衍生品市场基础06章.pptVIP

Ch6 Chapter 6 The Wide World of Futures Contracts Currency Contracts Widely used to hedge against changes in exchange rates WSJ listing Currency Contracts: Pricing Currency prepaid forward Suppose you want to purchase ￥1 one year from today using $s Where x0 is current ($/ ￥) exchange rate, and ry is the yen-denominated interest rate Why? By deferring delivery of the currency one loses interest income from bonds denominated I that currency Currency forward r is the $-denominated domestic interest rate F0, T x0 if r ry (domestic risk-free rate exceeds foreign risk-free rate) Currency Contracts: Pricing (cont’d) Example 6.1 ￥-denominated interest rate is 2% and current ($/ ￥) exchange rate is 0.009. To have ￥1 in one year one needs to invest today 0.009/￥ x ￥1 x e-0.02 = $0.008822 Example 6.2 ￥-denominated interest rate is 2% and $-denominated rate is 6%. The current ($/ ￥) exchange rate is 0.009. The 1-year forward rate 0.009e0.06-0.02 = 0.009367 Covered Interest Arbitrage Eurodollar Futures WSJ listing Contract Specifications Introduction to Commodity Futures Different commodities have their distinct forward curves, reflecting different properties of Storability Storage costs Production Demand The Commodity Lease Rate The lease rate is the difference between the commodity discount rate, ?, and the expected growth rate of the commodity price, g For a commodity owner who lends the commodity, the lease rate is like a dividend With the stock, the dividend yield, ?, is an observable characteristic of the stock With a commodity, the lease rate, ?l, is income earned only if the commodity is loaned. It is not directly observable, except if there is a lease market Forward Prices and the Lease Rate The lease rate has to be consistent with the forward price Therefore, when we observe the forward price, we can infer what the lease rate would have to be if a lease market existed The annualized lease rate The effective annual lease rate The Commodity