Unit 10 Futures and Swap
INVESTMENTS 投资学 (博迪BODIE, KANE, MARCUS)Chap023 Futures, Swaps, and Risk Management共40页文档
2% of $30 million = $600,000
Each S&P500 index contract will change $6,250 for a 2.5% change in the index. (The contract multiplier is $250).
INVESTMENTS | BODIE, KANE, M2A3R-C1U9S
Hedge Ratio Example
Change in the portfolio value H=
Profit on one futures contract
= $600,000 $6,250
= 96 contracts short
INVESTMENTS | BODIE, KANE, M2A3R-C2U0S
• Results: – Cheaper and more flexible – Synthetic position; instead of holding or shorting all of the actual stocks in the index, you are long or short the index futures
Hedge Ratio in contracts Each contract is for 62,500 pounds or $6,250 per a $.10 change
$200,000 / $6,250 = 32 contracts
INVESTMENTS | BODIE, KANE, MA2R3C-U9S
• Futures price too low - long the future and short sell the underlying stocks
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。
金融、期货英语词汇大全
金融、期货英语大全金融、期货英语大全经济指标中英文对照1 gross domestic product 国内生产总值2 the implicit deflators 隐含价格指数3 the fixed- weight deflators 加权固定价格指数4 car sale 汽车销售报告5 the national association of purchasing managers’index 购买经理人指数6 employment 就业报告7 producer price index 生产者价格指数8 retail sales 零售报告9 industrial production and capacity utilization 工业生产和开工率报告10 house starts/buiding permits 房屋动工/建房许可报告11 comsumer price index 消费者价格指数12 cpi-u 城市消费者价格指数13 cpi-w 公务员消费价格指数14 durable goods orders 耐用消费品定单15 personal income and consumption expenditure 个人收入和消费支出报告16 the index lof leadimg economic indicators 经济先行指标17 new house sales 新房销售报告18 construction spending 建筑支出报告19 factory orders and manufacturing 工厂定单和制造业存货20 business inventories and sales 商业库存与销售21 merchandise trade balance 贸易收支报告国际金融市场常用术语一、金融市场术语1 、 floor 场内交易2 、 after house trading 场外交易：场内交易结束后，通过电子终端系统进行的交易3 、 kerb 场外交易：在交易所交易时间外的交易4 、 bear market 熊市5 、 bull market 牛市6 、 congested market 横向市场盘整7 、 liquid market 买卖易于成交的市场8 、 forward marke 远期市场 t9 、 spot market 现货市场10、seller’market 卖方市场：卖方处主动地位11、 bid market 卖方市场：买盘多于卖盘的市场12、buyer’s market 买方市场13、 strong market 坚挺市场14、 thin market 成交清淡的市场15、 volatile market 多变市场16、 tight market 成交活跃的市场17、 weak market 疲软的市场18、 two way market 双向市场二、金融市场交易术语1 、 quotation 报价2 、 asked(offer) price 卖方报价3 、 bid 买方叫价4、 at the-money 平价5 、 at par 证券的面值6、 closing price 收盘价7 、 floor price 最低价8 、 basis point 基点：表示利率、汇率或债券收益率变化的最小单位，通常 0 。
投资组合 Swap
Currency & Interest Rate Swaps
This chapter discusses currency and interest rate swaps, which are relatively new instruments for hedging long-term interest rate risk and foreign exchange risk.
An Example of an Interest Rate Swap
Consider this example of a “plain vanilla” vanilla” interest rate swap. Bank A is a AAA-rated international bank AAAlocated in the U.K. and wishes to raise $10,000,000 to finance floating-rate floatingEurodollar loans.
An Example of an Interest Rate Swap
Swap
10 3/8%
Bank
国际期货常用英文精译与运用
1. 市價委託（Market Order，簡稱MKT）：在正常狀況下，此種委託係以當時最快時間內進行交易，通常於交易所場內之會員接到買賣委託後數分鐘內完成買賣委託。
2. 限價單（limit Order，簡稱LIT）：此種限價單不管是買單或賣單都可以優於(Better)、低於或等於市場價格的價位下出委託，成交的價格保證等於或優於原來的委託價格。
3. 停損委託（Stop Order，簡稱STP）：此種委託依委託人在委託時為"買"或"賣"而有所不同，在委託時若為"買"所設價位需高於最新成交價，若為"賣"，所設價位需低於最新成交價。
在交易所內之會員接到此種買賣委託後，若最新成交價等於或高於所設買價或低於所設賣價時，此種委託將立即成為市價委託，此時不論是"買"或"賣"其成交價均有可能等於或高於或低於原先所設之價位。
4. 觸及市價委託（Market If Touched Order，簡稱MIT）：此種委託依委託人在委託時為"買"或"賣"而有所不同，在委託時若為"買"所設價位需低於最新成交價，若為"賣"，所設價位需高於最新成交價。
在交易所內之會員接到此種買賣委託後，若最新成交價等於或低於所設買價或高於所設賣價時，此種委託將立即成為市價委託。
此時不論是"買"或"賣"，成交價均有可能等於或高於或低於原先所設定之價位。
5. 開盤市價委託(Market-On-Opening Order，簡稱MOO）：此種買賣委託限定在開盤後之一段時間內執行買賣委託，此段時間內出現過的所有成交價位稱為開盤價範圍(OpeningRange)，以開盤市價委託方式進行之交易，其實際成交價必定不超過開盤價範圍（有可能是開盤價範圍內之任何價位，但並非一定是開盤價）。
《美盘交易主要品种期货合约细则》(英文版)
112,000 pounds
Cents and hundredths of a cent per pound to two decimal places
March, May, July and October
1/100 cent/lb., equivalent to $11.20 per contract.
Trading shall cease at the end of the designated settlement period on the Business Day (a trading day which is not a public holiday in England and Wales) immediately preceding:
Physical delivery, FOB receiver's vessel
Raw centrifugal cane sugar based on 96 degrees average polarization.
None
Growths of Argentina, Australia, Barbados, Belize, Brazil, Colombia, Costa Rica, Dominican Republic, El Salvador, Ecuador, Fiji Islands, French Antilles, Guatemala, Honduras, India, Jamaica, Malawi, Mauritius, Mexico, Mozambique,Nicaragua, Peru, Republic of the Philippines, South Africa, Swaziland, Taiwan, Thailand, Trinidad, United States, and Zimbabwe.
(财务会计)国际会计复习资料中英结合版
国际会计复习资料A.Basic Knowledge1.we view accounting as consisting of three broad areas: measurement、[‘meʒəmənt]（计量）disclosure[dis’kləuʒə](披露) and auditing[‘ɔ:ditiŋ]（审计）.2.The three international organization of accounting profession are（International Federation of Accountants;IFAC)（国际会计师联合会）(International Accounting Standards Committee; IASC)（国际会计准则委员会）(International Auditing practice Committee;IAPC) (国际审计实务委员会)3.Hofstede’s four cultural dimensions are（霍夫斯泰德的四个文化层面）：(1)individualism(个人主义）(2)power distance（权力距离）(3)uncertainty avoidance（风险规避）(4)masculinity（阳刚之气）4. The four culture dimensions that affect a nation’s financial reporting practices by Gray refer to?影响一个国家的财务报告的做法的四个层面系指：(1)Professionalism (职业主义维度）(2)Uniformity （统一性维度）(3)conservatism （保守主义维度）(4)Secrecy （保密性维度）5.Accounting standard setting normally involves a combination of private and public sector groups.（会计准则的制定通常涉及结合私营和公共部门的群体。
futures and options market教材
futures and options market教材
以下是几本关于期货和期权市场的教材：
1.Futures and Options: The Theory and Practice，这本书系统地介绍了期货和期权的基本
理论，包括定义、特征、功能等，同时还介绍了期货和期权的交易策略和风险管理。
2.Options，Futures，and Other Derivatives，这本书是一本经典的教材，全面介绍了
期货、期权和其他衍生品的基本概念、定价方法和风险管理。
3.Futures and Options Market：An Introduction，这本书从基本概念开始，详细介绍了
期货和期权市场的交易机制、市场参与者、交易策略等，同时也介绍了期货和期权市场的历史和发展趋势。
以上教材都是比较全面的期货和期权市场教材，可以根据自己的需求选择适合自己的教材。
德国金属公司套期保值案例分析
德国金属公司套期保值案例分析摘要套期保值作为一种金融工具，可以有效的规避市场价格风险，使得成本付出与利润收获趋于稳定，从而能够规避风险，获得竞争优势。
但套期保值是一把“双刃剑”，除了给企业带来巨大收益，也会因为对冲利率变动、汇率变动等各种经营风险给企业带来巨额亏损，甚至导致破产。
套期保值失败的案例比比皆是，德国金属公司套期保值案例问题典型，值得分析与研究。
德国金属公司作为德国最大的工业公司之一，1993年该公司出售大量远期供货合同，即在未来5-10年以固定价格向需求方供应原油、加热油和汽油，为了规避风险，该公司通过期货市场和互换交易进行保值，由于对套期保值将会面临的风险估计不足，再加上高层公司的不理解及措施不当，最终导致套期保值失败。
本文以德国公司套期保值为例分析，通过分析背景、交易结构、套期保值策略、市场状况、突出问题、反思教训等内容，明确该公司套期保值中显露的问题，进而推广得到避免套期保值失败的建议与对策。
关键词：套期保值、基差、现货升水、风险分析The titleABSTRACTHedging, as a financial instrument, can effectively avoid the market price risk, and make the cost and profit gain tend to be stable, so as to avoid risks and gain competitive advantage. However, hedging is a "double-edged sword", which not only brings huge profits to enterprises, but also brings huge losses and even leads to bankruptcy because of hedging various business risks such as interest rate changes and exchange rate changes.Hedging failure cases abound, and the hedging cases of German metal companies are typical, which is worth analyzing and studying. As one of the largest industrial companies in Germany, German Metal Company sold a large number of forward supply contracts in 1993, that is, it will supply crude oil, heating oil and gasoline to the demand side at a fixed price in the next 5~10 years. In order to avoid risks, the company hedged through the futures market and swap transactions. Due to the underestimation of the risks that hedging will face, coupled with the incomprehension of high-level companies and improper measures, the hedging eventually failed.Taking German company hedging as an example, this paper analyzes the background, transaction structure, hedging strategy, market situation, outstanding problems, option types, reflection lessons, etc., and clarifies the problems exposed in the company's hedging, and then generalizes the suggestions and countermeasures to avoid hedging failure.Key words: hedging，basis，spot premium，risk analysis1 序论 (1)1.1MG集团简介 (1)1.2事件经过 (1)1.3 案例特点 (1)1.4 研究方法与内容 (2)2 交易结构 (3)2.1 为期10年的远期合同 (3)2.2 套期保值策略 (3)2.3 交易结构 (3)3 套期保值策略 (4)3.1 基本概念 (4)3.2 策略特点 (4)3.3 策略依据 (4)4 问题分析 (6)4.1 风险分析 (6)4.2 突出问题 (6)5 反思教训 (9)5.1 改进套期保值策略 (9)5.2 套期保值比的选择 (9)5.3 其他策略建议 (9)参考文献 (11)1.1 MG集团简介德国金属公司（Metallgesellschaft Mg）是德国最大的工业公司之一，其主要业务是从事工程与化学品业务，德国最大的两家银行——德意志银行和德累斯顿银行拥有其33.8％的股份。
RM lecture 05 handout
11
Zero or Spot rates
A zero rate (or spot rate), for maturity T is the rate of interest earned on an investment that provides a payoff only at time T A chart of spot rates against maturity is called the yield curve or term-structure of interest rates Term structure animation /freecharts/yieldcurve.php
– Eurodollar futures and swaps are used to extend the LIBOR yield curve beyond one year – The overnight indexed swap rate is increasingly being used instead of LIBOR as the risk-free rate
Measuring Interest Rates
The compounding frequency used for an interest rate is the unit of measurement
The difference between semi-annual and annual compounding is analogous to the difference between miles and kilometers E.g. a $100 investment can yield $105 (100 principal + $5 interest) in multiple ways
理财英语词汇重点
理财英语词汇重点（⼀）理财：Wealth Management or financial planning理财规划：financial planning理财公司：financial planning firm独⽴第三⽅理财顾问公司：Independent Financial Advisor外汇投资：foreign currency investment股票投资：equity investment or stock investment投资组合：portfolio management风险和回报：risk & return基⾦：managed fund (英国）mutural fund (美国）（⼆）Accrued interest 应得利息All-Ordinaries Index 所有普通股指数Arbitrage 套戥Ask Price 买价Asset-Backed Securities 具资产保证的证券At-the-money 刚到价Automatic Order Matching And Execution System ⾃动对盘及成交系统Basis Point 基点Bear Markets 熊市Bid Price 卖价Bid-ask Spread 买卖差价Blue Chips 蓝筹股Bond 债券Book Value 账⾯值Broker 经纪Brokerage Fee 经纪佣⾦Bull Markets ⽜市Call Option 好仓期权/买⼊（认购）期权Callable Bonds 可赎回债券Capital Gain 资本增值Capital Markets 资本市场Central Clearing and Settlement System 中央结算系统Central Money Market Units 债务⼯具中央结算系统Certificate of Deposits 存款证China Concepts Stock 中国概念股Closed-end 闭端基⾦Collateral 抵押品Commercial Paper 商业票据Common Stock 普通股Compound Interest 复息Contract Note 成交单Controlling Shareholder 控制股东Convertible Bond 可换股债券Corporate Bond 公司债券Coupon 票息Coupon Frequency 派息次数Coupon Rate 票⾯息率Covered warrants 备兑认股权证Credit Rating 信⽤评级Currency Board 货币发⾏局Current Yield 现价息率Custody of Securities 证券托管Default Risk 不能收回本⾦的风险Derivative Call 衍⽣认购（认沽）认股权证Derivative Instrument 衍⽣产品Direct Business 直接成交Discount Bond 折扣债券Diversification 分散风险Duration 期限Earnings 收益Earnings per Share 每股盈利Earnings Yield 盈利率Equity 股本Equity Call Warrants 股本认购认股权证Ex-dividend 除息Face Value/ Nominal Value ⾯值Fixed Rate Bonds 定息债券Fixed-income securities 定息证券Floating Rate Bonds 浮息债券Fundamental Analysis 基本分析Future Value 未来值Future Value of an Annuity 定期供款之未来值Futures contract 期货合约Hang Seng China Enterprises index 恒⽣⾹港中资企业指数Hang Seng Index ⾹港恒⽣指数Hang Seng London Reference Index 恒⽣伦敦参考指数Hedge 对冲Hong Kong Inter-Bank Offered Rate ⾹港银⾏同业拆息Hong Kong Monetary Authority ⾹港⾦融管理局Hong Kong Securities Clearing Company Ltd. ⾹港中央结算有限公司H-Share 股HSI Futures Contract 恒⽣指数期货合约Income 收⼊Index Fund 指数基⾦Initial Public Offering ⾸次公开招股Inside Information 内幕消息Insider Trading 内幕交易Intrinsic Value 内在价值Investment 投资Investment Adviser 投资顾问IPO price ⾸次公开招股价Junk Bond 垃圾债券Leverage Ratio 杠杆⽐率Limit Order 限价指⽰Limited Company 有限公司Liquidity 变现能⼒Listing 挂牌Listing Date 上市⽇期Margin Call 补仓Market Capitalisation 市价总值Market Maker 庄家Market Order 市场指⽰Money Market 货币市场Mutual Fund 互惠基⾦Net Asset Value 资产净值Offer For Sale 公开发售Offer For Subscription 公开认购Open Offer 公开供股Open-end 开放基⾦Option 期权Oversubscribed 超额认购Par Bond 平价债券Par Value 票⾯值Perpetual Bonds 永久债券Placing 配售Portfolio 投资组合Preference Shares 优先股Premium 溢价（认股证）Premium Bond 溢价债券Present Value 现时值Present Value of An Annuity 定期供款之现时值Price/Earnings Ratio 市盈率Privatisation 私有化Professional Conduct Regulations 专业操守规例Prospectus 招股书Put Option 淡仓期权/卖出（认沽）期权Rate of Return 收期率Real Interest Rate 实质利率Red Chip 红筹股Redemption Value 赎回价值Reinvestment Value 再投资利率Relative Strength Index/RSI 相对强弱指数Repurchase Agreement 回购协议Resistance Level 阻⼒价位Return 回报Rights Issue 供股发⾏Risk-Averse, Risk-Neutral, Risk-Taking 风险厌恶，风险中⽴，追求风险Securities And Futures Commission 证券及期货事务监察委员会Securities Dealers' Representatives 证券交易商SEHK 联交所Senior Bond 优先债券Settlement 结算Short Hedge 空头对冲Short Position 空仓Short Selling 抛空/沽空Speculation 投机Stock Splits 股票分拆Subordinated Bond 后偿债券Substantial Shareholder ⼤股东Support Level ⽀持价位Technical Analysis 技术分析The Stock Exchange of Hong Kong Ltd. ⾹港联合交易所有限公司Time Horizon 投资期Trading Hours of SEHK 联合交易所的交易时间Trading Rules 交易规则Trust Deed 信托契约Underlying Security 认股权证相关的股份Unified Exchange Compensation Fund Scheme 联合交易所赔偿基⾦Valuation 估价Warrant 认股权证Window Dressing 粉饰橱窗Yield 盈利率Yield To Maturity 到期孳息率Zero Coupon Bond ⽆息债券（三）All Ordinaries Index (澳⼤利亚)股市指数Amex(American Stock Exchange) 美国股票交易所amortize 摊提，分期偿还债务annuity 年⾦享受权asking price 卖主的开叫价assess 对(财产等)进⾏估价，确定(款项)的⾦额back 拖⽋的bad loan 呆账，坏账bailout 帮助……摆脱困境balloon (分期付款中)最后数⽬特⼤的⼀笔barometer 晴⾬表，[喻]标记，指标basis point 基点(⼀个百分点的百分之⼀)bear markets 熊市blue-chip (股票等)热门的，(在同⾏中)最赚钱的forex foreign exchangebond 债券，公债bourse 交易所，证券交易所bull markets ⽜市bullish ⽜市的bunji-change 快速的⼤幅度变化CAC-40 Index (法国)股市指数CD(certificate-of-deposit) ⼤额存款单Chicago Mercantile Exchange 芝加哥商业交易所Consumer Price Index 消费者价格指数contagion 蔓延correction 调整coupon rate 券根利率CTA(Commodities Trading Advisor) 农矿产品交易顾问Currency board 货币委员会DAX index (法兰克福)德国股市指数dead loan 死帐delist 从上市证券表中除名derivatives 衍⽣⾦融商品(由利率或债券、外汇或汇率以及股票或股价指数等现货市场衍⽣出来，主要有期货futures、期权option trading与掉期swap 三种类型，品种多达100余种。
CFA NOTES
LOS d: Calculate prices of interest rate options and options on assets using one- andtwo-period binomial models.LOS e: Explain how the binomial model value converges as time periods are added.这个LOS 可理解成，当binomial model 的区间划分的越来越小的时候，binomial model 得到的期权价格趋向于同一个价格，换句话说，划分500个区间与划分1000个区间得到的期权价格很接近。
见下面这个图有个直观的了解LOS f: Explain the assumptions underlying the Black-Scholes-Merton model.BSM 模型有六个假设，分别是，1. 基础资产的价格遵循自然对数正态分布，注意，是价格遵循自然对数正态分别，收益遵循的是正态分布。
2. 无风险利率已知且不变。
3.基础资产的波动率已知且不变 4.无税收和交易成本 5.在期权寿命期间，基础资产不会产生现金流 6. BSM 模型只适用与定价European optionsThe following key assumptions underlie the Black-Scholes-Merton Model:1. T he underlying price follows a lognormal probability distribution as it advances throughtime. Log returns are also referred to as continuously compounded returns. If this return follows anormal distribution, it is log normally distributed.2. T he risk -free rate is known and invariable, or constant 。
远期、期货和互换
16
维持保证金（maintenance margin）: when the balance in a trader’s margin account falls below the maintenance margin level, the trader receives a margin call requiring the account to be topped up to the initial margin level. 对冲平仓（offset）：最主要的一种结清头寸的方式 。 套保（hedging）: a trade designed to reduce risk.
远期（forwards）
期货（futures）
互换（swaps）
期权（options）
3
一、远期(forward)
远期合约（forward contract）：a contract to buy or sell a specified asset at a designated future time.
8
远期合约的类型： 商品远期合约 金融远期合约
远期利率协议 远期外汇合约 远期股票合约
下面仅介绍远期利率协议
9
远期利率（Forward Rate ）：将来某个时点开始的一定 期限的利率。(rate of interest for a period of time in the future implied by today’s zero rates). zero rate = zero coupon interest rate.
5
盈亏（net payoff，profit），从回收中扣除建立仓位 所发生的初始费用的终值，即 Profit = payoff – FV of expenses incurred
Hull经典衍生品教科书第9版官方PPT,第一章
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
1
What is a Derivative?
A derivative is an instrument whose value depends on, or is derived from, the value of another asset. Examples: futures, forwards, swaps, options, exotics…
time contract is entered into)
Profit
K
Price of Underlying at Maturity, ST
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014 13
Profit from a Long Forward Position (K= delivery price=forward price at
Options, Futures, and Other Derivatives, 9th Edition, Copyright © John C. Hull 2014
12
Example (page 6)
On May 6, 2013, the treasurer of a corporation enters into a long forward contract to buy £1 million in six months at an exchange rate of 1.5532 This obligates the corporation to pay $1,553,200 for £1 million on November 6, 2010 What are the possible outcomes?
期权期货与其他衍生产品第九版课后习题与答案Chapter (22)
The percentage daily change in the exchange rate, x , equals S 15 . It follows that P 56 15x or P 84x The standard deviation of x equals the daily volatility of the exchange rate, or 0.7 percent. The standard deviation of P is therefore 84 0007 0588 . It follows that the 10-day 99 percent VaR for the portfolio is 0588 233 10 433 Problem 22.4. Suppose you know that the gamma of the portfolio in the previous question is 16.2. How does this change your estimate of the relationship between the change in the portfolio value and the percentage change in the exchange rate? The relationship is
1 P 56 15x 152 162 x 2 2
P 84x 18225x2
Problem 22.5. Suppose that the daily change in the value of a portfolio is, to a good approximation, linearly dependent on two factors, calculated from a principal components analysis. The delta of a portfolio with respect to the first factor is 6 and the delta with respect to the second factor is –4. The standard deviations of the factors are 20 and 8, respectively. What is the 5-day 90% VaR? The factors calculated from a principal components analysis are uncorrelated. The daily variance of the portfolio is 62 202 42 82 15 424 and the daily standard deviation is 15 424 $12419 . Since N (1282) 09 , the 5-day 90% value at risk is 12419 5 1282 $35601 Problem 22.6. Suppose a company has a portfolio consisting of positions in stocks and bonds Assume there are no derivatives. Explain the assumptions underlying (a) the linear model and (b) the historical simulation model for calculating VaR. The linear model assumes that the percentage daily change in each market variable has a normal probability distribution. The historical simulation model assumes that the probability distribution observed for the percentage daily changes in the market variables in the past is the probability distribution that will apply over the next day. Problem 22.7. Explain how an interest rate swap is mapped into a portfolio of zero-coupon bonds with standard maturities for the purposes of a VaR calculation.
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
商业银行管理-ROSE-7e-课后答案chapter-08
CHAPTER 8USING FINANCIAL FUTURES, OPTIONS, SW APS, AND OTHER HEDGING TOOLS INASSET-LIABILITY MANAGEMENTGoal of This Chapter: The purpose of this chapter is to examine how financial futures, option, and swap contracts, as well as selected other asset-liability management techniques can be employed to help reduce a bank’s potential exposure to loss as market conditions change. We will also discover how swap contracts and other hedging tools can generate additional revenues for banks by providing risk-hedging services to their customers.Key Topics in this Chapter•The Use of Derivatives•Financial Futures Contracts: Purpose and Mechanics•Short and Long Hedges•Interest-Rate Options:Types of Contracts and Mechanics•Interest-Rate Swaps•Regulations and Accounting Rules•Caps, Floor, and CollarsChapter OutlineI. Introduction: Several of the Most Widely Used Tools to Manage Risk ExposureII. Use of Derivative ContractsIII. Financial Futures Contracts: Promises of Future Security Trades at a Set PriceA. Background on FuturesB. Purposes of Financial Futures TradingC. Most Popular Types of Futures ContractsD. The Short Hedge in FuturesE. The Long Hedge in Futures1. Using Long and Short Hedges to Protect Income and Value2. Basis Risk3. Basis Risk with a Short Hedge4 Basis Risk with a Long Hedge5. Number of Futures Contracts NeededIV. Interest Rate OptionsA. Nature of Interest-Rate OptionsB. How They Differ from Futures ContractsC. Most Popular Types of OptionsD. Purpose of Interest-Rate OptionsV. Regulations and Accounting Rules for Bank Futures and Options TradingVI. Interest Rate SwapsA. Nature of swapsB. Quality swapsC. Advantages of Swaps Over Other Hedging MethodsD. Reverse swapsE. Potential Disadvantages of SwapsVII. Caps, Floors, and CollarsA. Interest Rate CapsB. Interest Rate FloorsC. Interest Rate CollarsVIII. S ummary of the ChapterConcept Checks8-1. What are financial futures contracts? Which financial institutions use futures and other derivatives for risk management?Financial futures contacts are contracts calling for the delivery of specific types of securities at a set price on a specific future date. Financial futures contract help to hedge interest rate risk and are thus, used by any bank or financial institution that is subject to interest rate risk.8-2. How can financial futures help financial service firms deal with interest-rate risk?Financial futures allow banks and other financial institutions to deal with interest-rate risk by reducing risk exposure from unexpected price changes. The financial futures markets are designed to shift the risk of interest rate fluctuations from risk-averse investors to speculators willing to accept and possibly profit from such risks.8-3. What is a long hedge in financial futures? A short hedge?A long hedger offsets risk by buying financial futures contracts around the time new deposits are expected, when a loan is to be made, or when securities are added to the bank's portfolio. Later, as deposits and loans approach maturity or securities are sold, a like amount of futures contracts is sold. A short hedger offsets risk by selling futures contracts when the bank is expecting a large cash inflow in the near future. Later, as deposits come flowing in, a like amount of futures contracts is purchased.8-4. What futures transactions would most likely be used in a period of rising interest rates? Falling interest rates?Rising interest rates generally call for a short hedge, while falling interest rates usually call for some form of long hedge.8-5. How do you interpret the quotes for financial futures in The Wall Street Journal?The first column gives you the opening price, the second and third the daily high and low price, respectively. The fourth column shows the settlement price followed by the change in the settlement price from the previous day. The next two columns show the historic high and low price and the last column points out the open interest in the contract.8-6. A futures is currently selling at an interest yield of 4 percent, while yields currently stand at 4.60 percent. What is the basis for these contracts?The basis for these contracts is currently 4.60% – 4% or 60 basis points.8-7. Suppose a bank wishes to sell $150 million in new deposits next month. Interest rates today on comparable deposits stand at 8 percent, but are expected to rise to 8.25 percent next month. Concerned about the possible rise in borrowing costs, management wishes to use a futures contract. What type of contract would you recommend? If the bank does not cover the interest rate risk involved, how much in lost potential profits could the bank experience?At an interest rate of 8 percent:$150 million x 0.08 x30360= $1 millionAt an interest rate of 8.25 percent:$150 million x 0.0825 x30360= $1.031 millionThe potential loss in profit without using futures is $0.0313 million or $31.3 thousand. In this case the bank should use a short hedge.8-8. What kind of futures hedge would be appropriate in each of the following situations?a. A financial firm fears that rising deposit interest rates will result in losses on fixed-rate loans?b. A financial firm holds a large block of floating-rate loans and market interest rates are falling?c. A pro jected rise in market rates of interest threatens the value of the financial firm’s bondportfolio?a. The rising deposit interest rates could be offset with a short hedge in futures contracts (for example, using Eurodollar deposit futures).b. Falling interest yields on floating-rate loans could be at least partially offset by a long hedge in Treasury bonds.c. The bank's bond portfolio could be protected through appropriate short hedges using Treasury bond and note futures contracts.8-9. Explain what is involved in a put option?A put option allows its holder to sell securities to the option writer at a specified price. The buyer of a put option expects market prices to decline in the future or market interest rates to increase. The writer of the contract expects market prices to stay the same or rise in the future.8-10. What is a call option?A call option permits the option holder to purchase specific securities at a guaranteed price from the writer of the option contract. The buyer of the call option expects market prices to rise in the future or expects interest rates to fall in the future. The writer of the contract expects market prices to stay the same or fall in the future.8-11. What is an option on a futures contract?An option on a futures contract does not differ from any other kind of option except that the underlying asset is not a security, but a futures contract.8-12. What information do T-bond and Eurodollar futures option quotes contain?The quotes contain information about the strike prices and the call and put prices at each different strike price for given months.8-13. Suppose market interest rates were expected to rise? What type of option would normally be used?If interest rates were expected to rise, a put option would normally be used. A put option allows the option holder to deliver securities to the option writer at a price which is now above market and make a profit.8-14. If market interest rates were expected to fall, what type of option would a financ ial institution’s manager be likely to employ?If interest rates were expected to fall, a call option would likely be employed. When interest rates fall, the market value of a security increases. The security can then be purchased at the option price and sold at a profit at the higher market price.8-15. What rules and regulations have recently been imposed on the use of futures, options, and other derivatives? What does the Financial Accounting Standards Board (FASB) require publicly traded firms to do in accounting for derivative transactions?Each bank has to implement a proper risk management system comprised of (1) policies and procedures to control financial risk taking, (2) risk measurement and reporting systems and (3) independent oversight and control processes. In addition, FASB introduced statement 133 which requires that all derivatives are recorded on the balance sheet as assets or liabilities at their fair value. Furthermore, the change in the fair value of a derivative and a fair value hedge must be reflected on the income statement.8-16. What is the purpose of an interest rate swap?The purpose of an interest rate swap is to change an institution's exposure to interest rate fluctuations and achieve lower borrowing costs.8-17. What are the principal advantages and disadvantages of rate swaps?The principal advantage of an interest-rate swap is the reduction of interest-rate risk of both parties to the swap by allowing each party to better balance asset and liability maturities and cash-flow patterns. Another advantage of swaps is that they usually reduce interest costs for one or both parties to the swap. The principal disadvantage of swaps is they may carry substantial brokerage fees, credit risk and some basis risk.8-18. How can a financial institution get itself out of a swap agreement?The usual way to offset an existing swap is to undertake another swap agreement with opposite characteristics.8-19. How can financial-service providers make use of interest rate caps, floors, and collars to generate revenue and help manage interest rate risk?Banks and other financial institutions can generate revenue by charging up-front fees for interest rate caps on loans and interest rate floors on securities. In addition, a positive net premium on interest rate collars will add to a bank's fee income. Caps, floors, and collars help manage interest rate risk by setting maximum and minimum interest rates on loans and securities. They allow the lender and borrower to share interest rate risk.8-20. Suppose a bank enters into an agreement to make a $10 million, three-year floating-rate loan to one of its corporate customers at an initial rate of 8 percent. The bank and the customer agree to a cap and a floor arrangement in which the customer reimburses the bank if the floating loan rate drops below 6 percent and the bank reimburses the customers if the loan rate rises above 10 percent. Suppose that, at the beginning of the loan's second year, the floating loan rate drops to 4 percent for a year and then, at the beginning of the third year, the loan rate increases to 11 percent for the year. What rebates must be paid by each party to the agreement?The rebate owed by the bank for the third year must be:(11%-10%) x $10 million = $100,000.The rebate that must be forwarded to the bank for the second year must be:(6%-4%) x $10 million = $200,000.Problems8-1. You hedged your bank’s exposure to declining interest rates by buying one March Treasury bond futures contract at the opening price on November 21, 2005(see exhibit 8-2). It is now January 9, and you discover that on Friday, January 6 March T-bond futures opened at 113-17 and settled at 113-16.a. What are the profits/losses on your long position as of settlement on January 6?Buy at 112-06 or 112 6/32 per contract = 112,187.50Value at settlement on January 6, 113-16 or 113 16/32 = 113,500.Gain = 113,500 – 112,187.50 = $1312.50b. If you deposited the required initial margin on 11/21 and have not touched the equityaccount since making that cash deposit, what is your equity account balance?The equity account balance will increase by the gain in the position,thus $1,150 + $1312.50 = $2,462.508-2 Use the quotes of Eurodollar futures contracts traded on the Chicago Mercantile Exchange on December 20, 2005 to answer the following questions:a. What is the annualized discount yield based on the low IMM index for the nearest Junecontract?The annualized discount yield is 100 – 95.13 = 4.87 percentb. If your bank took a short position at the high price for the day for 15 contracts, whatwould be the dollar gain or loss at settlement on December 20, 2005?Sell at high price: (1,000,000x[1-((4.87/100)x90/360)]x15 = 14,817,375Value at settlement: (1,000,000x[1-((4.86/100)x90/360)]x15 = 14,817,750Loss: 14,817,375 – 14,817,750 = -$375c. If you deposited the initial required hedging margin in your equity account upon takingthe position described in b, what would be the marked to market value of your equityaccount at settlement?Initial margin = $700x15 = $10,500You realize a $375 loss for this transaction.Thus your equity position is: $10,500 - $375 = $10,1258-3. What kind of futures or options hedges would be called for in the following situations?a. Market in terest rates are expected to increase and First National Bank’s asset andliability managers expect to liquidate a portion of their bond portfolio to meetdepositor’s demands for funds in the upcoming quarter.First National can expect a lower price when they sell their bond portfolio unless it uses short futures hedges in which contracts for government securities are first sold and then purchased at a profit as security prices fall provided interest rate really do rise as expected. A similar gain could be made using put options on government securities or on financial futures contracts.b. Silsbee Savings Bank has interest-sensitive assets of $79 million and interest-sensitive liabilities of $88 million over the next 30 days and market interest rates are expected to rise.Silsbee Savings Bank’s interest-sensitive liabilities exceed its interest-sensitive assets by $11 million which means the bank will be open to losses if interest rates rise. The bank could sell financial futures contracts or use a put option on government securities or financial futures contracts approximately equal in dollar volume to the $11 million interest-sensitive gap to hedge their risk.c. A survey of Tuskee Bank’s corporate loan customers this month (January) indicates that, on balance, this group of firms will need to draw $165 million from their credit lines in February and March, which is $65 million more than the bank’s management has forecasted and prepared for. The bank’s economist has predicted a significant increase in money market interest rates over the next 60 days.The forecast of higher interest rates means the bank must borrow at a higher interest cost which, other things held equal, will lower its net interest margin. To offset the expected higher borrowing costs the bank's management should consider a short sale of financial futures contracts or a put option approximately equal in volume to the additional loan demand. Either government securities or EuroCDs would be good instruments to consider using in the futures market or in the option market.d. Monarch National Bank has interest-sensitive assets greater than interest sensitive liabilities by $24 million. If interest rates fall (as suggested by data from the Federal Reserve Board) the bank’s net interest margin may be squeezed due to the decrease in loan and security revenue.Monarch National Bank has interest-sensitive assets greater than interest-sensitive liabilities by $24 million. If interest rates fall, the bank's net interest margin will likely be squeezed due to the faster fall in interest income. Purchases of financial futures contracts followed by a subsequent sale or call options would probably help here.e. Caufield Thrift Association finds that its assets have an average duration of 1.5 years and its liabilities have an average duration of 1.1 years. The ratio of liabilities to assets is .90. Interest rates are expected to increase by 50 basis points during the next six months.Caufield Bank and Trust Company has asset duration of 1.5 years and a liabilities duration of 1.1. A 50-basis point rise in money-market rates would reduce asset values relative to liabilities which mean its net worth would decline. The bank should consider short sales of government futures contracts or put options on these securities or on their related futures contracts.8-4. Your bank needs to borrow $300 million by selling time deposits with 180-day maturities. If interest rates on comparable deposits are currently at 4 percent, what is the cost of issuing these deposits? Suppose deposit interest rates rise to 5 percent. What then will be the marginal cost of these deposits? What position and types of futures contract could be used to deal with this cost increase?At a rate of 4 percent the interest cost is:$300 million x 0.04 x 180360= $6,000,000At a rate of 5 percent the interest cost would be:$300 million x 0.05 x 180360= $7,500,000A short hedge could be used based upon Eurodollar time deposits.8-5. In response to the above scenario, management sells 300, 90-day Eurodollar time deposits futures contracts trading at an IMM Index of 98. Interest rates rise as anticipated and your bank offsets its position by buying 300 contracts at an IMM index of 96.98. What type of hedge is this? What before-tax profit or loss is realized from the futures position?Bank sells Eurodollar futures at (1,000,000*[1-((2/100)*90/360)] $995,000 (per contract)Bank buys Eurodollar futures at (1,000,000*[(1-(3.02/100)*90/360]$992,450 (per contract)Expected Before-tax Profit $ 2,550 (per contract)And Total Profit would be 300*$2550 = $765,000In this case the bank has employed a short hedge which partially offsets the higher borrowing costs outlined above.8-6. It is March and Cavalier Financial Services Corporation is concerned about what an increase in interest rates will do to the value of its bond portfolio. The portfolio currently has a market value of $101.1 million and Cavalier’s management intends to liquidate $1.1 million in bonds in June to fund additional corporate loans. If interest rates increase to 6 percent, the bond will sell for $1 million with a loss of $100,000. Cavalier’s management sells 10 June Treasury bond contracts at 109-05 in March. Interest rates do increase, and in June Cavalier’s ma nagement offsets its position by buying 10 June Treasury bond contracts at 100-03.a.What is the dollar gain/loss to Cavalier from the combined cash and futures market operations described above?Loss on cash transaction: $100,000Gain on futures transaction: 109,156.25 – 100,093.75 = 9062.5 (per contract)Loss: 9062.50(10) – 100,000 = -$9,375b. What is the basis at the initiation of the hedge?110,000 – 109,156.25 = 843.75c. What is the basis at the termination of the hedge?100,000 – 100,093.75 = -93.75d. Illustrate how the dollar return is related to the change in the basis from initiation fromtermination?Dollar return = -93.75 – 843.75 = -937.50 per contract or –937.50(10) = -$93758-7. By what amount will the market value of a Treasury bond futures contract change if interest rates rise from 5 to 6 percent? The underlying Treasury bond has a duration of 10.48 years and the Treasury bond futures contract is currently quoted at 113-06 (Remember that Treasury bonds are quoted in 32nds)Change in value = -10.48 x $113,187.50 x .01/(1+.05) = -$11,297.198-8. Trojan National Bank reports that its assets have a duration of 8 years and its liabilities average 3 years in duration. To hedge this duration gap, management plans to employ Treasury bond futures, which are currently quoted at 112-17 and have a duration of 10.36 years. Trojan’s latest financial report shows total assets of $120 million and liabilities of $97 million. Approximately how many futures contracts will the bank need to cover its overall exposure?Number of Futures Contracts Needed = 25.531,112*36.10000,000,120*]3*120978[= 5748-9 You hedged your bank’s exposure to declining interest rates by buying one March call on Treasury bond futures at the premium quoted on December 13th , 2005 (see exhibit 8-4).a. How much did you pay for the call in dollars if you chose the strike price of 110?(Remember that option premiums are quoted in 64ths.)Price per call = 2.625 x 100,000 = $262,500b. Using the following information for trades on December 21, 2005, if yousold the call on 12/21/05 due to a change in circumstances would you havereaped a profit or loss? Determine the amount of the profit/loss.Sell call at: 3.125 x 100,000 = 312,500Gain = 312,500 – 262,500 = $50008-10 Refer to the information given for problem 9. You hedged your bank’s exposure to increasing interest rates by buying one March put on Treasury bond futures at the premium quoted on December 13th, 2005 (see exhibit 8-4).a. How much did you pay for the put in dollars if you chose the strike price of 110?(Remember that premiums are quoted in 64ths.)Price per put = .765625 x 100,000 = $76,562.25b. Using the above information for trades on December 21, 2005, if you soldthe put on 12/21/05 due to a change in circumstances would you have reapeda profit or loss? Determine the amount of the profit/loss.Sell put at: .421875 x 100,000 = $42,187.50Loss = $42,187.50 – 76,562.25 = -$34,374.758-11. You hedged your thrift institution’s exposure to dec lining interest rates by buying one March call on Eurodollar deposits futures at the premium quoted on December 13th, 2005 (see exhibit 8-4).a. How much did you pay for the call in dollars if you chose the strike price of 9525?(remember that premiums are quoted in IMM index terms)Value of the call: 6.25 x $25 = $156.25b. If March arrives and Eurodollar Deposit Futures have a settlement index at expirationof 96.00, what is your profit or loss? (Remember to include the premium paid for thecall option).Payout from settlement: (9600-9525) 75 basis points x $25 = $1,875Net gain: $1,875 –$156.25 = $1,718.758-12. You hedged your bank’s exposure to increasing interest rates by buying one March put on Eurodollar deposit futures at the premium quoted on December 13th, 2005 (see exhibit 8-4).a. How much did you pay for the put in dollars if you chose the strike price of 9,550?(remember that premiums are quoted in IMM index terms)Value of the put: 29.25 x $25 = $731.25b. If March arrives and Eurodollar Deposit Futures have a settlement index at expirationof 96.00, what is your profit or loss? (Remember to include the premium paid for theput option).Payout from settlement: $0 (option is out of the money)Net loss: $0 - $731.25 = -$731.258-13. A bank is considering the use of options to deal with a serious funding cost problem. Deposit interest rates have been rising for six months, currently averaging 5 percent, and are expected to climb as high as 6.75% over the next 90 days. The bank plans to issue $60 million in new money market deposits in about 90 days. It can buy put or call options on 90 day Eurodollar time deposit futures contracts for a quoted premium of .31 or $775 for each million-dollar contract. The strike price is quoted as 9,500. We expect the futures to trade at an index of 93.50 within 90 days. What kind of option should the bank buy? What before tax profit could the bank earn for each option under the terms described?You are trying to protect the bank against rising interest rates, thus you want to buy a put option.Profit on put: payout from settlement = (9500-9350) 150 basis points x $25 = $3,750 Net profit: $3,750 - $775 = $2,975If the bank bought the call option, the value at settlement would be $0 and the bank would loose the call premium of $775.8-14. Hokie Savings Bank wants to purchase a portfolio of home mortgage loans with an expected average return of 8.5 percent. The bank’s management is concerned that interest rates will drop and the cost of the portfolio will increase from the current price of $50 million. In six months when the funds become available to purchase the loan portfolio, market interest rates are expected to be in the 7.5 percent range. Treasury bond options are available today at a quoted price of $79,000 (per $100,000 contract), upon payment of a $700 premium, and are forecast to rise to a market value of $87,000 per contract. What before-tax profits could the bank earn per contract on this transaction? How many options should Hokie buy?Profit per contract: $87,000 - $79,000 -$700 = $7,300Hokie should buy enough options to offset the increase in the price of the loan portfolio. Thus, figure out the price increase and divide that number by 7,300 to get the number of options needed.8-15. A savings and loan’s credit rating has just slipped, and half of its assets are long term mortgages. It offers to swap interest payments with a money-center bank in a $100 million deal. The bank can borrow short term at LIBOR (8.05 percent) and long term at 8.95 percent. The S&L must pay LIBOR plus 1.5 percent on short term debt and 10.75 percent on long term debt. Show how these parties could put together a swap deal that benefits both of them about equally.This SW AP agreement would have the form:Fixed Rate the Floating Rate PotentialBorrower Pays the Borrower Interest-Rateif They Issue Pays on Short- SavingsLong-Term Bonds Term Loans of Each BorrowerS&L 10.75% LIBOR + 1.50% 1.20%Money- 8.95% LIBOR (8.05%) 0.90%Center BankDifference 1.80% 1.50% 0.30%in Rates Due toDifferences inCredit RatingsIf the money-center bank borrows long-term at 8.95 percent and the S&L at LIBOR + 1.50 percent (which is currently 8.05 + 1.50 or 9.55 percent) and they exchange interest payments, both would save if the S&L agreed to pay a portion of the bank’s basic borrowing rate. For example, the S&L could pay 160 basis points to the bank which would more than cover the difference. After the exchange in payments an d basis points the S&L would pay 8.95% +1.6% or 10.55% which is lower than the S&L’s long term rate and the bank would pay 9.55%-1.6% or 7.95% which is less than the bank’s short term rate and each party would get the type of payment they want.8-16. A bank plans to borrow $55 million in the money market at a current interest rate of 4.5 percent. However, the borrowing rate will float with market conditions. To protect itself the bank has purchased an interest-rate cap of 5 percent to cover this borrowing. If money market interest rates on these funds suddenly climb to 5.5 percent as the borrowing begins, how much in total interest will the bank owe and how much of an interest rebate will it receive assuming the borrowing is only for one month?Total Amount Interest Number of Months Interest Owed = Borrowed * Rate Charged * 12= $55 million x 0..055 x1 12= $0.527 million or $252,083.33.How much of an interest rebate will the bank receive for its one-month borrowing?[]12MonthsofNumberxBorrowedAmt.xRateCap-RateInterestMarketRebateInterest == (.055 - .05) x $55 million x1 12= $22,916.67.8-17. Suppose that Jasper Savings Association has recently granted a loan of $2.4 million to Fairhills Farms at prime plus .5 percent for six months. In return for granting Fairhills an interest cap of 8% on its loan, this thrift has received from this customer a floor rate on the loan of 6 percent. Suppose that, as the loan is about to start the prime rate declines to 5.25 percent and remains there for the duration of the loan. How much (in dollars) will Fairhill Farms have to pay in total interest on this six month loan? How much in interest rebates will Fairhills have to pay due to the fall in the prime rate?Total = Amount * Interest * Number of Months Interest Owed Borrowed Rate Charged 12= $2.4 million x (.0525 + .0050) x6 12= $0.069 million or $69,000.Fairhills will have to pay an interest rebate to Exeter National Bank of:[]12MonthsofNumberxBorrowedAmt.xRateInterestCurrent-RebateFloorRebateInterest == (.060 - .0575) x $2.4 million x6 12= $0.003 million or $3,000.。
《CFA金融衍生品》PPT课件
A derivative is a security that derives its value from the value or return of another asset or security.
A physical exchange exists for many options contracts and futures contracts. Exchange-traded derivatives are standardized and backed by a clearinghouse.
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Study Session 17: Derivative Market and Instruments
LOS 67.a: Define a derivative and differentiate between exchange-traded and over-the-counter derivatives. 衍生品定义、交易所交易和场外交易（OTC）、违约风险
执行
(e.g., if the price is above X or the
rare is below Y).
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Study Session 17: Derivative Market and Instruments
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Unit10 Futures and SwapBackgroundFutures Market期货市场与金融期货的产生1848年美国芝加哥期货交易所(CBOT)正式成立的成立标志着期货交易正式开始。
由于期货交易所最初和最主要的功能是提供一个现货价格风险转移的场所，因此，从期货交易的合约中即可看到各个时代经济结构的演变。
在期货市场150余年的历史上，最重要的一个里程碑即是1972年5月16日，芝加哥商业交易所(CME)的国际货币市场(IMM)推出外汇期货合约(Foreign Gurrency Futures)，标志着金融期货这一新的期货类别的诞生，从而掀起一个期货市场发展的黄金时代。
1982年2月，美国堪萨斯期货交易所(KCBT)推出价值线综合指数期货交易。
短短十年间，利率期货(Interest Rate Futures)和股票指数期货(Stock Index Futures)相继问世，标志着金融期货三大类别的结构已经形成。
期货市场也由于金融期货的加盟而出现结构性变化。
1995年，金融期货的成交量已占期货市场总成交量的80％左右，稳居期货市场的主流地位。
此外，金融期货的诞生，给了美国以外的国家和地区发展期货市场的时机。
How does Futures Market Work?下面我们通过一篇文章看一下，期货市场是如何运做的How-Futures Markets Work ( I )Futures markets arose in the mid-1800s in Chicago.The economic functions of futures markets are to provide a competitive market price discovery mechanism, a hedging mechanism for price risk, and a means to improve market efficiency. The price of futures contract for a commodity or financial instrument represents the expectations of a large number of buyers and sellers concerning the current and prospective effect of all market influence. As events shape the current situation, the expected change are reflected in the form of changing prices for futures contracts. In short, futures markets provide a current consensus of knowledgeable opinions about the future price of commodities or financial instruments, Future markets improve market efficiency by providing a central marketplace where price offers, are known and compared. This free flow of information defuses attempted monopoly position. Futures markets enhance competition by allowing the free flow of information relative to prices, volume, and market expectations. Thus, futures markets help eliminate market imperfections and contribute to more efficient economic activity.How-Futures Markets Work ( I )期货市场业务如何运作Futures markets arose in the mid-1800s in Chicago. 期货市场源于19世纪中叶的芝加哥。
The economic functions of futures markets are to provide a competitive market price discovery mechanism, a hedging mechanism for price risk, and a means to improve market efficiency.This sentence tell us the function of the future markets: 这句话告诉我们期货市场的功能functions of futures markets are to provide a competitive market price discovery mechanism, 提供价格发现的竞争市场机制, (这句话中，我们主要把握一点one of the functions of future market is price discovery. 价格发现) ，a hedging mechanism for price risk 价格风险的规避机制a means to improve market efficiency改进市场效率的手段。
译文：期货市场具有以下经济功能：提供价格发现的竞争市场机制、价格风险的规避机制和改进市场效率的手段。
The price of futures contract for a commodity or financial instrument represents the expectations of a large number of buyers and sellers concerning the current and prospective effect of all market influence.The sentence tells us that: The price of futures contract for a commodity or financial instrument 商品或者金融工具期货合约的价格represents the expectations of a large number of buyers and sellers 代表着许多买者和卖者的预期concerning the current and prospective effect of all market influence. 有关目前和未来所有影响市场的因素的预期。
商品或者金融工具期货合约的价格代表着许多买者和卖者对于目前和未来所有影响市场的因素的预期。
As events shape the current situation, the expected change are reflected in the form of changing prices for futures contracts. 人们对于未来预期的变动。
are reflected in the form of 由。
形式而反映出来的changing prices for futures contracts.不断变化的期货价格正如许多事件的综合作用导致了目前的市场状况，不断变化的期货价格反映了人们对于未来预期的变动。
In short, futures markets provide a current consensus of knowledgeable opinions about the future price of commodities or financial instruments, 简而言之，期货市场提供了对商品或金融工具未来价格综合各方信息后所作出的市场判断。
Consensus:Future markets improve market efficiency by providing a central marketplace where price offers, are known and compared. 期货市场提高了市场效率，它提供了一个中心市场，这个市场可以公开竟价和比较价格。
译文：期货市场提供了一个可以公开竞价和比较的中心市场，因而有利于提高市场效率。
This free flow of information defuses attempted monopoly position. 信息的自由流动冲破市场垄断，Defuse: 冲破Defuse: to improve a difficult or dangerous situations, for example by making people less angry or by dealing with the causes of a problem 缓和，改善defuse a situation/crisis/row etc缓和现场的情况/危机/争吵His quiet voice helped to defuse the situation. 他温和的声音有助于缓和现场的情况。
defuse tension ：改善冲突The agreement was regarded as a means of defusing ethnic tensions. 协议被认为是改善种族冲突的手段Futures markets enhance competition by allowing the free flow of information relative to prices, volume, and market expectations. 期货市场促进了市场竞争的发展，由于允许价格、交易数量和市场预期信息自由流动Thus, futures markets help eliminate market imperfections and contribute to more efficient economic activity.，从而期货市场有助于消除市场的不完善，促使经济活动更加有效地进行。
Futures contracts, simply stated, are a promise between two parties to exchange a commodity at a specified time and place in the future for a stated price. As a commitment between a buyer and seller, a futures contract specifies precisely the commodity being traded and the terms of delivery. The clearinghouse of the commodity exchange, made up of exchange members, guarantees contract performance by both parties. Individual traders cease to deal with each other and instead become obligated to the clearinghouse, which be comes the guarantor of performance of all futures contracts traded on a particular exchange. At the close of every trading day, the clearinghouse matches buy and sell contracts for the day and informs every exchange member of their net settlement status.Futures contracts, simply stated, are a promise between two parties to exchange a commodity at a specified time and place in the future for a stated price. 简单地讲，期货合约是交易双方就在未来确定的时间和地点，按照确定的价格交换某种商品的一份承诺。