用于汇率风险管理的衍生产品：货币期货与期货市场1

《用于汇率风险管理的衍生产品：货币期货与期货市场1》由会员上传分享，免费在线阅读，更多相关内容在教育资源-天天文库。

1、Chapter2DerivativeSecuritiesforCurrencyRiskManagement——CurrencyFuturesandFuturesMarketsChapterOverview1FinancialFuturesExchanges2TheOperationofFuturesMarkets3FuturesContracts4ForwardversusFuturesMarketHedges5FuturesHedgesUsingCrossExchangeRates6HedgingwithCurrencyFuture

2、sChapterObjectivesThischaptercomparescurrencyfuturescontractstocurrencyforwardcontractsandshowshowtheyarepricedbythemarketplace.Emphasisisplacedonhowcurrencyfuturescontractsaresimilarto,andyetdifferentfrom,forwardcontracts..Thelastseveralsectionsdiscussimplementationiss

3、ues:DeltahedgesformaturitymismatchesCrosshedgesforcurrencymismatchesDelta-crosshedgesforcurrencyandmaturitymismatchesForwardMarket1.ForwardContractsAforwardcontractisanagreementbetweenacorporationandacommercialbanktoexchangeaspecifiedamountofacurrencyataspecifiedexchang

4、erate(calledtheforwardrate)andonaspecifiedfuturedate.WhenMNCsanticipateafutureneedfororfuturereceiptofaforeigncurrency,theycansetupforwardcontractstolockintherateatwhichtheycanpurchaseorsellaparticularforeigncurrency.AforwardhedgeofthedollarUnderlyingpositionofaFrenchex

5、porter(long$s)Sell$sforwardatFt€/$(short$sandlong€s)Netposition+$40million+€40million-$40million+€40million-Goodsv€/$Long$ss€/$Short$sTheforwardcontractprovidesaperfecthedgebecausethesizeandtimingofthehedgetransactionexactlyoffsetsthesizeandtimingoftheunderlyingexposure

6、.ForwardMarket2.Non-DeliverableForwardContractsa.NewtypeAnon-deliverableforwardcontract(NDF)doesnotresultinanactualexchangeofcurrencies.Instead,onepartymakesanetpaymenttotheotherbasedonamarketexchangerateonthedayofsettlement.b.Frequentlyusedforcurrencyinemergingmarketsc

7、.Nodeliveryrequiredd.Onepartytotheagreementmakesapaymenttotheotherpartybasedontheexchangerateatthefuturedate.AnNDFcaneffectivelyhedgefutureforeigncurrencypaymentsorreceipts:NDFMarketExpectneedfor100MChileanpesos.NegotiateanNDFtobuy100MChileanpesosonJul1.Referenceindex(c

8、losingratequotedbyChile’scentralbank)=$.0020/peso.April1Buy100MChileanpesosfrommarket.July1Index=$.0023/pesor