金融学概论讲义(北大光华管理学院)lecture06

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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