投资组合 future.pptVIP

Part1 Introduction Forward Contract and Financial Futures  Forward Contract An agreement to buy or sell a specified amount of a specified commodity at a specified price on a future day. What cash flows take place? When? Credit Risk? Private, custom-tailored agreement Futures contract Standardized contract = Futures contract Allows daily trading = liquidity Requires margin Marked to market daily Exchange acts as intermediary Credit risk? Valuing a Forward Contract No storage costs: gold Price set so that initial value of contract is zero. How is this possible? Gold, one year hence, current price = $400, interest rate = 10% Suppose: forward (futures) price = $450 Valuing a Forward Contract Now: Borrow funds +400 Buy gold -400 Sell gold futures contract 0 Net cash flow 0 One year later: Deliver gold at contract price +450 Pay off loan -440 Net cash flow +10 Risk? Suppose: Forward (futures) price =$420 Strategy: Sell the Basis Now: Short gold in cash market +400 Invest funds in 10% loan -400 Buy gold futures contract 0 Net cash flow 0 One year later: Buy gold at contracted price - 420 Deliver on short position Receive payment on loan + 440 Net cash flow + 20 Risk? Equilibrium (No Arbitrage) Price? 440 Cost of carry formula F = S (1+r) = 400(1.10) = 440 Stock Index Futures Suppose stocks pay 3% dividend, current level = 500 interest rate = 10% If forward price at $550: Now: Borrow funds +500 Buy stocks -500 Sell index futures contract 0 Net cash flo