Currency Derivatives货币衍生工具.ppt

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1、CurrencyDerivatives5ChapterSouth-Western/ThomsonLearning©2003ChapterObjectivesToexplainhowforwardcontractsareusedforhedgingbasedonanticipatedexchangeratemovements;andToexplainhowcurrencyfuturescontractsandcurrencyoptionscontractsareusedforhedgingorspeculationbasedonanticip

2、atedexchangeratemovements.ForwardMarketTheforwardmarketfacilitatesthetradingofforwardcontractsoncurrencies.Aforwardcontractisanagreementbetweenacorporationandacommercialbanktoexchangeaspecifiedamountofacurrencyataspecifiedexchangerate(calledtheforwardrate)onaspecifieddatei

3、nthefuture.ForwardMarketWhenMNCsanticipatefutureneedorfuturereceiptofaforeigncurrency,theycansetupforwardcontractstolockintheexchangerate.Forwardcontractsareoftenvaluedat$1millionormore,andarenotnormallyusedbyconsumersorsmallfirms.Aswiththecaseofspotrates,thereisabid/asksp

4、readonforwardrates.Forwardratesmayalsocontainapremiumordiscount.Iftheforwardrateexceedstheexistingspotrate,itcontainsapremium.Iftheforwardrateislessthantheexistingspotrate,itcontainsadiscount.ForwardMarketannualizedforwardpremium/discount=forwardrate–spotrate360spotratenw

5、herenisthenumberofdaystomaturityExample:Suppose£spotrate=$1.681,90-day£forwardrate=$1.677.$1.677–$1.681x360=–0.95%$1.68190So,forwarddiscount=0.95%ForwardMarketTheforwardpremium/discountreflectsthedifferencebetweenthehomeinterestrateandtheforeigninterestrate,soastopreventar

6、bitrage.ForwardMarketAnon-deliverableforwardcontract(NDF)isaforwardcontractwherebythereisnoactualexchangeofcurrencies.Instead,anetpaymentismadebyonepartytotheotherbasedonthecontractedrateandthemarketrateonthedayofsettlement.AlthoughNDFsdonotinvolveactualdelivery,theycaneff

7、ectivelyhedgeexpectedforeigncurrencycashflows.ForwardMarketCurrencyFuturesMarketCurrencyfuturescontractsspecifyastandardvolumeofaparticularcurrencytobeexchangedonaspecificsettlementdate,typicallythethirdWednesdaysinMarch,June,September,andDecember.TheyareusedbyMNCstohedget

8、heircurrencypositions,andbyspeculatorswhohopetocapitalizeontheirexpectationsofexchangerat