衍生品与套期保值概述.pptx

Chapter Outline;25.1 Forward Contracts;25.2 Futures Contracts: Preliminaries;Futures Contracts: Preliminaries;;Daily Resettlement: An Example;Daily Resettlement: An Example;Daily Resettlement: An Example;Selected Futures Contracts;Futures Markets;The Chicago Mercantile Exchange;CME After Hours;Wall Street Journal Futures Price Quotes;Basic Currency Futures Relationships;25.3 Hedging;Hedging and Speculating Example;Hedging: How many contacts?;25.4 Interest Rate Futures Contracts;Pricing of Treasury Bonds;Pricing of Treasury Bonds;Pricing of Forward Contracts;Futures Contracts;Hedging in Interest Rate Futures;25.5 Duration Hedging;Duration measures the combined effect of maturity, coupon rate, and YTM on bond’s price sensitivity Measure of the bond’s effective maturity Measure of the average life of the security Weighted average maturity of the bond’s cash flows;Duration Formula;Calculating Duration;Calculating Duration;Duration;25.6 Swaps Contracts: Definitions;The Swap Bank;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of a Currency Swap;An Example of a Currency Swap;An Example of a Currency Swap;$9.4%;An Example of a Currency Swap;An Example of a Currency Swap;An Example of a Currency Swap;Variations of Basic Swaps;Risks of Interest Rate and Currency Swaps;Risks of Interest Rate and Currency Swaps;Pricing a Swap;25.7 Actual Use of Derivatives;25.8 Summary Conclusions