衍生品入门：、远期与互换.pptx

11/03/2026CopyrightLaurenceCopelandTopic8Page1/36Topic8

INTRODUCTIONTODERIVATIVES1:

Futures,Forwards,SwapsDifferencebetweenForwardsandFuturesCostofcarrySwaps

11/03/2026CopyrightLaurenceCopelandTopic8Page2/36DerivativesAderivativesecurityisafinancialassetthatderivesitsvaluefromanotherasset.Aderivativeisalsoknownasa‘contingentclaim’,becauseitsvalueiscontingentoncharacteristicsoftheunderlyingsecurity.

11/03/2026CopyrightLaurenceCopelandTopic8Page3/36UseofDerivatives Investorsusederivativecontractsinfourbasicstrategies: 1. Hedging. 2. Speculating. 3. Arbitrage. 4. Portfoliodiversification.

11/03/2026CopyrightLaurenceCopelandTopic8Page4/36FORWARDSAforwardcontractinvolvesthetransferofownershipofacommodity/security/portfolio/currencyetc.(theunderlyingasset)fromthesellerofthecontracttothebuyerofthecontractatafuturedate,atapricespecifiedinthecontractatthetimeitisdrawnup.

11/03/2026CopyrightLaurenceCopelandTopic8Page5/36Examplesofforwardcontracts?????? forwarddealsinforeigncurrency longtermcontractsforforwardpurchaseof rawmaterials(especiallyoil,gasetc) advancebookingofe.g.holiday,whereprice is“guaranteedfixed”

11/03/2026CopyrightLaurenceCopelandTopic8Page6/36ConventionsandJargonThedatespecifiedinthecontractisthesettlementormaturityordeliveryorredemptiondate.Wherethecontractisfor“immediate”delivery,thetransactionissaidtobespot.Spotdealsareforwardswhosedeliverydateisimmediate.i.e.spottransactionsareforwarddealswheretheredemptiondateisimmediate.Thepartycontractingtobuy(sellordeliver)theunderlyingissaidtohavealong(short)position.Notethatinthecaseofforwardsoncurrencies,eachpartyislongthecurrencybeingboughtandshortthecurrencybeingdelivered.Usually,nomoneychangeshandswhencontractissigned.i.e.