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国际财务管理(英文课件)Chap09 Futures and Options on Foreign Exchange
Second Edition
EUN / RESNICK
Chapter Outline
Futures Contracts: Preliminaries Currency Futures Markets Basic Currency Futures Relationships Eurodollar Interest Rate Futures Contracts Options Contracts: Preliminaries Currency Options Markets Currency Futures Options
Basic Currency Futures Relationships
Open Interest refers to the number of contracts outstanding for a particular delivery month.
Open interest is a good proxy for demand for a contract.
The underlying asset is a hypothetical $1,000,000 90-day Eurodollar deposit—the contract is cash settled.
Traded on the CME and the Singapore International Monetary Exchange.
A futures contract is different from a forward contract:
Futures are standardized contracts trading on organized exchanges with daily resettlement through a clearinghouse.
国际财务管理(英文课件)Chap09 Futures and Options on Foreign Exchange-精品文档51页
Your original agreement was to sell ¥12,500,000 and receive $83,333.33
But now ¥12,500,000 is worth $83,892.62
$8,3 89.622 ?2,5000 ,$010 ?49
You have lost $559.28 overnight.
The contract trades in the March, June, September and December cycle.
Reading Eurodollar Futures Quotes
EURODOLLAR (CME)—$1 million; pts of 100%
Open High Low Settle Chg
Second Edition
EUN / RESNICK
Chapter Outline
Futures Contracts: Preliminaries Currency Futures Markets Basic Currency Futures Relationships Eurodollar Interest Rate Futures Contracts Options Contracts: Preliminaries Currency Options Markets Currency Futures Options
Futures Contracts: Preliminaries
A futures contract is like a forward contract:
It specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today.
But now ¥12,500,000 is worth $83,892.62
$8,3 89.622 ?2,5000 ,$010 ?49
You have lost $559.28 overnight.
The contract trades in the March, June, September and December cycle.
Reading Eurodollar Futures Quotes
EURODOLLAR (CME)—$1 million; pts of 100%
Open High Low Settle Chg
Second Edition
EUN / RESNICK
Chapter Outline
Futures Contracts: Preliminaries Currency Futures Markets Basic Currency Futures Relationships Eurodollar Interest Rate Futures Contracts Options Contracts: Preliminaries Currency Options Markets Currency Futures Options
Futures Contracts: Preliminaries
A futures contract is like a forward contract:
It specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today.
国际财务管理Chap.ppt
Financial Innovations, such as
Currency futures and options Multi-currency bonds Cross-border stock listings International mutual funds
1-6
The Example of Nestlé’s Market Imperfection
Nestléused to issue two different classes of common stock bearer shares and registered shares.
Foreigners were only allowed to buy bearer shares. Swiss citizens could buy registered shares. The bearer stock was more expensive.
McGraw-Hill/Irwin
INTERNATIONAL FINANCIAL
MANAGEMENT
Fifth Edition EUN / RESNICK
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
Globalization and the Multinational Firm
1-14
Other Goals
These types of issues can be much more serious in many other parts of the world, especially emerging and transitional economies, such as Indonesia, Korea, and Russia, where legal protection of shareholders is weak or virtually non-existing.
Currency futures and options Multi-currency bonds Cross-border stock listings International mutual funds
1-6
The Example of Nestlé’s Market Imperfection
Nestléused to issue two different classes of common stock bearer shares and registered shares.
Foreigners were only allowed to buy bearer shares. Swiss citizens could buy registered shares. The bearer stock was more expensive.
McGraw-Hill/Irwin
INTERNATIONAL FINANCIAL
MANAGEMENT
Fifth Edition EUN / RESNICK
Copyright © 2009 by The McGraw-Hill Companies, Inc. All rights reserved.
Globalization and the Multinational Firm
1-14
Other Goals
These types of issues can be much more serious in many other parts of the world, especially emerging and transitional economies, such as Indonesia, Korea, and Russia, where legal protection of shareholders is weak or virtually non-existing.
国际财务管理(超全的PPT)
22347
22347 593.56 100 407.15 86.41
203208 8246.75 4839.5 3371.99
149.43 117.19 29.91 113.25 83.79 28.13
2001 5097.6 2661.5 225.4
26140
26140 496.72
468.78 27.94
中国企业的对外投资
• 2002年下半年，突然刮起的国企对外投资飓风， 已然对2003年中国资本走向世界预演着前奏—
• 2002年10月，上海汽车工业（集团）总公司斥 资6000万美元，购入大宇汽车（通用汽车持股 10％）的股份。紧接着，中国网通与亚洲全球 电信达成收购协议，成为首家并购海外公司的 中国电信服务营运商。
• 2002年，中国公司海外投资达24亿美元，而 2002年之前，累计对外投资只有70多亿美元， 很显然，中国资本走出去的步伐在加快。
中国企业的对外投资
• 2003年1-7月，经我部批准或备案设立的 境外非金融类中资企业263家，中方协议 投资额7.5亿美元。分别比上年同期增长 55%、28%.其中，境外加工贸易企业33 家，中方协议投资额1.03亿美元。
国际财务管理
主讲：李义超
学习目的
• 认识国际财务管理 • 了解国际理财环境 • 学会防范汇率风险 • 熟悉国际筹资渠道 • 掌握国际现金管理 • 学会跨国资本预算 • 分析跨国投资风险 • 规划全球财务战略
参考数目
• 王建英.国际财务管理.人民大学出版社 • 夏乐书.国际财务管理. 东北财大出版社 • 毛付根.跨国公司财务管理.东北财大出版社 • 李相国，王化成.国际财务管理.人民大学出版社 • 杰费·马杜拉. 国际财务管理. 东北财大出版社 • 陆廷纲. 国际财务管理. 华东化工学院出版社 • Shapiro.跨国公司财务管理基础. 清华出版社 • 李洪辉. 跨国公司财务管理. 经济科学出版社 • 白雪，阎宏伟. 跨国公司财务管理. 冶金出版社 • 卢汉林. 国际投融资. 武汉大学出版社
22347 593.56 100 407.15 86.41
203208 8246.75 4839.5 3371.99
149.43 117.19 29.91 113.25 83.79 28.13
2001 5097.6 2661.5 225.4
26140
26140 496.72
468.78 27.94
中国企业的对外投资
• 2002年下半年，突然刮起的国企对外投资飓风， 已然对2003年中国资本走向世界预演着前奏—
• 2002年10月，上海汽车工业（集团）总公司斥 资6000万美元，购入大宇汽车（通用汽车持股 10％）的股份。紧接着，中国网通与亚洲全球 电信达成收购协议，成为首家并购海外公司的 中国电信服务营运商。
• 2002年，中国公司海外投资达24亿美元，而 2002年之前，累计对外投资只有70多亿美元， 很显然，中国资本走出去的步伐在加快。
中国企业的对外投资
• 2003年1-7月，经我部批准或备案设立的 境外非金融类中资企业263家，中方协议 投资额7.5亿美元。分别比上年同期增长 55%、28%.其中，境外加工贸易企业33 家，中方协议投资额1.03亿美元。
国际财务管理
主讲：李义超
学习目的
• 认识国际财务管理 • 了解国际理财环境 • 学会防范汇率风险 • 熟悉国际筹资渠道 • 掌握国际现金管理 • 学会跨国资本预算 • 分析跨国投资风险 • 规划全球财务战略
参考数目
• 王建英.国际财务管理.人民大学出版社 • 夏乐书.国际财务管理. 东北财大出版社 • 毛付根.跨国公司财务管理.东北财大出版社 • 李相国，王化成.国际财务管理.人民大学出版社 • 杰费·马杜拉. 国际财务管理. 东北财大出版社 • 陆廷纲. 国际财务管理. 华东化工学院出版社 • Shapiro.跨国公司财务管理基础. 清华出版社 • 李洪辉. 跨国公司财务管理. 经济科学出版社 • 白雪，阎宏伟. 跨国公司财务管理. 冶金出版社 • 卢汉林. 国际投融资. 武汉大学出版社
国际财务管理英文课件 (9)
Some Foreign Firms Listed on the NYSE
Australia BHP Billiton, Coles Meyer, Telstra, Westpac Banking
Brazil
Banco Itan, Embraer, Petrobras, Telebras, Unibanco, VALE
• Internationalizing the firm’s cost of capital is one such policy.
cost of capital (%)
Ilocal Iglobal
K local K global
IRR Investment ($)
17-4
Cost of Capital in Segmented vs. Integrated Markets
Restrictions • The Financial Structure of Subsidiaries
17-2
Cost of Capital
• The cost of capital is the minimum rate of return an investment project must generate in order to pay its financing costs.
the cost of capital.
17-6
Does the Cost of Capital Differ Among Countries?
• There do appear to be differences in the cost of capital in different countries.
and its products in foreign marketplaces.
国际财务管理培训教材(英文版)PPT课件( 28页)
Price Behavior
• In a perfect world, the stock price will fall by the amount of the dividend on the ex-dividend date.
-t … -2 -1 0来自+1 +2 …
$P
$P - div
The price drops by the amount of
Irrelevance of Dividend Policy 18.4 Repurchase of Stock 18.5 Personal Taxes and Dividends 18.6 Real-World Factors Favoring a High Dividend
Policy 18.7 The Clientele Effect: A Resolution of Real-World
Ex-
dividend dividend
Date
Date
Record Date
Payment Date
Declaration Date: The Board of Directors declares a payment of dividends. Cum-Dividend Date: Buyer of stock still receives the dividend.
– No cash leaves the firm. – The firm increases the number of shares outstanding.
• Some companies declare a dividend in kind.
– Wrigley’s Gum sends a box of chewing gum. – Dundee Crematoria offers shareholders discounted
国际财务管理英文课件 (3)
In general, open interest typically decreases with term to maturity of most futures contracts.
7-12
Options Contracts: Preliminaries
• An option gives the holder the right, but not the obligation, to buy or sell a given quantity of an
• After the daily resettlement, each party has a new contract at the new price with one-dayshorter maturity.
7-6
Performance Bond Money
• Each day’s losses are subtracted from the investor’s account.
• Each day’s gains are added to the account. • In this example, at initiation the long posts an
initial performance bond of $6,500. • The maintenance level is $4,000.
$1.30 $1.27
–$1,250 –$3,750
$6,500 $2,750 + $3,750 = $6,500
On day three suppose our investor keeps his long position open by posting an additional $3,750.
《国际财务管理》PPT课件
▪ 收购现有企业：
▪ 主要通过资本市场运作获得东道国公司的控制权 ▪ 进入国外市场 ▪ 对国外企业有完全控制权
▪ 建立境外公司：
▪ 投资大，周期长。
六、单个企业国际化经营的进程
▪ 1、出口产品 ▪ 2、建立海外分支机构 ▪ 3、实现跨国经营
§2 国际财务管理是什么？
▪ 一、定义 ▪ 二、目标 ▪ 三、主要内容 ▪ 四、组织模式
二、国际机遇与风险
▪ 1、国际机遇：
▪ 广阔的市场空间； ▪ 全球范围的融资平台； ▪ 全球范围的投资空间； ▪ 全球范围的风险分散。
▪ 2、国际风险：
▪ 汇率风险； ▪ 经济风险； ▪ 政治风险。
三、中国企业国际化的现状及问题
▪ 1、进程：
▪ 起始于改革开放，90年代中期得到企业界和学界的 重视与讨论，2000年中央明确提出“走出去”战略。
▪ 2、现状：
▪ 企业国际化步伐明显加快，各项业务总量持续增长 （2005年底，我国累计对外直接投资额超过500亿美 元，境外中资企业超过1万家）
▪ “亚洲为主，发展非洲，拓展欧美、拉美和南太” 的多元化市场格局初步形成（2004年亚洲占75%）
▪ 企业跨国经营的优势行业仍然集中在劳动密集型产业（资源 开发、加工制造业和服务贸易）
一、定义
▪ 国际财务管理是指对国际企业的涉外经济活 动进行的财务管理。
▪ 财务管理主要涉及的是如何作出各种最佳的公司财 务决定，比如通过适宜的投资、资产结构、股息政 策以及人力资源管理，从而达到既定的公司目标 （股东财富最大化）。
▪ 国际企业需要同时进行国内财务管理和国际财务管 理。
国际财务管理与国内财务管理之间的区别
第一章 国际财务管理概览
▪ §1 国际企业 ▪ §2 国际财务管理是什么？ ▪ §对国际企业的涉外经 济活动进行的财务管理。
CashManagement国际财务管理,英文版.ppt
$10
$40
$25 $25
$10
$10
$60
$10
McGraw-Hill/Irwin
18-15
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rights
Multilateral Netting
Bilateral Netting would reduce the number of foreign exchange transactions by half:
$10
$40
$10 $35 $25
$10
$10
$60
$10
McGraw-Hill/Irwin
18-14
Copyright © 2001 by The McGraw-Hill Companies, Inc. All rightsMu源自tilateral Netting
Bilateral Netting would reduce the number of foreign exchange transactions by half:
Second Edition
EUN / RESNICK
Chapter Outline
The Management of Multinational Cash Balances Cash Management Systems in Practice Transfer Pricing & Related Issues Blocked Funds
Or should the firm let each affiliate handle it locally?
Where are borrowing costs lowest and investment returns highest?
国际财务管理英文课件 (9)
International Corporate Finance 10th Edition
by Jeff Madura
1
© 2010 South-Western/Cengage Learning. All Rights Reserved. May not be copied, scanned, or duplicated, in whole or in part, except for use as permitted in a license distributed with a certain product or service or otherwise on a password-protected website for classroom use.
Hedging Exposure to Payables
1. Forward or futures hedge allows the MNC to lock in the exchange rate at which it can purchase a specific currency. 2. Money market hedge involves taking a money market position to cover a future payables position. 3. Call option hedge on payables provides the right to buy a specified amount of a particular currency at a specified strike price.
10
© 2010 South-Western/Cengage Learning. All Rights Reserved. May not be copied, scanned, or duplicated, in whole or in part, except for use as permitted in a license distributed with a certain product or service or otherwise on a password-protected website for classroom use.
by Jeff Madura
1
© 2010 South-Western/Cengage Learning. All Rights Reserved. May not be copied, scanned, or duplicated, in whole or in part, except for use as permitted in a license distributed with a certain product or service or otherwise on a password-protected website for classroom use.
Hedging Exposure to Payables
1. Forward or futures hedge allows the MNC to lock in the exchange rate at which it can purchase a specific currency. 2. Money market hedge involves taking a money market position to cover a future payables position. 3. Call option hedge on payables provides the right to buy a specified amount of a particular currency at a specified strike price.
10
© 2010 South-Western/Cengage Learning. All Rights Reserved. May not be copied, scanned, or duplicated, in whole or in part, except for use as permitted in a license distributed with a certain product or service or otherwise on a password-protected website for classroom use.
国际财务管理知识分析英文版34页PPT
Alternatively, this trader could exchange $1,000 for £800 at the prevailing spot rate, (note that £800 = $1,000÷$1.25/£) invest £800 at i£= 11.56% for one year to achieve £892.48. Translate £892.48 back into dollars at F360($/£) = $1.20/£, the £892.48 will be exactly $1,071.
S($/£) = $1.25/£
F360($/£) = i$ = i£ =
$1.20/£ 7.10% 11.56%
10
IRP and Covered Interest Arbitrage
A trader with $1,000 to invest could invest in the U.S., in one year his investment will be worth $1,071 = $1,000(1+ i$) = $1,000(1.071)
hedge your exchange rate risk by selling the future value of the Japanese investment forward. The future value = $100,000(F/S)(1 + i¥)
Since both of these investments have the same risk, they must have the same future value—otherwise an arbitrage would exist.
S($/£) = $1.25/£
F360($/£) = i$ = i£ =
$1.20/£ 7.10% 11.56%
10
IRP and Covered Interest Arbitrage
A trader with $1,000 to invest could invest in the U.S., in one year his investment will be worth $1,071 = $1,000(1+ i$) = $1,000(1.071)
hedge your exchange rate risk by selling the future value of the Japanese investment forward. The future value = $100,000(F/S)(1 + i¥)
Since both of these investments have the same risk, they must have the same future value—otherwise an arbitrage would exist.
InternationalFinancialManagement9国际财务管理课件
• to explain common complications in optimizing cash flows; and
• to explain the potential benefits and risks of foreign investments.
3
Cash Flow Analysis: Subsidiary Perspective
Repayment on Loans
Short-term Securities
Long-term Projects
Sources of Debt
Subsidiary “2”
Fees and Part of
Earnings
Funds Received from New Stock Issues
Stockholders
• The management of working capital has a direct influence on the amount and timing of cash flow :
– inventory management – accounts receivable management – cash management
7
Cash Flow Analysis: Subsidiary Perspective
Subsidiary Liquidity Management • After accounting for all cash outflows and inflows,
the subsidiary must either invest its excess cash or borrow to cover its cash deficiencies. • If the subsidiary has access to lines of credit and overdraft facilities, it may maintain adequate liquidity without substantial cash balances.
• to explain the potential benefits and risks of foreign investments.
3
Cash Flow Analysis: Subsidiary Perspective
Repayment on Loans
Short-term Securities
Long-term Projects
Sources of Debt
Subsidiary “2”
Fees and Part of
Earnings
Funds Received from New Stock Issues
Stockholders
• The management of working capital has a direct influence on the amount and timing of cash flow :
– inventory management – accounts receivable management – cash management
7
Cash Flow Analysis: Subsidiary Perspective
Subsidiary Liquidity Management • After accounting for all cash outflows and inflows,
the subsidiary must either invest its excess cash or borrow to cover its cash deficiencies. • If the subsidiary has access to lines of credit and overdraft facilities, it may maintain adequate liquidity without substantial cash balances.
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Singapore International Monetary Exchange (SIMEX) offer interchangeable contracts.
There’s other markets, but none are close to CME and SIMEX trading volume.
The Chicago Mercantile Exchange
Expiry cycle: March, June, September, December. Delivery date 3rd Wednesday of delivery month. Last trading day is the second business day
Yield
Open
Settle Change Interest
July 94.69 94.69 94.68 94.68 -.01 5.32 +.01
47,417
Eurodollar futures prices are stated as an index number of three-month LIBOR calculated as F = 100-LIBOR.
The underlying asset is a hypothetical $1,000,000 90-day Eurodollar deposit—the contract is cash settled.
Traded on the CME and the Singapore International Monetary Exchange.
The contract trades in the March, June, September and December cycle.
Reading Eurodollar Futures Quotes
EURODOLLAR (CME)—$1 million; pts of 100%
Open High Low Settle Chg
Your initial margin is 4% of the contract value:
$3,3 3.0 34 .?323,5000$,0 10 ?50
Daily Resettlement: An Example
If tomorrow, the futures rate closes at $1 = ¥149, then your position’s value drops.
Number of open contracts
Eurodollar Interest Rate Futures Contracts
Widely used futures contract for hedging shortterm U.S. dollar interest rate risk.
Some refer to open interest as the depth of the market. The breadth of the market would be how many different contracts (expiry month, currency) are outstanding.
Futures Contracts: Preliminaries
Standardizing Features:
Contract Size Delivery Month Daily resettlement
Initial Margin (about 4% of contract value, cash or T-bills held in a street name at your brokers).
The closing price for the July contract is 94.68 thus the implied yield is 5.32 percent = 100 – 98.68
Your original agreement was to sell ¥12,500,000 and receive $83,333.33
But now ¥12,500,000 is worth $83,892.62
$8,3 89.622 ?2,5000 ,$010 ?49
You have lost $559.28 overnight.
Japan (yen) 1-month forward 3-months forward 6-months forward
U.S. $ equivalent
Wed
Tue
0.007142857 0.007194245
0.006993007 0.007042254
0.006666667 0.006711409
Daily Resettlement: An Example
Suppose you want to speculate on a rise in the $/¥ exchange rate (specifically you think that the dollar will appreciate).
Daily Resettlement: An Example
The $559.28 comes out of your $3,333.33 margin account, leaving $2,774.05
This is short of the $3,355.70 required for a new position.$3,3 5.0 54 .?720,5000$,010
0.00625 0.006289308
Currency per
U.S. $
Wed
Tue
140
139
143
142
150
149
160
159
Currently $1 = ¥140. The 3-month forward price is $1=¥150.
Daily Resettlement: An Example
Chapter Nine
9 Futures and Options
on Foreign Exchange INTERNATIONAL
FINANCIAL
Chapter Objective:
MANAGEMENT
This chapter discusses exchange-traded currency futures contracts, options contracts, and options on currency futures.
Futures Contracts: Preliminaries
A futures contract is like a forward contract:
It specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today.
Chapter Outline (continued)
Basic Option Pricing Relationships at Expiry American Option Pricing Relationships European Option Pricing Relationships Binomial Option Pricing Model European Option Pricing Model Empirical Tests of Currency Option Models
Currently $1 = ¥140 and it appears that the dollar is strengthening.
If you enter into a 3-month futures contract to sell ¥at the rate of $1 = ¥150 you will make money if the yen depreciates. The contract size is ¥12,500,000
Reading a Futures Quote
O pen H i
L o S ettle C h an g e L ifetim e L ifetim e
H ig h
Low
O pen In terest
S e p t .9 2 8 2 .9 3 2 5 .9 2 7 6 .9 3 0 9 + .0 0 2 7 1 .2 0 8 5 .8 6 3 6
Basic Currency Futures Relationships
Open Interest refers to the number of contracts outstanding for a particular delivery month.
Open interest is a good proxy for demand for a contract.
7 4 ,6Βιβλιοθήκη 3 9Highest and lowest
Daily Change prices over the
Closing price
lifetime of the
Lowest price that day
contract.
Highest price that day
Opening price Expiry month
Second Edition
EUN / RESNICK
Chapter Outline
Futures Contracts: Preliminaries Currency Futures Markets Basic Currency Futures Relationships Eurodollar Interest Rate Futures Contracts Options Contracts: Preliminaries Currency Options Markets Currency Futures Options
There’s other markets, but none are close to CME and SIMEX trading volume.
The Chicago Mercantile Exchange
Expiry cycle: March, June, September, December. Delivery date 3rd Wednesday of delivery month. Last trading day is the second business day
Yield
Open
Settle Change Interest
July 94.69 94.69 94.68 94.68 -.01 5.32 +.01
47,417
Eurodollar futures prices are stated as an index number of three-month LIBOR calculated as F = 100-LIBOR.
The underlying asset is a hypothetical $1,000,000 90-day Eurodollar deposit—the contract is cash settled.
Traded on the CME and the Singapore International Monetary Exchange.
The contract trades in the March, June, September and December cycle.
Reading Eurodollar Futures Quotes
EURODOLLAR (CME)—$1 million; pts of 100%
Open High Low Settle Chg
Your initial margin is 4% of the contract value:
$3,3 3.0 34 .?323,5000$,0 10 ?50
Daily Resettlement: An Example
If tomorrow, the futures rate closes at $1 = ¥149, then your position’s value drops.
Number of open contracts
Eurodollar Interest Rate Futures Contracts
Widely used futures contract for hedging shortterm U.S. dollar interest rate risk.
Some refer to open interest as the depth of the market. The breadth of the market would be how many different contracts (expiry month, currency) are outstanding.
Futures Contracts: Preliminaries
Standardizing Features:
Contract Size Delivery Month Daily resettlement
Initial Margin (about 4% of contract value, cash or T-bills held in a street name at your brokers).
The closing price for the July contract is 94.68 thus the implied yield is 5.32 percent = 100 – 98.68
Your original agreement was to sell ¥12,500,000 and receive $83,333.33
But now ¥12,500,000 is worth $83,892.62
$8,3 89.622 ?2,5000 ,$010 ?49
You have lost $559.28 overnight.
Japan (yen) 1-month forward 3-months forward 6-months forward
U.S. $ equivalent
Wed
Tue
0.007142857 0.007194245
0.006993007 0.007042254
0.006666667 0.006711409
Daily Resettlement: An Example
Suppose you want to speculate on a rise in the $/¥ exchange rate (specifically you think that the dollar will appreciate).
Daily Resettlement: An Example
The $559.28 comes out of your $3,333.33 margin account, leaving $2,774.05
This is short of the $3,355.70 required for a new position.$3,3 5.0 54 .?720,5000$,010
0.00625 0.006289308
Currency per
U.S. $
Wed
Tue
140
139
143
142
150
149
160
159
Currently $1 = ¥140. The 3-month forward price is $1=¥150.
Daily Resettlement: An Example
Chapter Nine
9 Futures and Options
on Foreign Exchange INTERNATIONAL
FINANCIAL
Chapter Objective:
MANAGEMENT
This chapter discusses exchange-traded currency futures contracts, options contracts, and options on currency futures.
Futures Contracts: Preliminaries
A futures contract is like a forward contract:
It specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today.
Chapter Outline (continued)
Basic Option Pricing Relationships at Expiry American Option Pricing Relationships European Option Pricing Relationships Binomial Option Pricing Model European Option Pricing Model Empirical Tests of Currency Option Models
Currently $1 = ¥140 and it appears that the dollar is strengthening.
If you enter into a 3-month futures contract to sell ¥at the rate of $1 = ¥150 you will make money if the yen depreciates. The contract size is ¥12,500,000
Reading a Futures Quote
O pen H i
L o S ettle C h an g e L ifetim e L ifetim e
H ig h
Low
O pen In terest
S e p t .9 2 8 2 .9 3 2 5 .9 2 7 6 .9 3 0 9 + .0 0 2 7 1 .2 0 8 5 .8 6 3 6
Basic Currency Futures Relationships
Open Interest refers to the number of contracts outstanding for a particular delivery month.
Open interest is a good proxy for demand for a contract.
7 4 ,6Βιβλιοθήκη 3 9Highest and lowest
Daily Change prices over the
Closing price
lifetime of the
Lowest price that day
contract.
Highest price that day
Opening price Expiry month
Second Edition
EUN / RESNICK
Chapter Outline
Futures Contracts: Preliminaries Currency Futures Markets Basic Currency Futures Relationships Eurodollar Interest Rate Futures Contracts Options Contracts: Preliminaries Currency Options Markets Currency Futures Options