[其它考试]财管.ppt

* Foreign Exchange Futures A US investor borrows USD in order to make an investment in the UK. The technique used: buy GBP spot at USD1.5800=GBP1 and invest in UK government securities yielding, say, 1.0%pa. sell GBP futures at USD1.6180=GBP1 in order to return his wealth to USD and eliminate the risk of currency fluctuations. The investor’s original investment was USD1.58million. * Sell USD1.58million and buy (1/1.58?1.58million) GBP1million Int. at 1.0%pa will be 1million?0.01=GBP10,000 Future value of investment = 1,000,000+10,000 = GBP1.01million Sell GBP1.01 million futures 1.6180?1.01million=1.63418millionUSD This is a 3.4291%pa return on the USD1.58million %return = 100%?(1.63418-1.58)/1.58 = 3.4291% Profitable arbitrage exists if US interest rates are below 3.4291%pa. * No arbitrage exists when: [(1+rUSD)/(1+rGBP)]-1 = (F/S)-1 Assume : [(1+0.034291)/(1+0.01)]-1 = (F/1.58)-1 F = USD1.617999782 per GBP1 * s : USD 1.58 = GBP 1 Spot USD1.58 million Spot GBP 1 million 1.58m ′ (1.034291)=1.63418m 1million ′ (1.01)=1.01m One year USD1.63418 million One year GBP1.01m f : 1.63418/1.01 = USD 1.618=GBP1 * Arbitrage will increase the demand for spot GBP and supply of GBP futures. There is a tendency for the gap between futures and spot GBP to narrow and/or close and profitability reduce. Arbitrage will increases UK interest rates relative to US interest rates. There is a tendency for the gap between UK and US interest rates to become larger and profitability increase. * If US interest rate was, say, 3%p.a. and the GBP interest rate was, say, 0.5%p.a. then: No arbitrage exists when: [(1+0.03)/(1+0.005)]-1 = (F/1.58)-1 F = USD1.6193 per GBP1 If the market is, say, F =USD1.6193 per GBP1, a profitable trading situation arises. You can profit from buying GBP spot and selling GBP forward. Topic1: Foreign Exchange Markets * Foreign Exchange Market Allows money denominated in one curre