005
3.4
Convergence of Futures to Spot
(Hedge initiated at time t1 and closed out at time t2)
Hedging Strategies Using Futures
Chapter 3
Options, Futures, and Other Derivatives 6th Edition, Copyright © John C. Hull 2005
3.1
Long & Short Hedges
A long futures hedge is appropriate when you know you will purchase an asset in the future and want to lock in the price
Futures Price
Spot Price
Time
t1
t2
Options, Futures, and Other Derivatives 6th Edition, Copyright © John C. Hull 2005
3.5
Basis Risk
Basis is the difference between spot & futures
Cost of Asຫໍສະໝຸດ et=S2 – (F2 – F1) = F1 + Basis
Options, Futures, and Other Derivatives 6th Edition, Copyright © John C. Hull 2005
利率掉期(IRS-Interest Rate Swap)
Futures
Exchanges provide standardized contracts and play the counterparty for both long and short traders. Convenience and security: No need to find an appropriate counterparty No need to face default risks
Computational Finance
Lecture 4 Part II Futures and Swaps
Main Contents
Futures
Trading Mechanism Using Futures to Hedge
Swaps
Comparative Advantages Pricing
Forward Contracts vs Futures Contracts
FORWARDS Private contract between 2 parties Non-standard contract Usually 1 specified delivery date Settled at end of contract Delivery or final cash settlement usually occurs
Chap023 Futures, Swaps, and Risk Management 博迪投资学课件
23-4
Figure 23.1 Spot and Forward Prices in Foreign Exchange
23-5
Figure 23.2 Foreign Exchange Futures
23-6
Direct Versus Indirect Quotes
• Direct exchange rate quote: – The exchange rate is expressed as dollars per the foreign currency
Hedge Ratio in contacts Each contract is for 62,500 pounds or $6,250 per a $.10 change
$200,000 / $6,250 = 32 contracts
23-9
Figure 23.3 Profits as a Function of the Exchange Rate
• Development of Program Trading – Used by arbitrageurs to perform index arbitrage – Permits acquisition of securities quickly
23-16
Hedging Systematic Risk
• Futures price too low - long the future and short sell the underlying stocks
23-15
Index Arbitrage and Program Trading
• This is difficult to implement in practice – Transactions costs are often too large – Trades cannot be done simultaneously
金融专业英语 Unit 10 Financial Derivatives
10.1.1 The development of financial derivatives
But in 1972, the Chicago Mercantile Exchange started trading futures contracts on currencies. The Chicago Board Options Exchange, where stock options are traded, was founded in 1973. In the late 1970s and early 1980s, the swaps market took off. The financial derivative market developed rapidly in last three decades of last century.The gross market value of over-the-counter derivatives rose from US$11.6 trillion to $15.5 trillion during the first half of 2020.
and describe the feature of various financial tives.
Professional Terms
Underlying item 标的物 Long position 多头 Short position 空头 over-the-counter (OTC) 场外市场 Speculator 投机商 Open outcry system 公开喊价制度 Market maker 做市商 Clearing house 清算所 Forward 远期合约 Future 期货合约 Delivery 交割 Broker 交易员
CHAPTER9 Futures Hedging Strategies (《衍生工具与风险管理》PPT课件)
HEDGING CONCEPTS (CONTINUED)
The Basis
Basis = spot price - futures price.
Hedging and the Basis
P (short hedge) = ST - S0 (from spot market)
A perfect hedge is practically non-existent. Short hedges benefit from a strengthening basis. All of this reverses for a long hedge. See Table 10.2, p. 350 for hedging profitability and
derivatives.
WHY HEDGE? (CONTINUED)
Reasons not to hedge
Hedging can give a misleading impression of the amount of risk reduced
Hedging eliminates the opportunity to take advantage of favorable market conditions
Long hedges can occur because the hedger plans to purchase an asset later.
An anticipatory hedge is a hedge of a transaction that is expected to occur in the future.
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A futures contract is different from a forward contract:期货合约 与远期合约的不同之处
– Futures are standardized contracts trading on organized exchanges with daily resettlement through a clearinghouse.期货合同是规模化的 合同，它是场内交易，并且通过结算所进行每日结算
Xiaoxia Huang
Univ. of Sci. & Tech. Beijing
hxiaoxia@
International Finances
Futures Contracts: Preliminaries期货合约：概论
A futures contract is like a forward contract: 期货合约与远期合约的相似处
Xiaoxia Huang
Univ. of Sci. & Tech. Beijing
hxiaoxia@
International Finances
Futures Contracts: Preliminaries期货合约：概论 Standardizing Features:规模化特征
损失
$1.31 $1.30 $1.27 $1.26 $1.24
Xiaoxia Huang
$1,250 –$1,250 –$3,750 –$1,250 –$2,500
$7,750 $6,500 $2,750 + $3,750 = $6,500 $5,250= $6,500 – $1,250 $2,750
International Finances 国际金融
Xiaoxia Huang
School of Economics and Management University of Science & Technology Beijing hxiaoxia@ 黄晓霞 北京科技大学
Xiaoxia Huang Univ. of Sci. & Tech. Beijing hxiaoxia@
International Finances
Daily Resettlement: An Example 每日结算：例子
With futures, we have daily resettlement of gains and losses rather than one big settlement at maturity.要是一份期货合约，将每日对你的得失 进行结算而不是到交割日期才结算 Every trading day:每个结算日
– if the price goes down, the long pays the short – 如果价格下降，多头付给空头 – if the price goes up, the short pays the long – 如果价格上涨，空头付给多头
After the daily resettlement, each party has a new contract at the new price with one-day-shorter maturity.每日结算后，合同双方将有一个以 新价格标价，交割日期少一天的新合同
Xiaoxia Huang Univ. of Sci. & Tech. Beijing hxiaoxia@
International Finances
Daily Resettlement: An Example
Over the first 3 days, the euro strengthens then depreciates in dollar terms:前三天，欧元先升值再贬值
International Finances
Daily Resettlement: An Example
Over the next 2 days, the long keeps losing money and closes out his position at the end of day five.接下来的两天，他继续 赔钱，终于在第五天结束了这个头寸 Settle执行价 Gain/Loss 收益/ Account Balance 账户余额
On third day suppose our investor keeps his long position open by posting an additional $3,750.第三天，我们的投资者为了维持他的多 头不得不加了3750美元
Xiaoxia Huang Univ. of Sci. & Teபைடு நூலகம்h. Beijing hxiaoxia@
International Finances
Futures and Options on Foreign Exchange 外汇市场上的期货和期权 Objective:目标 Discusses exchange-traded currency futures contracts, options contracts, and options on currency futures. 探讨外汇交易中的期货合同，期权合同，和货币 期货期权
Xiaoxia Huang
Univ. of Sci. & Tech. Beijing
hxiaoxia@
International Finances
Performance Bond Money维持保证金
Each day’s losses are subtracted from the investor’s account.每 天的所失将从投资者的账户中减去 Each day’s gains are added to the account. 每天的所得将加到账户上 In this example, at initiation the long posts an initial performance bond of $6,500. 例，初始保证金是$6,500 The maintenance level is $4,000.维持保证金是$4,000 – If this investor loses more than $2,500 he has a decision to make: he can maintain his long position only by adding more funds—if he fails to do so, his position will be closed out with an offsetting short position.如果这个投资者的损失超过 $2,500 ，他必须做出个决定，他可以继续往账户里加钱以维 持它的多头，如果不这样做，他的头寸将以结束了空头而抵消
Xiaoxia Huang
Univ. of Sci. & Tech. Beijing
hxiaoxia@
International Finances
Daily Resettlement: An Example每日结算：例子
Consider a long position in the CME Euro/U.S. Dollar contract. 想象一个在芝加哥商品交易市场发生的欧元对美元的多头合约 It is written on €125,000 and quoted in $ per €. 一份合同价值€125,000 ，标价方式是$ / € The strike price is $1.30 the maturity is 3 months. 敲定价格是$1.30 ，交割日期是三个月 At initiation of the contract, the long posts an initial performance bond of $6,500. 合约的前提，初始保证金是$6,500 The maintenance performance bond is $4,000. 维持保证金是$4,000
Settle $1.31 $1.30 $1.27
Gain/Loss $1,250 ×125,000 –$1,250 –$3,750
= ($1.31 – $1.30)
Account Balance $7,750 = $6,500 + $1,250 $6,500 $2,750+ $3,750 = $6,500
– Contract Size合同份数 – Delivery Month/Maturity Date交割日期 – Daily resettlement每日结算
Initial performance bond (about 2 percent of contract value, cash or T-bills held in a street name at your brokerage).初始保证金（在你账户 上大约是你期货合同价值的百分之二）
hxiaoxia@
Univ. of Sci. & Tech. Beijing
International Finances
Toting Up
At the end of his adventures, our investor has three ways of computing his gains and losses:此次投资结束后，投资者 有三种方法对他的得失进行计算