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1、1 Chapter14 Forward FuturesPrices Copyright PrenticeHallInc 2000 Author NickBagley bdellaSoft Inc ObjectiveHowtopriceforwardandfuturesStorageofcommoditiesCostofcarryUnderstandingfinancialfutures 2 Chapter14 Contents 1DistinctionBetweenForward FuturesContracts2TheEconomicFunctionofFuturesMarkets3TheR
2、oleofSpeculators4RelationshipBetweenCommoditySpot FuturesPrices5ExtractingInformationfromCommodityFuturesPrices6Spot FuturesPriceParityforGold7FinancialFutures 8The Implied Risk FreeRate9TheForwardPriceisnotaForecastoftheSpotPrice10Forward SpotParitywithCashPayouts11 Implied Dividends12TheForeignExc
3、hangeParityRelation13TheRoleofExpectationsinDeterminingExchangeRates 3 Terms Open High Low Settle Change Lifetimehigh Lifetimelow OpeninterestMark to marketMarginrequirementMargincall 4 CharacteristicsofFutures Futuresare standardcontractsimmunefromthecreditworthinessofbuyerandsellerbecauseexchanges
4、tandsbetweentraderscontractsmarkedtomarketdailymarginrequirements 5 Spot FuturesPriceParityforGold TherearetwowaystoinvestingoldbuyanounceofgoldatS0 storeitforayearatastoragecostof h S0 andsellitforS1investS0ina1 yearT billwithreturnrf andpurchasea1 ounceofgoldforward F fordeliveryin1 year 6 Spot Fu
5、turesPriceParityforGold AcontractwithlifeT Thisisnotacausalrelationship buttheforwardandcurrentspotjointlydeterminethemarketIfweknowone thentheruleofonemarketdeterminesthatweknowtheother 7 RuleofOnePrice NoArbitrageProfits PurchaseActualAu SellT Bill SellAuForward SellActualAu SettleT Bill SettleAuF
6、orward Au Gold 8 ImpliedCostofCarry Asaconsequenceoftheforward spotpriceparityrelationship youcan textractinformationabouttheexpectedfuturespotpriceofgold unlikeonewheatcase fromfuturespricesTheimpliedcostofcarry per spot ish F S0 S0 rf 9 FinancialFutures Withnostoragecost therelationshipbetweenthef
7、orwardandthespotisAnydeviationfromthiswillresultinanarbitrageopportunity 10 14 8The Implied Risk FreeRate Rearrangingtheformula theimpliedinterestrateonaforwardgiventhespotisThisisreminiscentoftheformulafortheinterestrateonadiscountbond 11 14 9TheForwardPriceisnotaForecastoftheSpotPrice Followingthe
8、diagramsinChapter12wemightsupposethattheexpectedpriceofastockisIfthisisindeedcorrect thentheforwardpriceisnotanindicatoroftheexpectedspotpriceatthematurityoftheforward 12 Forward SpotParitywithCashPayouts TheS0 FrelationshipbecomesNote forwardprice thespotprice if D rS BecauseDisnotknownwithcertaint
9、y thisisaquasi arbitragesituation 13 14 11 Implied Dividends Fromthelastslide wemayobtaintheimplieddividend ExchangeRateExample 15000 Borrowed 15450 15450 Repaid 100 Invested 109 Matures Time 3 direct 3 150 9 Forward Japan U K 15 TheForeignExchangeParityRelation WeusedthediagramtoshowthatRecallthereisatimestructureofinterest andtheappropriateriskfreerateshouldbeused
