投资学第23章期货与互换.ppt
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1、Investments,8th editionBodie,Kane and MarcusSlides by Susan HineSlides by Susan HineMcGraw-Hill/IrwinCopyright 2009 by The McGraw-Hill Companies,Inc.All rights reserved.CHAPTER 23Futures,Swaps,Futures,Swaps,and Risk and Risk ManagementManagement23-2Futures marketsChicago Mercantile(International Mon
2、etary Market)London International Financial Futures ExchangeMidAmerica Commodity ExchangeActive forward marketDifferences between futures and forward marketsForeign Exchange Futures23-3Interest rate parity theoremDeveloped using the US Dollar and British PoundwhereF0 is the forward priceE0 is the cu
3、rrent exchange ratePricing on Foreign Exchange Futures23-4Text Pricing Example rus=4%ruk=5%E0=$2.00 per pound T=1 yrIf the futures price varies from$1.981 per pound arbitrage opportunities will be present23-5Figure 23.1 Spot and Forward Prices in Foreign Exchange 23-6Figure 23.2 Foreign Exchange Fut
4、ures23-7Direct Versus Indirect QuotesDirect exchange rate quote:The exchange rate is expressed as dollars per the foreign currencyIndirect exchange rate quote:The exchange rate is expressed as the foreign currency per the dollar23-8Hedging Foreign Exchange RiskA US firm wants to protect against a de
5、cline in profit that would result from a decline in the poundEstimated profit loss of$200,000 if the pound declines by$.10Short or sell pounds for future delivery to avoid the exposure23-9Hedge Ratio for Foreign Exchange ExampleHedge Ratio in pounds$200,000 per$.10 change in the pound/dollar exchang
6、e rate$.10 profit per pound delivered per$.10 in exchange rate=2,000,000 pounds to be deliveredHedge Ratio in contacts Each contract is for 62,500 pounds or$6,250 per a$.10 change$200,000/$6,250=32 contracts 23-10Figure 23.3 Profits as a Function of the Exchange Rate23-11Available on both domestic a
7、nd international stocksAdvantages over direct stock purchaselower transaction costsbetter for timing or allocation strategiestakes less time to acquire the portfolioStock Index Contracts23-12Table 23.1 Major Stock-Index Futures23-13Table 23.2 Correlations among Major U.S.Stock Market Indexes 23-14Cr
8、eating Synthetic Positions with FuturesSynthetic stock purchasePurchase of the stock index instead of actual shares of stockCreation of a synthetic T-bill plus index futures that duplicates the payoff of the stock index contract23-15Exploiting mispricing between underlying stocks and the futures ind
9、ex contractFutures Price too high-short the future and buy the underlying stocksFutures price too low-long the future and short sell the underlying stocksIndex Arbitrage23-16This is difficult to implement in practiceTransactions costs are often too largeTrades cannot be done simultaneouslyDevelopmen
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