滋维博迪投资学Chap023.ppt

INVESTMENTS | BODIE, KANE, MARCUS Copyright ? 2011 by The McGraw-Hill Companies, Inc. All rights reserved. McGraw-Hill/Irwin CHAPTER 23 Futures, Swaps, and Risk Management INVESTMENTS | BODIE, KANE, MARCUS 23-2 ? Futures can be used to hedge specific sources of risk. ? Hedging instruments include: – Foreign exchange futures – Stock index futures – Interest rate futures – Swaps – Commodity futures Futures INVESTMENTS | BODIE, KANE, MARCUS 23-3 Foreign Exchange Futures ? Foreign exchange risk: You may get more or less home currency than you expected from a foreign currency denominated transaction. ? Foreign currency futures are traded on the CME and the London International Futures Exchange. INVESTMENTS | BODIE, KANE, MARCUS 23-4 Figure 23.2 Foreign Exchange Futures INVESTMENTS | BODIE, KANE, MARCUS 23-5 ? Interest rate parity theorem Developed using the US Dollar and British Pound T UK US r r E F ? ? ? ? ? ? ? ? ? ? ? 1 1 0 0 where F 0 is todays forward rate E 0 is the current spot rate Pricing on Foreign Exchange Futures INVESTMENTS | BODIE, KANE, MARCUS 23-6 Text Pricing Example r us = 4% r uk = 5% E 0 = $2.00 per pound T = 1 yr 981 . 1 $ 05 . 1 04 . 1 00 . 2 $ 1 0 ? ? ? ? ? ? ? ? F If the futures price varies from $1.981 per pound, covered interest arbitrage is possible. INVESTMENTS | BODIE, KANE, MARCUS 23-7 Direct Versus Indirect Quotes ? Direct exchange rate quote: – The exchange rate is expressed as dollars per unit of foreign currency ? Indirect exchange rate quote: – The exchange rate is expressed as foreign currency units per dollar INVESTMENTS | BODIE, KANE, MARCUS 23-8 Hedging Foreign Exchange Risk A US exporter wants to protect against a decline in profit that would result from depreciation of the pound. The current futures price is $2/￡ 1. Suppose F T = $1.90? ? The exporter anticipates a profit loss of $200,000 if the pound declines by $.10 ? Short or sell pounds for future delivery to avoid the exposure. INVESTMENTS | BODIE, KANE, M