chap外汇衍生产品市场.ppt

英镑期货保证金账户流量 时间 市场报价 合约价格 保证金变动 追加 ( ＋ )/ 减少 ( － ) 金额 保证金 账户余额 T0 T1 T2 T3 T4 $1.4700/￡ $1.4714/￡ $1.4640/￡ $1.4600/￡ $1.4700/￡ $91,875.0 $91,962.5 $91,500.0 $91,250.0 $91,875.0 0 +$87.50 -$462.50 -$250.00 +$625.00 +$2,000.00 0 0 +$625.00 -$625.00 $2000.00 $2087.50 $1625.00 $2000.00 $2000.00 IMM 规定：每份英镑期货合约价值 62500 英镑；最小 价格变动为 $0.0001/ ￡ ；单日最大变动为 $ 0.01 / ￡ Hedging with Currency Futures ? Currency futures contracts entail daily cash flow settlements ? To hedge with a futures contract, the firm must setup an initial margin, or bond performance requirement ? The firm must also maintain a maintenance margin, or minimum bond performance requirement ? Futures contract gains or losses are marked-to- market at the end of each trading day 外汇期权交易 FX OPTIONS 3.3. 外汇期权交易 (FX Options) ? 合约购买方在向出售方支付一定费用（期权 费）后获得未来按规定汇率交易一定数量外 汇的选择权 ? A financial contract giving the owner the right to buy or sell an underlying financial instrument at a certain price within a specific period of time 外汇期权交易 (FX Options) ? 有交易所交易期权和场外期权 ? 分为看涨期权 (calls) 和看跌期权 (puts) ? Call options : allow the holder to purchase the underlying currency ? Put options : allow the holder to sell the underlying currency 外汇期权交易 (FX Options) ? 有美式期权和欧式期权 ? American options : grant the holder the right to exercise the right to purchase or sell the underlying currency at any time before or including the date at which the contract expires ? European options : grant the holder the right to exercise the right to purchase or sell the underlying currency only at on the date that the contract expires 外汇期权交易 (FX Options) ? Futures Options, Stock Options, and Currency Option ? Futures Options : Options to buy or sell futures contracts ? Stock Options : Options to buy or sell firm equity shares ? Currency Option : A contract granting the right to buy or sell a given amount of a nations currency at a certain price within a specific period of time 3. 外汇衍生产品市场 FX Derivatives Market AMOUNTS OUTSTANDING OF OVER-T