国际财务管理(英文课件）Chap09 utures and Options on Foreign Exchange.ppt

Chapter Outline Futures Contracts: Preliminaries Currency Futures Markets Basic Currency Futures Relationships Eurodollar Interest Rate Futures Contracts Options Contracts: Preliminaries Currency Options Markets Currency Futures Options Chapter Outline (continued) Basic Option Pricing Relationships at Expiry American Option Pricing Relationships European Option Pricing Relationships Binomial Option Pricing Model European Option Pricing Model Empirical Tests of Currency Option Models Futures Contracts: Preliminaries A futures contract is like a forward contract: It specifies that a certain currency will be exchanged for another at a specified time in the future at prices specified today. A futures contract is different from a forward contract: Futures are standardized contracts trading on organized exchanges with daily resettlement through a clearinghouse. Futures Contracts: Preliminaries Standardizing Features: Contract Size Delivery Month Daily resettlement Initial Margin (about 4% of contract value, cash or T-bills held in a street name at your brokers). Daily Resettlement: An Example Suppose you want to speculate on a rise in the $/￥ exchange rate (specifically you think that the dollar will appreciate). Daily Resettlement: An Example Currently $1 = ￥140 and it appears that the dollar is strengthening. If you enter into a 3-month futures contract to sell ￥ at the rate of $1 = ￥150 you will make money if the yen depreciates. The contract size is ￥12,500,000 Your initial margin is 4% of the contract value: Daily Resettlement: An Example If tomorrow, the futures rate closes at $1 = ￥149, then your position’s value drops. Your original agreement was to sell ￥12,500,000 and receive $83,333.33 But now ￥12,500,000 is worth $83,892.62 Daily Resettlement: An Example The $559.28 comes out of your $3,333.33 margin account, leaving $2,774.05 This is short of the $3,355.70 required for a new position. Currency Futures Markets The Chicago Mercantile Exchange (CME) is by fa