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1、PARTSEVENDERIVATIVESANDTHEIRAPPLICATIONSCopyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.ThispageintentionallyleftblankCHAPTERFIFTY-ONEINTRODUCTIONTOINTEREST-RATEFUTURESANDOPTIONSCONTRACTSFRANKJ.FABOZZI,PH.D.,CFA,CPAFr
2、ederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversitySTEVENV.MANN,PH.D.ProfessorofFinanceMooreSchoolofBusinessUniversityofSouthCarolinaMARKPITTS,PH.D.PrincipalWhiteOakCapitalManagementCorp.Withtheadventofoptions,futures,andforwardsoninterest-rateinst
3、ruments,proactivefixedincomeriskmanagement,initsbroadestsense,assumesanewdimension.Investmentmanagersandtraderscanachievenewdegreesoffreedom.Itisnowpossibletoaltertheinterest-ratesensitivityofafixedincomeportfolioeconomicallyandquickly.Derivativecontracts,knownassuchb
4、ecausetheyderivetheirvaluefromanunderlyinginstrument,offerinvestmentmanagersandtradersriskandreturnpatternsthatwerepreviouslyeitherunavailableortoocostly.Thepurposeofthischapteristwofold.First,weexplainthebasiccharac-teristicsofoptions,futures,andforwardcontracts.Se
5、cond,wereviewthemostactivelytradedandmostrepresentativeover-the-counter(OTC)andlistedcon-tracts.Weomitfromourdiscussiontheuseoffuturesforhedging;thistopicwillbeexplainedinmoredetailinChapter57.BASICCHARACTERISTICSOFDERIVATIVECONTRACTSFuturesContractsAfuturescontract
6、isanagreementbetweenabuyer(seller)andanestablishedfuturesexchangeoritsclearinghouseinwhichthebuyer(seller)agreestotake1163Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.1164PART7DerivativesandTheirApplications(make)d
7、eliveryofaspecificamountofavalueditemsuchasacommodity,stock,orbondataspecifiedpriceatadesignatedtime.Forsomefuturescontracts,set-tlementatexpirationisincashratherthanactualdelivery.Whenaninvestortakesapositioninthemarketbybuyingafuturescon-tract,theinvestorissaidtobel
8、ongthefuturesorhavealongpositioninthefutures.If,instead,theinvestor’sopeningpositionisthesaleofafuturescontract,theinvestorissaidtobeshort
