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1、. .期权、期货和其他衍生品Chapter 1 第一章What is a Derivative? 什么是衍生品A derivative is an instrument whose value depends on, or is derived from, the value of another asset.衍生品是一种金融工具,其价值取决于衍生于其他资产的价值。Derivativesvs Primary Assets衍生品vs初级资产标的资产Primary Assets 初级资产Stocks 股票Fixed ine 固定收益利率Foreign exchanges 外汇Loans 贷款Cor
2、porate bonds 公司债券Mortgages 住房抵押贷款modities 大宗商品Real Estate 房地产.What is a Derivative? 什么是衍生品modity futures 商品期货日本江户幕府时代,美国CBOT 1865Index futures 指数期货美国1982年KCBT,CMEForwards远期合约(美国CBOT1848)Options期权(18世纪,美国CBOE1973)Swaps 互换掉期美国1980s SwensenExotics 奇异期权(1980s)Credit derivatives 信用衍生品(1990s)CMO, CLO, CDO
3、, CDS, CDX, CMBS Why Derivatives Are Important为什么衍生品很重要?Derivatives play a key role in transferring risks in the economy 转移经济活动中的风险Price discovery 价格发现The underlying assets include stocks, currencies, interest rates, modities, debt instruments, electricity, insurance payouts, the weather, etc标的资产可以是
4、股票,货币,利率,商品,债务,电力,保险支付金,天气等等。Anything!Many financial transactions have embedded derivatives许多金融交易和金融业务中都包含了衍生品The real options approach to assessing capital investment decisions has bee widely accepted利用实物期权的方法评价投资决策已经被广泛使用How Derivatives Are Traded衍生品如何交易On exchanges such as the Chicago Board Optio
5、ns Exchange交易所:如CBOE(芝加哥期权交易所)In the over-the-counter (OTC) market where traders working for banks, fund managers and corporate treasurers contact each other directly场外交易市场OTC:代表银行、基金经理、公司财务主管的交易员们直接进展交易Size of OTC and Exchange-Traded Markets场外市场和交易所衍生品交易规模The Lehman Bankruptcy雷曼兄弟公司破产Lehmans filed
6、for bankruptcy on September 15, 2021. This was the biggest bankruptcy in US history雷曼公司在2021年9月15日申请破产这是美国历史上最大的破产案,负债6130亿美元It had hundreds of thousands of transactions outstanding with about 8,000 counterparties此时,它上有成千上百个未完成的交易,涉及约8000个交易对手Lehman was an active participant in the OTC derivatives m
7、arkets and got into financial difficulties because it took high risks and found it was unable to roll over its short term funding雷曼是场外衍生品市场中活泼的参与者,后由于过高风险交易而致使短期资金周转困难,陷入财政困境Unwinding these transactions has been challenging for both the Lehman liquidators and their counterparties 解决这些交易,无论对雷曼的清算人员还是
8、他们的对手,都十分棘手How Derivatives are Used衍生品用途To hedge risks 对冲风险To speculate (take a view on the future direction of the market)投机预测市场未来走向To lock in an arbitrage profit 锁定套利获益To change the nature of a liability改变债务性质To change the nature of an investment without incurring the costs of selling one portfoli
9、o and buying another不需引起买卖证券组合,即可改变投资性质Foreign Exchange Quotes for GBP 英镑外汇报价2021.5.24BidOfferSpot 现货1.44071.44111-month forward一个月远期价格1.44081.44133-month forward1.44101.44156-month forward1.44161.4422Forward Price 远期价格远期合约是双方签订的将来某一时刻以预定的价格交易某一资产的合约。该约定价格称作远期价格。The forward price for a contract is t
10、he delivery price that would be applicable to the contract if were negotiated today (i.e., it is the delivery price that would make the contract worth exactly zero)远期价格指合约在被签订时,令合约双方都同意,都不用向对手付钱的未来交割价格零本钱进入合约The forward price may be different for contracts of different maturities (as shown by the ta
11、ble)不同期限的合约,远期价格可能不同Terminology 术语The party that has agreed to buy has what is termed a long position同意在未来某一时刻以某个价格买入的一方称为长头寸多头The party that has agreed to sell has what is termed a short position同意在未来某一时刻以某个价格卖出的一方称为短头寸空头Example (page 5) 例子On May 24, 2021 the treasurer of a corporation enters into
12、a long forward contract to buy 1 million in six months at an exchange rate of 1.44222021年5月24日,公司财务主管以1.4422的汇率,进入六个月、一百万英镑的远期合约多头寸This obligates the corporation to pay $1,442,200 for 1 million on November 24, 2021合约要求公司于2021年12月24日以1442200美元的价格购得一百万英镑What are the possible outes?可能的结果有哪些?Profit from
13、 a Long Forward Position (K= delivery price=forward price at time contract is entered into)远期合约多头利润KProfitPrice of Underlying at Maturity, STProfit from a Short Forward Position(K= delivery price=forward price at time contract is entered into)远期合约空头利润KProfitPrice of Underlying at Maturity, STFutures
14、 Contracts 期货合约Agreement to buy or sell an asset for a certain price at a certain time同意在指定时刻以指定价格买/卖某种资产Similar to forward contract与远期合约类似Whereas a forward contract is traded OTC, a futures contract is traded on an exchange不同的是,远期合约为场外交易,期货合约在交易所交易Exchanges Trading Futures期货交易所CME Group (formerly C
15、hicago Mercantile Exchange and Chicago Board of Trade)芝加哥商品交易所集团前芝加哥交易所与芝加哥商品交易所NYSE Euronext 纽约-泛欧交易所集团BM&F (Sao Paulo, Brazil)巴西商品和期货交易所位于巴西圣保罗TIFFE (Tokyo) 东京国际金融期货交易所CFFE Shanghai中国金融期货交易所Examples of Futures Contracts期货合约例子Agreement to: 约定:Buy 100 oz. of gold US$1400/oz. in December 以每盎司1400美元的价格购入12月到期的黄金100盎司Sell 62,500 1.4500 US$/ in March以每英镑1.45美元的价