用于汇率风险管理的衍生产品：货币期货与期货市场.pptVIP

Chapter 2 Derivative Securities for Currency Risk Management—— Currency Futures and Futures Markets Chapter Overview 1 Financial Futures Exchanges 2 The Operation of Futures Markets 3 Futures Contracts 4 Forward versus Futures Market Hedges 5 Futures Hedges Using Cross Exchange Rates 6 Hedging with Currency Futures Chapter Objectives This chapter compares currency futures contracts to currency forward contracts and shows how they are priced by the marketplace. Emphasis is placed on how currency futures contracts are similar to, and yet different from, forward contracts.. The last several sections discuss implementation issues: Delta hedges for maturity mismatches Cross hedges for currency mismatches Delta-cross hedges for currency and maturity mismatches Forward Market 1. Forward Contracts A forward contract is an agreement between a corporation and a commercial bank to exchange a specified amount of a currency at a specified exchange rate (called the forward rate) and on a specified future date. When MNCs anticipate a future need for or future receipt of a foreign currency, they can set up forward contracts to lock in the rate at which they can purchase or sell a particular foreign currency. A forward hedge of the dollar Underlying position of a French exporter (long $s) Sell $s forward at Ft€/$ (short $s and long €s) Net position Forward Market 2. Non-Deliverable Forward Contracts a. New type A non-deliverable forward contract (NDF) does not result in an actual exchange of currencies. Instead, one party makes a net payment to the other based on a market exchange rate on the day of settlement. b. Frequently used for currency in emerging markets c. No delivery required d. One party to the agreement makes a payment to the other party based on the exchange rate at the future date. NDF Market An NDF can effectively hedge future foreign currency payments or recei