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ID:5579145
大小:136.00 KB
页数:40页
时间:2017-12-19
《金融学概论讲义(北大光华管理学院)lecture06》由会员上传分享,免费在线阅读,更多相关内容在应用文档-天天文库。
1、PrinciplesofFinanceLecture06ForwardandFuturesContracts40TheNatureofDerivatives·Aderivativeisaninstrumentwhosevaluedependsonthevaluesofothermorebasicunderlyingvariables·Examplesofderivatives-Forward-Futures-Options-Swaps……40DerivativeMarkets·ExchangeTraded-Standardproducts-Tradingf
2、loororcomputertrading-Virtuallynocreditrisk·Over-the-Counter(OTC)-Non-standardproducts-Telephonemarket-Creditrisk40ForwardContracts·Aforwardcontractisanagreementmadetodaytobuyorsellanassetatacertaintimeinthefutureforacertainprice(referredtoastheforwardpriceorthedeliveryprice)·Thed
3、eliverypriceisusuallychosensothattheinitialvalueofthecontractiszero;Nomoneychangeshandswhencontractisfirstnegotiatedanditissettledatmaturity·AnOTCagreementbetweentwopartiesandbothpartiesaresubjecttocreditrisk·Bothpartieshavetheobligationtohonorthecontract40SettlementofForwardContr
4、acts·Physical:requiresdeliveryofactualassets·Cashsettled:requiresonlytheexchangeofthedifferencebetweenthedeliverypriceandtheprevailingspotpriceatmaturity·Supposethat:Long3-monthGoldforwardDeliveryprice$300Spotpriceatt=3months:$32040P/LfromaLongForwardPositionPriceatMaturity,K40P/L
5、fromaShortForwardPositionKPriceatMaturity,40FuturesContract·Futuresarestandardizedforwardcontracts.·WhereasaforwardcontractistradedOTCafuturescontractistradedonanexchange·Specificationsneedtobedefined:-Theunderlyingasset-Deliverylocation-Maturitydateanddeliverytime-Methodofsettlem
6、ent·Mostcontractsareclosedoutbeforematurity40FeaturesPromotingLiquidity·StandardizedContract-Maturitydates-Contractsize-Priceticksize,i.e.minimumpricemovement-Theunderlyingasset(especiallycommodities)·Organizedexchanges40FeaturesReducingCreditRisk·Dailysettlement:Futurescontractsa
7、remarkedtomarketandsettledattheendofeverybusinessday·Marginaccount:Tobuyorsellafuturescontract,theinvestorisrequiredtopostaspecifiedmargintoguaranteecontractperformance·Clearinghouse:Theclearinghousedoesnottakeapositioninanytradebutinterposeitselfbetweentwopartiesineverytransactio
8、n40MarginAccounts·Amarginiscashor
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