用于汇率风险管理的衍生产品货币期货与期货市场

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1、Chapter2DerivativeSecuritiesforCurrencyRiskManagement——CurrencyFuturesandFuturesMarketsChapterOverview1FinancialFuturesExchanges2TheOperationofFuturesMarkets3FuturesContracts4ForwardversusFuturesMarketHedges5FuturesHedgesUsingCrossExchangeRates6HedgingwithCurrencyFuturesCha

2、pterObjectivesThischaptercomparescurrencyfuturescontractstocurrencyforwardcontractsandshowshowtheyarepricedbythemarketplace.Emphasisisplacedonhowcurrencyfuturescontractsaresimilarto,andyetdifferentfrom,forwardcontracts..Thelastseveralsectionsdiscussimplementationissues:Delt

3、ahedgesformaturitymismatchesCrosshedgesforcurrencymismatchesDelta-crosshedgesforcurrencyandmaturitymismatchesForwardMarket1.ForwardContractsAforwardcontractisanagreementbetweenacorporationandacommercialbanktoexchangeaspecifiedamountofacurrencyataspecifiedexchangerate(called

4、theforwardrate)andonaspecifiedfuturedate.WhenMNCsanticipateafutureneedfororfuturereceiptofaforeigncurrency,theycansetupforwardcontractstolockintherateatwhichtheycanpurchaseorsellaparticularforeigncurrency.AforwardhedgeofthedollarUnderlyingpositionofaFrenchexporter(long$s)Se

5、ll$sforwardatFt€/$(short$sandlong€s)Netposition+$40million+€40million-$40million+€40million-Goodsv€/$Long$ss€/$Short$sTheforwardcontractprovidesaperfecthedgebecausethesizeandtimingofthehedgetransactionexactlyoffsetsthesizeandtimingoftheunderlyingexposure.ForwardMarket2.Non-

6、DeliverableForwardContractsa.NewtypeAnon-deliverableforwardcontract(NDF)doesnotresultinanactualexchangeofcurrencies.Instead,onepartymakesanetpaymenttotheotherbasedonamarketexchangerateonthedayofsettlement.b.Frequentlyusedforcurrencyinemergingmarketsc.Nodeliveryrequiredd.One

7、partytotheagreementmakesapaymenttotheotherpartybasedontheexchangerateatthefuturedate.AnNDFcaneffectivelyhedgefutureforeigncurrencypaymentsorreceipts:NDFMarketExpectneedfor100MChileanpesos.NegotiateanNDFtobuy100MChileanpesosonJul1.Referenceindex(closingratequotedbyChile’scen

8、tralbank)=$.0020/peso.April1Buy100MChileanpesosfrommarket.July1Index=$.0023/pesor