合约与远期合约特性及交易机制比较研究.pdfVIP

Chapter18

Futurescontracts

Solutionstoquestions

1.•Futurescontractscanbetradedonafuturese.Thispermitspositionstobe

reversedbeforethematuritydate.Nosuchfacilityisavailableforthetradingofforward

contracts.

•Becauseofthe‘private’natureofaforwardcontract,partiestothecontractcan,atleast

inprinciple,spellouttheexactdetailsofthecontractbasedontheirownneeds.In

contrast,futurescontractsarestandardisedandtheyareunlikelythereforetomatch

exactlytheindividualneedsoftheparties.

•DefaultriskislowforfuturescontractsbecausetheClearingHousebearsallsuchrisk.

Incontrast,thepartiestoaforwardcontractbearalltherisk.

•Themark-to-marketruleappliesonlytofuturescontracts—thatis,afuturescontractcan

involvecashflowspriortothematurityofthecontract.

2.Volumetradedisthenumberofcontractstradedduringagivenperiod(usuallyaday)while

openpositionsarethetotalnumberoflongpositionsoutstandinginafuturescontract(which

equalsthetotalnumberofshortpositions).

3.(a)Deliverablefuturescontract.Thesubjectmatterofthefuturescontractcanbe

physicallydeliveredonthematuritydatebythesellertothebuyer,insatisfactionof

thetermsofthecontract—thatis,thecontractisfulfilled,ratherthanreversedby

enteringintoanoffsettingcontract.Example:90-daybankbillfuturesinSydney.

Non-deliverablefuturescontract.Thecontractcannotbefu