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1、ChapterOutline 25 1ForwardContracts25 2FuturesContracts25 3Hedging25 4InterestRateFuturesContracts25 5DurationHedging25 6SwapContracts25 7ActualUseofDerivatives25 8Summary Conclusions 25 1ForwardContracts Aforwardcontractspecifiesthatacertaincommoditywillbeexchangedforanotherataspecifiedtimeinthefut
2、ureatpricesspecifiedtoday Itsnotanoption bothpartiesareexpectedtoholduptheirendofthedeal Ifyouhaveeverorderedatextbookthatwasnotinstock youhaveenteredintoaforwardcontract 25 2FuturesContracts Preliminaries Afuturescontractislikeaforwardcontract Itspecifiesthatacertaincommoditywillbeexchangedforanoth
3、erataspecifiedtimeinthefutureatpricesspecifiedtoday Afuturescontractisdifferentfromaforward Futuresarestandardizedcontractstradingonorganizedexchangeswithdailyresettlement markingtomarket throughaclearinghouse FuturesContracts Preliminaries StandardizingFeatures ContractSizeDeliveryMonthDailyresettl
4、ementMinimizesthechanceofdefaultInitialMarginAbout4 ofcontractvalue cashorT billsheldinastreetnameatyourbrokerage DailyResettlement AnExample Supposeyouwanttospeculateonariseinthe exchangerate specificallyyouthinkthatthedollarwillappreciate Currently 1 140 The3 monthforwardpriceis 1 150 DailyResettl
5、ement AnExample Currently 1 140anditappearsthatthedollarisstrengthening Ifyouenterintoa3 monthfuturescontracttosell attherateof 1 150youwillmakemoneyiftheyendepreciates Thecontractsizeis 12 500 000Yourinitialmarginis4 ofthecontractvalue DailyResettlement AnExample Iftomorrow thefuturesrateclosesat 1
6、 149 thenyourposition svaluedrops Youroriginalagreementwastosell 12 500 000andreceive 83 333 33 Youhavelost 559 28overnight But 12 500 000isnowworth 83 892 62 DailyResettlement AnExample The 559 28comesoutofyour 3 333 33marginaccount leaving 2 774 05Thisisshortofthe 3 355 70requiredforanewposition Y
7、ourbrokerwillletyouslideuntilyourunthroughyourmaintenancemargin Thenyoumustpostadditionalfundsoryourpositionwillbeclosedout Thisisusuallydonewithareversingtrade SelectedFuturesContracts FuturesMarkets TheChicagoMercantileExchange CME isbyfarthelargest Othersinclude ThePhiladelphiaBoardofTrade PBOT T
8、heMidAmericaCommoditiesExchangeTheTokyoInternationalFinancialFuturesExchangeTheLondonInternationalFinancialFuturesExchange TheChicagoMercantileExchange Expirycycle March June September December Deliverydate3rdWednesdayofdeliverymonth Lasttradingdayisthesecondbusinessdayprecedingthedeliveryday CMEhou
9、rs7 20a m to2 00p m CST CMEAfterHours Extended hourstradingonGLOBEXrunsfrom2 30p m to4 00p mdinnerbreakandthenbackatitfrom6 00p m to6 00a m CST SingaporeInternationalMonetaryExchange SIMEX offerinterchangeablecontracts There sothermarkets butnoneareclosetoCMEandSIMEXtradingvolume WallStreetJournalFu
10、turesPriceQuotes Expirymonth Openingprice Highestpricethatday Lowestpricethatday Closingprice DailyChange Highestandlowestpricesoverthelifetimeofthecontract Numberofopencontracts BasicCurrencyFuturesRelationships OpenInterestreferstothenumberofcontractsoutstandingforaparticulardeliverymonth Openinte
11、restisagoodproxyfordemandforacontract Somerefertoopeninterestasthedepthofthemarket Thebreadthofthemarketwouldbehowmanydifferentcontracts expirymonth currency areoutstanding 25 3Hedging Twocounterpartieswithoffsettingriskscaneliminaterisk Forexample ifawheatfarmerandaflourmillenterintoaforwardcontrac
12、t theycaneliminatetheriskeachotherfacesregardingthefuturepriceofwheat Hedgerscanalsotransferpricerisktospeculatorsandspeculatorsabsorbpriceriskfromhedgers Speculating Longvs Short HedgingandSpeculatingExample Youspeculatethatcopperwillgoupinprice soyougolong10coppercontractsfordeliveryin3months Acon
13、tractis25 000poundsincentsperpoundandisat 0 70perpoundor 17 500percontract Iffuturespricesriseby5cents youwillgain Gain 25 000 05 10 12 500Ifpricesdecreaseby5cents yourlossis Loss 25 000 05 10 12 500 Hedging Howmanycontacts Youareafarmerandyouwillharvest50 000bushelsofcornin3months Youwanttohedgeaga
14、instapricedecrease Cornisquotedincentsperbushelat5 000bushelspercontract Itiscurrentlyat 2 30centsforacontract3monthsoutandthespotpriceis 2 05 Tohedgeyouwillsell10cornfuturescontracts Nowyoucanquitworryingaboutthepriceofcornandgetbacktoworryingabouttheweather 25 4InterestRateFuturesContracts Pricing
15、ofTreasuryBondsPricingofForwardContractsFuturesContractsHedginginInterestRateFutures PricingofTreasuryBonds ConsideraTreasurybondthatpaysasemiannualcouponof CforthenextTyears Theyieldtomaturityisr ValueoftheT bondunderaflattermstructure PVoffacevalue PVofcouponpayments PricingofTreasuryBonds Ifthete
16、rmstructureofinterestratesisnotflat thenweneedtodiscountthepaymentsatdifferentratesdependinguponmaturity PVoffacevalue PVofcouponpayments PricingofForwardContracts AnN periodforwardcontractonthatT Bond Canbevaluedasthepresentvalueoftheforwardprice FuturesContracts Thepricingequationgivenabovewillbeagoodapproximation Theonlyrealdifferenceisthedailyresettlement HedginginInterestRateFutures Amortgagelenderwhohasagreedtoloanmoneyinthefutureatpricessettodaycanhedgebysellingthosemortgagesforward Itmay
