国际结算第4章.ppt

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1、Chapter4ForeignExchangeBasicⅠUsingathirdcountrycurrencySinceitisunlikelythateitherthebuyerandthesellerwillagreetoassumetheriskofcurrencyfluctuations,manyinternationaltradetransactionsareinvoicedinastrongandstablecurrency–evenifitisthatofathirdcountry.ⅡHedgingForwardmarkethedgeMoneymarketh

2、edgeOptionsmarketAhedgeisacontractthatprovideprotectionagainsttheriskoflossfromachangeinforeignexchangerates.ForwardmarkethedgeAtradercanlockintherateatwhichhecanbuyorsellaforeigncurrencybybuying,atthetimetheoriginalsaleofmerchandise(orservices)agreementismade,aforwardcontracttosellorbuyt

3、hatcurrencywithdeliverysetattheanticipatedpaymentorreceiptdate.Atradercanreverseafutureforeigncurrencypaymentorreceivablebyborrowingdomesticcurrencynow,convertingthecurrencyintoforeigncurrencyattoday’sexchangerate,andinvestingtheproceedsinforeignmoneymarketinstruments.Theproceedsofthemone

4、ymarketinstrumentsuponmaturitycanbeusedtomeettheforeigncurrencyneedspayableatthatdate.MoneymarkethedgeA“put”optiongivesthebuyertheright,butnottheobligation,tosellaspecifiednumberofforeigncurrencyunitstotheoptionselleratafixeddollarprice,uptotheoption’sexpirationdate.A“call”optionistherigh

5、t,butnottheobligation,tobuytheforeigncurrencyataspecifieddollarprice,atanytimeuptotheexpirationdate.OptionsmarketRisksandcostsRisks:Theirusefulnessisalsolimitedbythefactthattheyareonlyavailableformajorcurrenciesandforcertainmaturities,whichmakestheirusedifficultfortraderswithsubstantialex

6、posureindevelopingcountries.Costs:Counterproductive案例：日本某贸易公司三个月后将收到一笔50万美元的货款。有四种方案：（1）三个月后通过即期外汇交易将美元兑换成日元。（2）以US＄1＝J￥135.33的价格卖出三个月期的远期美元。（3）借入490196美元，贷款利率为8%，以US＄1＝J￥135.33的价格通过即期外汇交易兑换成日元，存入三个月定期存款，存款利率为4%。（4）买入三个月期的美元卖权，协定价格为US＄1＝J￥135.33，期权费率为2.5J￥/US＄。试作出这四种方案的收入曲线。设三个月后美元的即期汇率为X

7、（J￥/US＄），公司的收入为Y（J￥）。（1）Y＝（500000X）J￥（2）Y＝500000×135.33＝67665000J￥（3）Y＝490196×135.33×（1+4%÷12×3）＝67001607J￥（4）期权费：500000×2.5＝1250000J￥X≥135.33，Y＝500000X－1250000（J￥）X＜135.33，Y＝500000×135.33－1250000＝66415000J￥0X（J￥/US＄）Y（J￥）135.336766500067001607方案1方案4方案266415000方案3