期货与互换的细分析.pptVIP

1-1 第23章  期货与互换的详细分析 Futures and Swaps: A Closer Look 期货与互换Futures and Swaps 外汇期货Foreign Exchange Futures 期货市场 Futures markets 芝加哥商品交易所 ( 国际货币市场 ) Chicago Mercantile (International Monetary Market) 伦敦国际金融期货交易所 London International Financial Futures Exchange 中美洲商品交易所 MidAmerica Commodity Exchange 活跃的远期市场 Active forward market 期货市场和远期市场的差异 Differences between futures and forward markets 外汇期货定价Pricing on Foreign Exchange Futures 定价举例Text Pricing Example 外汇期货Foreign Exchange Futures 汇率风险套期保值Hedging Foreign Exchange Risk 汇率风险套期保值Hedging Foreign Exchange Risk 汇率风险套期保值Hedging Foreign Exchange Risk 股票指数期货Stock Index Contracts 对本国和国际股票都有效 Available on both domestic and international stocks. 与直接购买股票相比的优点 Advantages over direct stock purchase: 更低的交易成本 lower transaction costs 有利市场时机和重组的选择 better for timing or allocation strategies 减少资产组合的时间 takes less time to acquire the portfolio 用股指期货建立综合头寸Using Stock Index Contracts to Create Synthetic Positions 综合股购买Synthetic stock purchase: 购买股指而不是实际的股票 Purchase of the stock index instead of actual shares of stock. 国库券加股指期货综合头寸的建立可得到比仅投资股指期货的双倍收入 Creation of a synthetic T-bill plus index futures that duplicates the payoff of the stock index contract. 使用股指期货建立综合头寸Using Stock Index Contracts to Create Synthetic Positions 使用股指期货建立综合头寸Using Stock Index Contracts to Create Synthetic Positions 使用股指期货建立综合头寸Using Stock Index Contracts to Create Synthetic Positions 例如，假如一机构投资者想在市场上进行为期一个月的 4500 万美元的投资，为了使交易费用最省，他决定购买标准普尔500指数期货合约而不是真正持有股票。如果现在的标准普尔500股指为9