第七章-外汇期货和期权
欧式期权定价关系
考虑两种投资方式
投资组合A： 购入看涨期权
在美国借出现 值E
投资组合B 以利率ri借出 一单位i货币的 现值
当前
-C0
E 1 r$
ST 1 ri
.
到期日
ST E
ST E
0
ST – E
E
E
ST
ST
ST E 时，A、B 两种方式都得到ST
ST E 时，投 资组合A的收益 （E）大于B （ ST ）
账户余额 $ 7750 $6,500 $2750 $5,250 $2,750
第四天，账户余额大于维持保证金水平；
第五天，账户余额小于维持保证金水平，若投资者无 法再追加投资，将会被部分强项平仓。
.
投资者损失计算方法
方法一：–$7,500=$1,250–$1,250–$3,750–$1,250 - $2,500 方法二：– $7,500 = ($1.24/€ – $1.30/€) × €125,000 方法三：– $7,500 = $2,750 – ($6,500 + $3,750)
欧式期权定价关系
如此，可以得到，投资组合A的价格至少和B一样高 则：
同理也可得到看跌期权的定价：
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二项式期权定价模型
例：欧式看涨期权PHLX 122 Sep EUR表（7.6） 期权费4.41美分 现价S0=122.38美分
=15.985% ， T= 108/365=0.2959
.
二项式期权定价模型
账户余额 $ 7750 $6,500 $2750
第三天，投资者若想保住其账户头寸，需再存入$3,750
.
逐日结算
接下来两天，情况如下：
日期 1 2 3 4 5
结算价 $1.31 $1.30 $1.27 $1.26 $1.24
利得 $1,250 –$1,250 –$3,750 –$1,250 –$2,500
期货合约的预备知识
期货合约类似于远期合约： 价格取决于标的证券的价值
期货合约不同于远期合约： 合约规模 交个月份 逐日结算 初始保证金水平
.
逐日结算
考虑一个CME Euro/U.S. Dollar多头的 期货合约，合约规模为€125,000 ，执行价 格为$1.30，期限为3个月，初始保证金水平 为$6,500，维持保证金水平为$ 4000。
.
逐日结算
投资者已同意购买€125000，每欧元 1.30美元的三个月期限的多头期货合约。 远期合同,最后三个月,如果欧元价值 1.24美元,他将失去7500美元=(1.24 - 1.30 美元)×125000。 如果到期欧元价值1.35美元,交易对手 对他的远期合同将付给他6250美元=(1.35 1.30美元)×125000。
.
逐日结算
保证金：如果投资者的账户余额低 于维持保证金水平，就必须存入相应 金额使得账户余额达到初始保证金水 平，否则他的账户将被强行平仓。
.
逐日结算
者的利得及账户余 额如下
日期 1 2 3
结算价 $1.31 $1.30 $1.27
利得 $1,250 –$1,250 –$3,750
.
货币期货的基本关系
外汇期货报价单
开盘价 最高价
最低价
加元(CME)—CAD100000; $ /CAD
3月
1.0118 1.0167 0.9961
6月
1.0104 1.0159 0.9961
结算价
0.9988 0.9985
改变额
未平仓合 约数
-0.0116 83125 -0.0116 3758
未平仓合约时近期月份合约中货币金额最大的合约
在这个例子中：
.
二项式期权定价模型
执行价值： EUR升值的风险中性概率q：
.
二项式期权定价模型
欧式看涨期权的二项式期权定价为
.
欧式期权定价公式
精确地欧式看涨期权和看跌期权的价格公式为：
Ce [FT N (d1) E N (d2 )]er$T
Cp [E N (d2 ) FT N (d1)]er$T
.
货币期货市场
起源：芝加哥商业交易所（CME) 其他交易所：
纽约证券交易所 墨西哥证券交易所 韩国期货交易所 新加坡金融期货交易所
.
芝加哥商品交易所
交割月：3月，6月，9月，12月 交割日：每个交割月的第三个星期三 最后交易日：交割日前的第二个工作日 交易时间： 7:20 a.m.- 2:00 p.m. CST
这里：
FT
S e(r$ ri )T t
d1
ln(F
/ E) .5 T
2T
, d2
d1
T
.
欧式期权定价公式
下面用一个为例子来运用欧式看涨期权定价公式:
欧式看涨期权PHLX 122 Sep EUR表（7.6） 期权费4.41美分
.
期权合约的预备知识
期权合约是一种赋予交易双方在未来某一日期， 即到期日之前或到期日当天，以一定的价格——履约 价或执行价——买入或卖出一定相关工具或资产的权 利，而不是义务的合约 看涨期权：期权的购买者拥有在期权合约有效期内按执 行价格买进一定数量标的物的权利 看跌期权：期权的购买者拥有在期权合约有效期内按执 行价格卖出一定数量标的物的权利，但不负担必须卖 出的义务
.
期权合约的预备知识
欧式期权和美式期权
欧式期权只有到合约到期日才可以被执行
美式期权可以再合约有效期内的任何一天被执行 因此，美式期权通常比欧式期权更有价值
.
期权合约的预备知识
.
货币期权市场
柜台买卖的货币期权交易额比正规的期货交易所大得多 交易是六种主要货币（美元、英镑、日元、加元和瑞士法 郎）兑美元
摘要： 本章我们将介绍外汇交易的外币期货合约和外币期权合约
以及货币期货期权
.
目录
期货合约的预备知识 外汇期货市场 基本的外汇期货的关系 欧洲美元利率期货合约 期权合约的预备知识 货币期权市场 外汇期货期权 到期期权的基本定价关系 美国期权定价的关系 欧式期权定价的关系 二项期权定价模型 欧式期权定价模. 型
.
费城货币期权合约
.
期权到期时的基本定价关系
.
期权到期时的基本定价关系
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期权到期时的基本定价关系
期权到期 时的价格若 在价内，则
获利ST – E。
若在价外， 则净损失c0
.
期权到期时的基本定价关系
.
期权到期时的基本定价关系
.
期权到期时的基本定价关系
.
美式期权定价关系
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美式期权定价关系
第七章外汇期货与外汇期权
Lecture10(Chapter 07)Futures and Options on Foreign Exchange外汇期货与期权1. A put option on $15,000 with a strike price of €10,000 is the same thing as a call option on €10,000 with a strike price of $15,000.TRUE2. A CME contract on €125,000 with Septe mber delivery 交货A. is an example of a forward contract.B. is an example of a futures contract.C. is an example of a put option.D. is an example of a call option.3. Yesterday, you entered into a futures contract to buy €62,500 at $1.50 per €. Suppose t he futures price closes today at $1.46. How much have you made/lost?A. Depends on your margin balance.B. You have made $2,500.00.C. You have lost $2,500.00.D. You have neither made nor lost money, yet.4. In reference to the futures market, a "speculator"A. attempts to profit from a change in the futures priceB. wants to avoid price variation by locking in a purchase price of the underlying asset through a long position in the futures contract or a sales price through a short position in the futures contractC. stands ready to buy or sell contracts in unlimited quantityD. both b) and c)5. Comparing "forward" and "futures" exchange contracts, we can say thatA. they are both "marked-to-market" daily.B. their major difference is in the way the underlying asset is priced for future purchase or sale: futures settle daily and forwards settle at maturity.C. a futures contract is negotiated by open outcry between floor brokers or traders and is traded on organized exchanges, while forward contract is tailor-made by an international bank for its clients and is traded OTC.D. both b) and c)Topic: Futures Contracts: Some Preliminaries6. Comparing "forward"远期合约 and "futures"期货合约 exchange contracts, we can say thatA. delivery of the underlying asset is seldom made in futures contracts.B. delivery of the underlying asset is usually made in forward contracts.C. delivery of the underlying asset is seldom made in either contract—they are typically cash settled at maturity.D. both a) and b)E. both a) and c)7. In which market does a clearinghouse serve as a third party to all transactions?A. FuturesB. ForwardsC. SwapsD. None of the above8. In the event of a default on one side of a futures trade,A. the clearing member stands in for the defaulting party. 结算会员代表为违约方B. the clearing member will seek restitution for the defaulting party.寻求赔偿C. if the default is on the short side, a randomly selected long contract will not get paid. That party will then have standing to initiate a civil suit against the defaulting short.D. both a) and b)9. Yesterday, you entered into a futures contract to buy €62,500 at $1.50 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted? 题目的意思是，初始保证金余额１５００，维持保证金水平为５００，当汇率在哪个水平上，客户需要追加保证金？,A.$1.5160 per €.B.$1.208 per €.C.$1.1920 per €.D.$1.4840 per €.10. Yesterday, you entered into a futures contract to sell €62,500 at $1.50 per €. Your initial performance bond is $1,500 and your maintenance level is $500. At what settle price will you get a demand for additional funds to be posted?A.$1.5160 per €.B.$1.208 per €.C.$1.1920 per €.D.$1.1840 per €.11. Yesterday, you entered into a futures contract to buy €62,500 at$1.50/€. Your initial margin was $3,750 (= 0.04 ⨯€62,500 ⨯$1.50/€ = 4 percent of the contract value in dollars). Your maintenance margin is $2,000 (meaning that your broker leaves you alone until your account balance falls to $2,000). At what settle price (use 4 decimal places) do you get a margin call?A.$1.4720/€６２５００×（１．５－？）＝３７５０－２０００B.$1.5280/€C.$1.500/€D. None of the above12. Three days ago, you entered into a futures contract to sell €62,500 at $1.50 per €. Over the past three days the contract has settled at $1.50, $1.52, and $1.54. How much have you made or lost?A.Lost $0.04 per € or $2,500B.Made $0.04 per € or $2,500C.Lost $0.06 per € or $3,750D. None of the above13. Today's settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days' settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME Yen contract is ¥12,500,000). If you have a short position 空头in one futures contract, the changes in the margin account from daily marking-to-market will result in the balance of the margin account after the third day to be 日元贬值，赚钱A. $1,425.B. $2,000.C. $2,325.＝（０．８０１１－０．７９８５）×１２５０００＋２０００D. $3,425.14. Today's settlement price on a Chicago Mercantile Exchange (CME) Yen futures contract is $0.8011/¥100. Your margin account currently has a balance of $2,000. The next three days' settlement prices are $0.8057/¥100, $0.7996/¥100, and $0.7985/¥100. (The contractual size of one CME Yen contract is ¥12,500,000). If you have a long position 多头in one futures contract, the changes in the margin account from daily marking-to-market, will result in the balance of the margin account after the third day to be 日元贬值，亏钱A. $1,425.B. $1,675.C. $2,000.D. $3,425.Topic: Currency Futures Markets15. Suppose the futures price is below the price predicted by IRP. What steps would assure an arbitrage profit?A. Go short in the spot market, go long in the futures contract.B. Go long in the spot market, go short in the futures contract.C. Go short in the spot market, go short in the futures contract.D. Go long in the spot market, go long in the futures contract.16. What paradigm is used to define the futures price?A. IRP利率平价B. Hedge RatioC. Black ScholesD. Risk Neutral Valuation17. Suppose you observe the following 1-year interest rates, spot exchange rates and futures prices. Futures contracts are available on €10,000. How much risk-free arbitrage profit could you make on 1 contract at maturity from this mispricing?A. $159.22Ｆ＝１．４５×１．０４／１．０３＝１．４６４１B. $153.10（１．４８－１．４６４１）×１００００＝４５９C. $439.42D. None of the aboveThe futures price of $1.48/€ is above the IRP futures price of $1.4641/€, so we want to sel l (i.e. take a short position in 1 futures contract on €10,000, agreeing to sell €10,000 in 1 year for $14,800).Profit =To hedge, we borrow $14,077.67 today at 4%, convert to euro at the spot rate of $1.45/€, invest at 3%. At maturity, our investme nt matures and pays €10,000, which we sell for $14,800, and then we repay our dollar borrowing with $14,640.78. Our risk-free profit = $159.22 = $14,800 - $14,640.7818. Which equation is used to define the futures price?A.B.C.D.19. Which equation is used to define the futures price? A.B.C.D.E.Topic: Currency Futures Markets20. If a currency futures contract (direct quote) is priced below the price implied by Interest Rate Parity (IRP), arbitrageurs could take advantage of the mispricing by simultaneouslyA. going short in the futures contract, borrowing in the domestic currency, and going long in the foreign currency in the spot market.B. going short in the futures contract, lending in the domestic currency, and going long in the foreign currency in the spot market.C. going long in the futures contract, borrowing in the domestic currency, and going short in the foreign currency in the spot market.D. going long in the futures contract, borrowing in the foreign currency, and going long in the domestic currency, investing the proceeds at the local rate of interest.21. Open interest in currency futures contractsA. tends to be greatest for the near-term contracts.B. tends to be greatest for the longer-term contracts.C. typically decreases with the term to maturity of most futures contracts.D. both a) and c)22. The "open interest" shown in currency futures quotations isA. the total number of people indicating interest in buying the contracts in the near future.B. the total number of people indicating interest in selling the contracts in the near future.C. the total number of people indicating interest in buying or selling the contracts in the near future.D. the total number of long or short contracts outstanding for the particular delivery month.23. If you think that the dollar is going to appreciate against the euro, you shouldA. buy put options on the euro.B. sell call options on the euro.卖出欧元看涨权C. buy call options on the euro.D. none of the above24. From the perspective of the writer 卖家of a put option 看跌期权written on €62,500. If the s trike price执行价格 i s $1.55/€, and the option premium is $1,875, at what exchange rate do you start to lose money?A.$1.52/€B.$1.55/€C.$1.58/€D. None of the above25. A European option is different from an American option in thatA. one is traded in Europe and one in traded in the United States.B. European options can only be exercised at maturity; American options can be exercised prior to maturity.C. European options tend to be worth more than American options, ceteris paribus.D. American options have a fixed exercise price; European options' exercise price is set at the average price of the underlying asset during the life of the option.26. An "option" isA. a contract giving the seller (writer) of the option the right, but not the obligation, to buy (call) or sell (put) a given quantity of an asset at a specified price at some time in the future.B. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (call) or sell (put) a given quantity of an asset at a specified price at some time in the future.C. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (put) or sell (call) a given quantity of an asset at a specified price at some time in the future.D. a contract giving the owner (buyer) of the option the right, but not the obligation, to buy (put) or sell (sell) a given quantity of an asset at a specified price at some time in the future.27. An investor believes that the price of a stock, say IBM's shares, will increase in the next 60 days. If the investor is correct, which combination of the following investment strategies will show a profit in all the choices?(i) - buy the stock and hold it for 60 days(ii) - buy a put option(iii) - sell (write) a call option(iv) - buy a call option(v) - sell (write) a put optionA. (i), (ii), and (iii)B. (i), (ii), and (iv)C. (i), (iv), and (v)D. (ii) and (iii)28. Most exchange traded currency optionsA. mature every month, with daily resettlement.B. have original maturities of 1, 2, and 3 years.C. have original maturities of 3, 6, 9, and 12 months.D. mature every month, without daily resettlement.29. The volume of OTC currency options trading isA. much smaller than that of organized-exchange currency option trading.B. much larger than that of organized-exchange currency option trading.C. larger, because the exchanges are only repackaging OTC options for their customers.D. none of the above30. In the CURRENCY TRADING section of The Wall Street Journal, the following appeared under the heading OPTIONS:Which combination of the following statements are true?(i)- The time values of the 68 May and 69 May put options are respectively .30 cents and .50 cents.(ii)- The 68 May put option has a lower time value (price) than the 69 May put option.(iii)- If everything else is kept constant, the spot price and the put premium are inversely related. (iv)- The time values of the 68 May and 69 May put options are, respectively, 1.63 cents and 0.83 cents.(v)- If everything else is kept constant, the strike price and the put premium are inversely related.A. (i), (ii), and (iii)B. (ii), (iii), and (iv)C. (iii) and (iv)D. ( iv) and (v)31. With currency futures options the underlying asset isA. foreign currency.B. a call or put option written on foreign currency.C. a futures contract on the foreign currency.D. none of the above32. Exercise of a currency futures option results inA. a long futures position for the call buyer or put writer.B. a short futures position for the call buyer or put writer.C. a long futures position for the put buyer or call writer.D. a short futures position for the call buyer or put buyer.33. A currency futures option amounts to a derivative on a derivative. Why would something like that exist?A. For some assets, the futures contract can have lower transactions costs and greater liquidity than the underlying asset. 标的资产B. Tax consequences matter as well, and for some users an option contract on a future is more tax efficient.C. Transactions costs and liquidity.D. All of the above34. The current spot exchange rate目前即期汇率is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consi der a three-month American call option on €62,500. For this option to be considered at-the-money, the strike price must beA.$1.60 = €1.00B.$1.55 = €1.00C. $1.55 ⨯ (1+i$)3/12= €1.00 ⨯ (1+i€)3/12D. none of the above35. The current spot exchange rate is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.50 = €1.00. Immediate exercise of this option will generate a profit ofA. $6,125B. $6,125/(1+i$)3/12C. negative profit, so exercise would not occurD. $3,12536. The current spot exchange rate is $1.55 = €1.00 and the three-month forward rate is $1.60 = €1.00. Consider a three-month American call option on €62,500 with a strike price of $1.50 = €1.00. If you pay an option premium of $5,000 to buy this call, at what exchange rate will you break-even?A.$1.58 = €1.00B.$1.62 = €1.00C.$1.50 = €1.00D.$1.68 = €1.0037. Consider the graph of a call option shown at right. The option is a three-month American call option on €62,500 with a strike price of $1.50 = €1.00 and an option premium of $3,125. What are the values of A, B, and C, respectively?A. A = -$3,125 (or -$.05 depending on your scale); B = $1.50; C = $1.55B. A = -€3,750 (or -€.06 depend ing on your scale); B = $1.50; C = $1.55C. A = -$.05; B = $1.55; C = $1.60D. none of the above38. Which of the lines is a graph of the profit at maturity of writing a call option on €62,500 with a strike price of $1.20 = €1.00 and an option premium of $3,125?A. AB. BC. CD. D39. The current spot exchange rate is $1.55 = €1.00; the three-month U.S. dollar interest rate is 2%. Consider a three-month American call option on €62,500 with a strike price of $1.50 =€1.00. What is the least that this option should sell for?A. $0.05 62,500 = $3,125B. $3,125/1.02 = $3,063.73C. $0.00D. none of the above40. Which of the follow options strategies are consistent in their belief about the future behavior of the underlying asset price?A. Selling calls and selling putsB. Buying calls and buying putsC. Buying calls and selling putsD. None of the aboveTopic: American Option-Pricing Relationships41. American call and put premiumsA. should be at least as large as their intrinsic value. 内在价值B. should be at no larger than their moneyness.C. should be exactly equal to their time value.D. should be no larger than their speculative value.42. Which of the following is correct?A. Time value = intrinsic value + option premiumB. Intrinsic value = option premium + time valueC. Option premium = intrinsic value - time valueD. Option premium = intrinsic value + time value43. Which of the following is correct?A. European options can be exercised early.B. American options can be exercised early.C. Asian options can be exercised early.D. All of the above44. Assume that the dollar-euro spot rate is $1.28 and the six-month forward rateis . The six-month U.S. dollar rate is 5% and the Eurodollar rate is 4%. The minimum price that a six-month American call option with a striking price of $1.25 should sell for in a rational market isA. 0 centsB. 3.47 centsC. 3.55 centsD. 3 cents45. For European options, what of the effect of an increase in S t?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus46. For an American call option, A and B in the graph areA. time value and intrinsic value.B. intrinsic value and time value.C. in-the-money and out-of-the money.D. none of the above47. For European options, what of the effect of an increase in the strike price E?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus48. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in r$ relative to r€?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus49. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in r$?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribusTopic: European Option-Pricing Relationships50. For European currency options written on euro with a strike price in dollars, what of the effect of an increase r€?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus51. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in the exchange rate S($/€)?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus52. For European currency options written on euro with a strike price in dollars, what of the effect of an increase in the exchange rate S(€/$)?A. Decrease the value of calls and puts ceteris paribusB. Increase the value of calls and puts ceteris paribusC. Decrease the value of calls, increase the value of puts ceteris paribusD. Increase the value of calls, decrease the value of puts ceteris paribus53. The hedge ratioA. Is the size of the long (short) position the investor must have in the underlying asset per option the investor must write (buy) to have a risk-free offsetting investment that will result in the investor perfectly hedging the option.B.C. Is related to the number of options that an investor can write without unlimited loss while holding a certain amount of the underlying asset.D. All of the above54. Find the value of a call option written on €100 with a strike price of $1.00 = €1.00. In one period there are two possibilities: the exchange rate will move up by 15% or down by 15% (i.e. $1.15 = €1.00 or $0.85 = €1.00). The U.S. risk-free rate is 5% over the period. The risk-neutral probability of dollar depreciation is 2/3 and the risk-neutral probability of the dollar strengthening is 1/3.A. $9.5238B. $0.0952C. $0D. $3.174655. Use the binomial option pricing model to find the value of a call option on £10,000 with a strike price of €12,500.The current exchange rate is €1.50/£1.00 and in the next period the exchange rate can increase to €2.40/£ or decrease to €0.9375/€1.00 (i.e. u = 1.6 and d = 1/u = 0.625).The current interest rates are i€ = 3% and are i£ = 4%.Choose the answer closest to yours.A.€3,275B.€2,500C.€3,373D.€3,24356. Find the hedge ratio for a call option on £10,000 with a strike price of €12,500.The current exchange rate is €1.50/£1.00 and in the next period the exchange rate can increase to €2.40/£ or decrease to €0.9375/€1.00 (i.e. u = 1.6 and d = 1/u = 0.625).The current interest rates are i€ = 3% and are i£ = 4%.Choose the answer closest to yours.A. 5/9B. 8/13C. 2/3D. 3/8E. None of the above57. You have written a call option on £10,000 with a strike price of $20,000. The current exchange rate is $2.00/£1.00 and in the next period the exchange rate can increase to$4.00/£1.00 or decrease to $1.00/€1.00 (i.e. u = 2 and d = 1/u = 0. 5). The current interest rates are i$ = 3% and are i£ = 2%. Find the hedge ratio and use it to create a position in the underlying asset that will hedge your option position.A. Buy £10,000 today at $2.00/£1.00.B. Enter into a short position in a futures contract on £6,666.67.C. Lend the present value of £6,666.67 today at i£ = 2%.D. Enter into a long position in a futures contract on £6,666.67.E. Both c) and d) would workF. None of the above58. Draw the tree for a put option on $20,000 with a strike price of £10,000. The current exchange rate is £1.00 = $2.00 and in one period the dollar value of the pound will either double or be cut in half. The current interest rates are i$ = 3% and are i£ = 2%.A.B.C. None of the above59. Draw the tree for a call option on $20,000 with a strike price of £10,000. The current exchange rate is £1.00 = $2.00 and in one period the dollar value of the pound will either double or be cut in half. The current interest rates are i$ = 3% and are i£ = 2%.A.B.C. None of the above60. Find the hedge ratio for a put option on $15,000 with a strike price of €10,000. In one period the exchange rate (currently S($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e.u = 1.6 and d = 0.625).A. -15/49B. 5/13C. 3/2D. 15/4961. Find the hedge ratio for a put option on €10,000 with a strike price of $15,000. In one period the exchange rate (currently S($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625).A. -15/49B. 8/13C. -5/13D. 15/4962. Find the dollar value today of a 1-period at-the-money call option on €10,000. The spot exchange rate is €1.00 = $1.25. In the next period, the euro can increase in dollar value to $2.00 or fall to $1.00. The interest rate in dollars is i$ = 27.50%; the interest rate in euro is i€ = 2%.A. $3,308.82B. $0C. $3,294.12D. $4,218.7563. Suppose that you have written a call option on €10,000 with a strike price in dollars. Suppose further that the hedge ratio is ½. Which of the following would be an appropriate hedge for a short position in this call option?A.Buy €10,000 today at today's spot exchange rate.B.Buy €5,000 today at today's spot exchange rate.C.Agree to buy €5,000 at the maturity of the option at the forward exchange rate for the maturity of the option that prevails today (i.e., go long i n a forward contract on €5,000).D.Buy the present value of €5,000 discounted at i€ for the maturity of the option.E. Both c) and d) would work.F. None of the above64. Find the value of a one-year put option on $15,000 with a strike price of €10,000. I n one year the exchange rate (currently S0($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625). The current one-year interest rate in the U.S. is i$ = 4% and the current one-year interest rate in the euro zone is i€ = 4%.A.€1,525.52B. $3,328.40C. $4,992.60D.€2,218.94E. None of the above65. Find the value of a one-year call option on €10,000 with a strike price of $15,000. In one year the exchange rate (currently S0($/€) = $1.50/€) can increase by 60% or decrease by 37.5% (i.e. u = 1.6 and d = 0.625). The current one-year interest rate in the U.S. is i$ = 4% and the current one-year interest rate in the euro zone is i€ = 4%.A.€1,525.52B. $3,328.40C. $4,992.60D.€2,218.94E. None of the above66. Consider a 1-year call option written on £10,000 with an exercise price of $2.00 = £1.00. The current exchange rate is $2.00 = £1.00; The U.S. risk-free rate is 5% over the period and the U.K. risk-free rate is also 5%. In the next year, the pound will either double in dollar terms or fall by half (i.e. u = 2 and d = ½). If you write 1 call option, what is the value today (in dollars) of the hedge portfolio?A. £6,666.67B. £6,349.21C. $12,698.41D. $20,000E. None of the above67. Value a 1-year call option written on £10,000 with an exercise price of $2.00 = £1.00. The spot exchange rate is $2.00 = £1.00; The U.S. risk-free rate is 5% and the U.K. risk-free rate is also 5%. In the next year, the pound will either double in dollar terms or fall by half (i.e. u = 2 and d = ½). Hint: H= ⅔.A. $6,349.21B.C.D. None of the aboveTopic: Binomial Option-Pricing Model68. Which of the following is correct?A. The value (in dollars) of a call option on £5,000 with a strike price of $10,000 is equal to the value (in dollars) of a put option on $10,000 with a strike price of £5,000 only when the spot exchange rate is $2 = £1.B. The value (in dollars) of a call option on £5,000 with a strike price of $10,000 is equal to the value (in dollars) of a put option on $10,000 with a strike price of £5,000.69. Find the input d1 of the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is 10.7 percent.A.d1 = 0.103915B.d1 = 2.9871C.d1 = -0.0283D. none of the above70. Find the input d1 of the Black-Scholes price of a six-month call option on Japanese yen. The strike price is $1 = ¥100. The volatility is 25 percent per annum; r$ = 5.5% and r¥ = 6%.A.d1 = 0.074246B.d1 = 0.005982C.d1 = $0.006137/¥D. None of the above71. The Black-Scholes option pricing formulaeA. are used widely in practice, especially by international banks in trading OTC options.B. are not widely used outside of the academic world.C. work well enough, but are not used in the real world because no one has the time to flog their calculator for five minutes on the trading floor.D. none of the above72. Find the Black-Scholes price of a six-month call option written on €100,000 with a strike price of $1.00 = €1.00. The current exchange rate is $1.25 = €1.00; The U.S. risk-free rate is 5% over the period and the euro-zone risk-free rate is 4%. The volatility of the underlying asset is10.7 percent.A.C e = $0.63577B.C e = $0.0998C.C e = $1.6331D. none of the aboveINSTRUCTOR NOTE: YOU WILL HAVE TO PROVIDE YOUR STUDENTS WITH A TABLE OF THE NORMAL DISTRIBUTION.。
{财务管理外汇汇率}外汇期货和期权
9月5日 买进4份9月份的瑞士法郎期货 价格：1瑞士法郎=0.7760美元 价值：125000*4*0.7760=388000（美元）
损失：387597-398724=-11127（美元）
盈利：398500-388000=10500（美元）
练习
2009年1月26日，美国某出口商向日本进口商出口一批 货物，2个月后装船交货并获得一笔外汇收入25000万日元， 签约日美元与日元的即期汇率为：
最后 交易 日
意向 首日
03/17 /08
06/16 /08
09/15 /08
12/15 /08
03/16 /09
06/15
/09
03/17 /08
06/16 /08
09/15 /08
12/15 /08
03/16 /09
06/15 /09
交割首日
03/19/08 06/18/08 09/17/08 12/17/08 03/18/09 06/17/09
通过期货空头交易，交易者可以降低因外汇现汇下跌 而给所持有的外汇债权带来的风险。
例1 假设7月5日美国某公司出口了一批商品，2个月后收到500000瑞 士法郎。为防止2个月后瑞士法郎贬值，公司决定利用瑞士法郎（每
份合约125000瑞士法郎）进行套期保值。瑞士法郎的即期汇率和期货
价格以及空头套期保值的操作见下表。
收盘
1.4734 1.4732 1.4741
（三） 单份合约的外币数额
在IMM交易的不同外币币种的期货合约所规定的外币数额是不一样的。如 表6-1所示，单份英镑期货合约规定的英镑数额为62500英镑，而单份加元期货 合约规定的加元数额为100000加元。单份日元期货合约规定的日元数额为 12500000日元。如果一个交易者在IMM市场购买一份英镑期货合约，根据上面 的最新喊价成交，意味着他如果不在该合约到期前对冲离场，那么，他在交割 日就要支付92087.50美元，而获得62500英镑。相反，如果一个交易者在IMM市 场卖出一份英镑期货合约，根据上面的最新喊价成交，意味着他如果不在该合 约到期前对冲离场，那么，他在交割日就要支付62500英镑，而获得92087.50
第七章 期权交易
第一节 期权交易概述
一、产生与发展
金融期权交易是国际金融创新的一个很显著的方面， 产生的时间很短。
1、产生的原因：
人们需要一种更灵Biblioteka 的防范外汇风险的避险工具。因为 当人们对一笔交易能否实现及实现的时间、数量不确定时， 远期或期货就不能满足其需要。于是期权交易应运而生，因 为可以放弃。如：制造商在欧洲市场上分别用美元和欧元为 其商品标价，他可以获得美元收入或欧元收入，由于其收入 的货币不确定，签订的其他货币套期保值的合约可能不合算， 但也无法放弃。
五、交易所对期权合约的规定 见书P128
六、期权交易市场
（一）场外期权交易市场
1、非标准化 2、交易私下达成，大额交易不会成为“噪音” 3、电话联系 期权费私下协商 4、没有二手市场。中止的方式：到期中止；协商中止；对冲 5、参与者：银行、金融机构、政府部门、投资公司、大 型非金融公司、富人
（二）场内期权交易市场
交易所 规章制度 标准化
七、期权费及影响因素
（一）期权费 亦称权利金，是期权买方为获得买卖商品或金融工具 的选择权利而支付给卖方的费用代价。一般由买方在确 立期权交易时付给卖方。 （二）影响（决定）因素 1、货币汇率的波动性。 较稳定的货币期权费低 2、期权合约的到期时间。 时间越长，期权费越高 3、协议日与到期日的差价（即约定价与市场价的差价） 协议日价<到期日价 买权费高，卖权费低 4、期权供求关系 供>求 费低 供<求 费高
（三）功能
1、投资组合风险管理 3、金融杠杆 2、风险转移 4、获得收益
第七章《外汇期货交易概念和外汇期货交易策略》详解课件
第七章 外汇期货交易
第二节 外汇期货交易策略
一、外汇期货与一般远期外汇交易的异同点
（一）、相同点 1、交易客体都是外汇 2、交易原理相同 3、交易目的相同 4、交易的经济功能相似
第二节 外汇期货交易策略
（二）、不同点
2、交易者不同 3、标的物不同 4、交易方式不同 5、交易场所不同 6、保证金和佣金的制度不同 7、交易的结算制度不同 8、交割方式不同 9、交割期不同
第二节 外汇期货交易策略
2、空头套期保值（Short Hedge）
空头套期保值指在期货市场上先卖出某种货币期货， 然后买进该种货币期货，以抵消现汇汇率下跌而给 持有的外汇债权带来的风险。 当你将处于某种外汇的多头地位时，应当作空头套 期保值（即在期货市场上作空）。 例：见教材P168例。
<一>、标准化的外汇合约 合约的币种、数量、货币的价格波动幅度、交割日期、交割月份、 交割地点都是标准化的，汇率是唯一的变量。 <二>、特殊的交易方式 外汇期货交易只能在期货交易所内通过公开竞价进行 <三>、外汇期货交易是以美圆作为报价货币进行报价的 例：ＧＢＰ１＝ＵＳＤ１.５１５２ ＣＨＦ１＝ＵＳＤ０.６２６５ <四>、保证金制度 初始保证金、可变保证金、维持保证金 <五>、每日结算制度 <六>、期货交易所实行限价制度
（2）做空头
投机者预测某种货币汇率将下跌时，先卖出该货币 的期货合约，然后再买进该种货币的期货合约。 例：见教材P169例。
第二节 外汇期货交易策略
2、外汇期货套利
跨月套利 跨市场套利 跨币种套利
第二节 外汇期货交易策略
（1）跨月套利 投资者买进某一交割月份外汇期货合约 的同时，卖出另一交易月份的同种期货合约， 利用相同币种但交割月份不同的期货合约在 某一交易所的价格差异套期图利。 例：见教材P170例。
外汇期货与期权交易
二、期货市场的结构
买方 卖方
佣金商 (非交易所会员)
场内经纪人 (非清算所会员)
佣金商 (交易所会员)
场内经纪人 (清算所会员)
佣金商 (交易所会员)
场内经纪人 (清算所会员)
佣金商 (非交易所会员)
场内经纪人 (非清算所会员)
(买方) (卖方) (卖方) (买方)
清
算
所
三、外汇期货市场的主要特点
买入对冲
例：某年6月份，美国一进口商预期3个月后支付 货款DM500,000，现汇市场汇率DM1＝＄ 0.50000
时期 6月份 现 汇 市 场 外汇期货市场 市场行情：DM1＝＄0.5000。已 期货行情：DM1＝＄0.5200。购入4份 知9月份将需购入DM500,000， 9月到期的期货合同。 此时成本为＄250,000＝ 0.5000×500,000，担心DM 升值 期货行情：DM1=0.7100。卖出4份9月 市场行情：DM1=＄0.7000。买 入DM500,000，需支付成本＄ 到期的DM期货合同，冲抵原有期货头 350,000＝0.7000×500,000。 寸。 相对6月份的成本，9月份的亏损 冲抵后盈利为 (0.7100为(0.5000-0.7000)×500,000＝-＄ 0.5200)×5000,000=＄95,000 100,000。 -＄100,000＋＄95,000＝－＄5,000
第11讲 外汇期货与期权交 易
本讲概要与学习目标
本讲主要讲述外汇期货交易与期权交易的基本原 理及其运用。通过本讲内容的学习，同学们需 要掌握以下内容： 了解外汇期货交易的概况，掌握外汇期货交易 的作用。 了解外汇期权交易的内容，着重了解期权交易 的作用。
第一节 外汇期货交易
外汇交易复习
第一章外汇和外汇市场广义的外汇：是指以外币表示的可以用作国际清偿的支付手段和资产。
包括1.外国货币：纸币、铸币2.外币支付凭证：票据，银行存款凭证，邮政储蓄凭证3.外币有价证券：政府证券，公司证券，股票4.特别提款权，欧洲货币单位外币的种类：1能否自由兑换：自由外汇，记账外汇2来源和用途：贸易外汇，非贸易外汇3资金实际交付的时间：即期外汇，远期外汇外汇市场参与者：中央银行外汇银行外汇交易员和自营商外汇经纪人外汇的最终需求者和供给者世界主要外汇市场：伦敦，纽约，巴黎，东京，法兰克福，瑞士，新加坡，中国香港第二章：外汇交易产生的原因：为贸易结算而进行的外汇交易为对外投资而进行的外汇交易为外汇保值而进行的外汇交易外汇筹资、借贷和还贷的外汇交易金融投机需要外汇交易因外币存款的需要而进行的外汇交易外汇交易规则：使用统一的标价方法采取以美元为中心的报价方法报价时力求精简交易单位为100万美元客户询价后，银行应有义务报价交易术语规范化交易双方遵守“一言为定”的原则第三章：全球两大电子即时外汇汇率报价系统Reuters （路透系统）和Bridge （桥讯）,显示的外汇汇率报价就是即期汇率即期交易的交割日：标准交割日：T+2隔日叫个：T+1当日交割：T+0即期外汇交易中，报价的最小的单位，市场称基本点，是标价货币最小价格单位的1%，人民币的最小单位是1%元。
除英镑，爱尔兰镑，澳大利亚元和新西兰元单位的汇率报价是采用间接报价法以外，其他可兑换货币的汇率报价均采用直接报价法表示。
汇率的换算：Example1（交叉相除）已知USD1=CHF1.4580/90USD1=CAD1.7320/30求：CHF1=CAD?CHF CAD =4590.17320.1/4580.17330.1=1.1871/1.1886Example2（交叉相乘）已知GBP1=USD1.6550/60USD1=CAD1.7320/30求：GBP1=CAD?CBP CAD =1.7320*1.6550/1.7330*1.6560=2.8665/2.8698 即期外汇交易是指交易双方成交签约后的在两个银行营业日内办理交割的外汇买卖。
外汇期货与期权交易
国际金融与结算实务第二部分市场篇(上)——交易篇6 外汇期货与期权交易国际金融与结算实务能力目标1.能够区分外汇期货与期汇、外汇期货与期权交易；2.能够通过外汇期货或期权交易进行涉外交易项目中的套期保值和投机获取利润的操作；3.能够进行外汇期货和期权交易的实践操作.知识目标1.了解外汇期货与期权交易的内涵和特征；2.明确外汇期货市场的构成与外汇期权交易的类型；3.理解外汇期货与期权交易的程序。
国际金融与结算实务6.1 外汇期货交易6.2 外汇期权交易6.3实操锻炼目录国际金融与结算实务导入实例1.2009年2月26日，美国某出口商预计三个月后需收入英镑62．5万，为了防止将来英镑汇率下跌造成损失，出口商应如何运用期货套期保值交易以防范风险？国际金融与结算实务2.2009年2月26日，我国某进口公司预计三个月后要支付5万美元贷款，现有的外汇是日元，即期汇价是：USD 1 = JPY 96.18若日元升值，该公司可直接在三个月后的即期市场上买入美元；若日元贬值，该公司没有保值措施就会蒙受损失，该公司可以用那些方法规避这个风险？若决定购买一笔看涨期权，金额为5万美元，协定价格为：USD 1 = JPY 96.18到期日为5月26日，期权费为：USD 1 = JPY 0.5000情况一，若期权到期时的即期汇率为：USD 1 = JPY 96.18该公司该怎么做？损益情况如何？情况二，若期权到期时的即期汇率为：USD 1 = JPY 96.50该公司该怎么做？损益情况如何？情况三，若期权到期时的即期汇率为：USD 1 = JPY 96.05该公司该怎么做？损益情况如何？国际金融与结算实务6.1 外汇期货交易6.1.1外汇期货交易的内涵外汇期货也称货币期货，是金融期货交易的一种，是指期货交易者在固定场所内根据规定的交易币种、合约金额、交割时间等标准化的原则买进或卖出远期外汇，再在约定的时间，按约定的币种、价格、数量等进行交割或对冲的一种外汇交易。
期货从业资格考试复习资料7.第七章-外汇衍生品
第七章外汇衍生品第一节外汇远期一、汇率的标价1.直接标价法直接标价法是指以本币表示外币的价格，即以一定单位（1、100或1 000个单位）的外国货币作为标准，折算为一定数额本国货币的标价方法。
2.间接标价法间接标价法是以外币表示本币的价格，即以一定单位（1、100或 1 000个单位）的本国货币作为标准，折算为一定数额外国货币6605方法。
3.美元标价法除了直接标价法和间接标价法之外，还有美元标价法。
在美元标价法下，各国均以一定单位的美元为标准来计算应该汇兑多少他国货币，而非美元外汇买卖时，则是根据各自对美元的比率套算出买卖双方货币的汇价。
4.点值在外汇交易中，某种货币标价变动一个“点”的价值称为点值，是汇率变动的最小单位。
二、远期汇率与升贴水1.即期汇率与远期汇率外汇现汇交易中使用的汇率是即期汇率，即交易双方在交易后两个营业日以内办理交割所使用的汇率，而外汇远期交易中使用的汇率是远期汇率，即交易双方事先约定的，在未来一定日期进行外汇交割的汇率。
2.升贴水一种货币的远期汇率高于即期汇率称之为升水，又称远期升水。
相反，一种货币的远期汇率低于即期汇率称之为贴水，又称远期贴水。
如果用百分比表示，则更能清晰地反映出两种货币升水或贴水的程度，其计算公式为：升（贴）水=（远期汇率-即期汇率）/即期汇率×（12/月数）三、外汇远期交易（一）外汇远期交易的概念外汇远期交易指交易双方以约定的币种金额汇率，在未来某一约定的日期交割的外汇交易。
（二）外汇远期交易通常应用1.进出口商通过锁定外汇远期汇率以规避汇率风险2.短期投资者或外汇债务承担者通过外汇远期交易规避汇率风险第二节外汇期货一、外汇期货套期保值外汇期货套期保值可分为卖出套期保值、买入套期保值和交叉套期保值。
1.卖出套期保值（1）概念外汇期货卖出套期保值（Short Hedging），又称外汇期货空头套期保值，是指在现汇市场上处于多头地位的交易者为防止汇率下跌，在外汇期货市场上卖出期货合约对冲现货的价格风险。
第七章外汇期货和期权PPT课件
E
ST
ST E ST – E
E
ST
ST E 时，A、 B两种方式都得到 ST
ST E 时，投资组
合A的收益（E） 大于B（ ST ）
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欧式期权定价关系
如此，可以得到，投资组合A的价格至少和B一样高 则：
同理也可得到看跌期权的定价：
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二项式期权定价模型
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逐日结算
保证金：如果投资者的账户余额低于 维持保证金水平，就必须存入相应金 额使得账户余额达到初始保证金水平， 否则他的账户将被强行平仓。
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逐日结算
期货合约：
前三天期货合约的结算价、投资者的利得及账户余 额如下
日期 1 2 3
结算价 $1.31 $1.30 $1.27
利得 $1,250 –$1,250 –$3,750
账户余额 $ 7750 $6,500 $2750
第三天，投资者若想保住其账户头寸，需再存入
$3,750
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逐日结算
接下来两天，情况如下：
日期 1 2 3 4 5
结算价 $1.31 $1.30 $1.27 $1.26 $1.24
利得 $1,250 –$1,250 –$3,750 –$1,250 –$2,500
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期权到期时的基本定价关系
期权到期 时的价格若 在价内，则
获利ST – E。
若在价外， 则净损失c0
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期权到期时的基本定价关系
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国际金融-掉期交易、期货、期权
买卖双方均与清算所有合同责任关系，而双方无直接合同责任关系
买卖双方签有合同，具有合同责任关系
foreign exchange future
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不同点
外 汇 期 货
远 期 外 汇
是否收取手 续费不同
每一标准合同，清算所收一定的手续费。
银行不收手续费
是否直接成交与 收取佣金不同
是否交存保 证金不同
须交存保证金，清算所实行每日无债结算制，按收市结算价对每笔交易的多头方和空头方盈亏结算，保证金多退少补，形成现金流.
远期外汇交易在合同到期交割前无现金流，双方仅负履约责任.
是否需要了解对方的资信不同
双方无须了解对方资信情况，只要交足保证金，信用风险由清算所承担。
双方（尤其是银行对一般客户），在开始交易前须作资信调查，自行承担信用风险。
虽有部分通过经纪人牵线而成，但最终是由交易各方通过电话.电传和电脑直接商谈成交的。
报价内容 不同
买方或卖方只报出一种价格，买方报买价，卖方报卖价。
双向报价，既报 买价也报卖价
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外 汇 期 货
不同点
远 期 外 汇
有无统一的标 准化规定不同
对交易的货币.合同面额和交割日期都有统一的标准
对货币交易量和 到期交割日都可议定
Foreign Exchange Option
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期权业务下的保险费不能收回； 期权业务保险费费率不固定； 外汇期权是一种选择的权利，而不是义务。
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外汇期权的特点
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三、外汇期权类型
外汇期权
看涨期权 看跌期权
按期权性质
按行使期权时间分
欧式期权 美式期权
Foreign Exchange Option