国际财务管理第六版中文版第七章资料.pptVIP

Copyright ? 2007 by The McGraw-Hill Companies, Inc. All rights reserved. 7-* INTERNATIONAL FINANCIAL MANAGEMENT EUN / RESNICK Fourth Edition Chapter Objective: This chapter discusses exchange-traded currency futures contracts, options contracts, and options on currency futures. 7 Chapter Seven 外汇期货与外汇期权 期货合同：预备知识 期货合同（futures contract）类似于远期合约（forward contract）: 特兹公司是一家位于芝加哥的跨国公司，将在90天后需要100万新加坡元来没够从新加坡进口的货物。即期汇率0.5美元，90天的远期汇率是0.5美元；（1）如果90天后的即期汇率是0.6美元（2）90天后的即期汇率是0.47，与其你合同锁定汇率地点机会成本. 期货合约不同于远期合约：: 合约规模 交割月份 逐日结算 芝加哥商品交易所的货币期货合同 币种 每一合同金额 澳元 100 000 英镑 62 500 加元 100 000 欧元 125 000 日元 12 500 000 新西兰元 100 000 瑞士法郎 125 000 逐日结算: An Example 考虑CME EUR期货合约中的多头头寸，合同规模是€125,000，到期日是3个月，期货合约结算价格是 $1.30 初始账户保证金余额为$6,500. 就远期合约而言，若3个月后欧元汇率为$1.24,投资者损失多少？ 如果到期后欧元值 $1.35 ，投资者收益多少 Daily Resettlement: An Example Over the first 3 days, the euro strengthens then depreciates in dollar terms: $1,250 –$1,250 $1.31 $1.30 $1.27 –$3,750 Gain/Loss Settle $7,750 $6,500 $2,750 Account Balance = $6,500 + $1,250 On third day suppose our investor keeps his long position open by posting an additional $3,750. + $3,750 = $6,500 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. $1,250 –$1,250 $1.31 $1.30 $1.27 $1.26 $1.24 –$3,750 –$1,250 –$2,500 Gain/Loss Settle $7,750 $6,500 $2,750 + $3,750 = $6,500 $5,250 $2,750 Account Balance = $6,500 – $1,250 计算投资的损益： 几种方法 – $7,500 = $1,250 – $1,250 – $3,750 – $1,250 – $2,500 – $7,500 = ($1.24/€ – $1.30/€) × €125,000 – $7,500 = $2,750 – ($6,500 + $3,750) 货币期货市场 The Chicago Mercantile Exchange (CME) is by far the largest. Others include: The Philadelphia Board of Trade (PBOT) The MidAmerica commodities Exchange The Tokyo International Financial Futures Exchange The London International Financial Futures Exchange 芝加哥商业交易所 Expiry cycle: March, June, September, December. Delivery date third Wednesday of delivery month. Last trading day is the second busine