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时间:2020-03-26
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1、FINANCIALFUTURES,FORWARDRATEAGREEMENTS,ANDINTERESTRATESWAPSChapter10BankManagement,5thedition.TimothyW.KochandS.ScottMacDonaldCopyright©2003bySouth-Western,adivisionofThomsonLearningCharacteristicsoffinancialfuturesFinancialfuturescontracts…acommitmen
2、tbetweentwopartiesonthepriceandquantityofastandardizedfinancialassetorindex.Theyaretradedonorganizedexchangescalledfuturemarkets.Buyersoffuturescontracts,referredtoaslongfutures,agreetopaytheunderlyingfuturespriceorreceivetheunderlyingasset.Sellersoffu
3、turescontracts,referredtoasshortfuturesagreetoreceivethefuturespriceordelivertheunderlyingasset.TypesoffuturestradersFuturestradershavemanydifferentmotivationsandthusfollowdifferentstrategies.Tradersoperatingonthefloorofanexchangeareclassifiedaseitherc
4、ommissionbrokers,whoexecutetradesforotherparties,orlocals,whotradefortheirownaccount.Asthenamesuggests,commissionbrokersgenerateincomebychargingcommissionsforeachtradeandthustakenopricerisk.Localsareindividualswhotrytoprofitbybuyingcontractsatpricesles
5、sthanwhattheysellthecontractsfor.Assuch,localsassumeconsiderablepriceriskintheirtransactionsbutaddliquiditytothemarkets.TradersarefurtherclassifiedbythestrategiestheypursueAtoneextremeisthespeculatorwhotakesapositionwiththeobjectiveofmakingaprofit…Spec
6、ulatorstrytoguessthedirectionthatpriceswillmoveandtimetheirtradestosellathigherpricesthanthepurchaseprice.Localsarethusspeculators.Attheotherextremeisthehedger…Ahedgerhasanexistingoranticipatedpositioninthecashmarketandtradesfuturescontracts(orsomeothe
7、rcontract)toreducetheriskassociatedwithuncertainchangesinvalueofthecashposition.Thecashpositionmightinvolveowningorbuyinganasset,borrowingbyissuinganinterest-bearingliability,orabank’soverallearningsandMVEsensitivityprofile.Speculatorsareoftendistingui
8、shedbythetimetheyholdtheirpositions.Ascalpertriestotimepricemovementsoververyshorttimeintervalsandtakespositionsthatremainoutstandingforjustminutes.Adaytradersimilarlytriestoprofitfromshort-termpricemovementsduringtradinghoursinanyday,b
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