避险 - 国立高雄应用科技大学金融系暨金融资讯研究所.ppt

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * 16 17 * * * Forward Rate Agreement A forward rate agreement (FRA) is an agreement that a certain rate will apply to a certain principal during a certain future time period 買賣雙方約定一適用於未來開始的一段期間內之固定利率與名目本金的契約 對客戶而言，從事遠期利率協定，客戶應指明所需的遠期天數期間及名目本金，通常市場報價之方式為1×4 ，其意義乃為一個月後的三個月期利率，或3 × 6（三個月後的三個月利率），2 × 5（二個月後的三個月），6 × 12 （六個月後的六個月）等等。 * Forward Rate Agreementcontinued An FRA is equivalent to an agreement where interest at a predetermined rate, RK is exchanged for interest at the market rate An FRA can be valued by assuming that the forward interest rate is certain to be realized Valuation Formulas (equations 4.9 and 4.10, pages 86-87) * Value of FRA where a fixed rate RK will be received on a principal L between times T1 and T2 is L(RK?RF)(T2?T1)exp(-R2T2) Value of FRA where a fixed rate is paid is L(RF?RK)(T2?T1)exp(-R2T2) RF is the forward rate for the period and R2 is the zero rate for maturity T2 Example 4.3 * Duration of a bond that provides cash flow ci at time ti is where B is its price and y is its yield (continuously compounded) This leads to Table 4.6 Duration (88) * Duration Continued When the yield y is expressed with compounding m times per year The expression is referred to as the “modified duration” * Convexity Figure 4.2 The convexity of a bond is defined as * Theories of the Term Structure92 Expectations Theory: forward rates equal expected future zero rates Market Segmentation: short, medium and long rates determined independently of each other Liquidity Preference Theory: forward rates higher than expected future zero rates 1975年10月芝加哥商品交易所(CBOT)推出第一個利率期貨合約，交易標的為美國全國抵押貸款協會(GNMA)所發行的抵押擔保債券(Mortgage Backed Securities，簡稱MBS) 1977年8月CBOT又推出以美國政府公債為標的的期貨合約 將近30年的發展之後，標的利率涵蓋了各種長短天期指標利率 若以標的利率的天期區分，廣義的利率期貨尚可分為「短天期利率期貨」與「長天期利率期貨」 前者是以美國聯邦資金利率(Fed Fund Rate)、美國國庫券利率與歐洲美元等短天期指標利率為標的利率，可以視為狹義的利率期貨 後者則是以各國長天期政府公債為標的利率，所以市場慣稱為公債期貨。 利率期貨產品簡介 二、契約