国际投资期末复习

Chapter1汇率标价1、DirectExchangeQuotations直接标价法F:DAdirectexchangerateisthedomesticpriceofforeigncurrency.Forexample,anAmericaninvestorseeingadirectquote€:$=1.34knowsshe/hewillpay$1.34foroneeuro.ToaEuropeaninvestor,thedirectquoteis$:€=0.75whichsaysthat1dollar(foreigncurrency)isworth0.75euro.IndirectExchangeQuotations间接标价法D:FAnindirectexchangerateistheamountofforeigncurrencythatoneunitofdomesticcurrencywillpurchase.ForanAmericaninvestor,theindirectquote$:€=0.75saysthat1dollarwillpurchase0.75euro.ToaEuropeaninvestor,theindirectquoteis€:$=1.34whichsaysthat1euroisworth1.34dollar.CrossRateCalculations套算汇率3、Acrossrateistheexchangeratebetweentwocountriesinferredfromeachcountry’sexchangeratewithathirdcountry.Forexample,bankAgivesthefollowingquotations:€:$=1.3364$:¥=123.52。Calculatetheeuroinyen(€:¥)rate:(€:$)*($:¥)=1.3364*123.52=165.07Theresultingquotationis:€:¥=165.07.Oneeuroisworth165.07yen外汇市场标价惯例4、Theinternationalcurrencymarkethastwomaincomponents:AworldwideForexmarketbetweenmajorbanksandspecializedcurrencydealers.Thisisawholesaleinterbankmarketforlargetransactions.ItisanOTCmarket,bytelephoneandelectronictradingplatforms,wheretradingtakesplace24hoursaday,5daysaweek.Itisthelargestandmostliquidfinancialmarketintheworld.银行间大宗交易的“批发”市场Aretailmarketwhereinvestorsandcorporationsdealwithlocalbanks.“零售”市场Noneedtoquotebothadirectandindirectrate,e.g.both$:€and€:$.没有必要在市场中同时维持欧元兑美元和美元兑欧元的标价HistorymostlydictatestheexchangeratedirectionthatisselectedNotallexchangeratesaretraded.并不是所有的货币都有汇率交易Forexquotesalwaysincludeabidpriceandanaskprice(orofferprice),andthereisnocommissionorfeeaddedonatrade.外汇标价通常包括一个买入价和一个卖出价，一笔交易中不存在佣金和手续费。Example:Adealerprovidesthefollowingquoteforthe$:¥(valueofthedollarinyen):$:¥=120.17–120.19Thedealerwillbuydollarsatapriceof120.17yenperdollar,andwillselldollarsatapriceof120.19yenperdollar.Bid-AskQuotes买入-卖出标价Bidprice:theexchangerateatwhichthedealeriswillingtobuythequotedcurrencyinexchangeforthesecondcurrency.Ask(offer)price:theexchangerateatwhichthedealeriswillingtosellthequotedcurrencyinexchangeforthesecondcurrency.Midpointprice：theaverageofthebidandaskprice.=(ask+bid)/212、€:$=1.3015–1.3019.Thespreadequals4pips.13、the$:¥quoteof$:¥=150.51–152.52，isequivalenttoa¥:$quoteof:¥:$=0.00655–0.00664Arbitrage套利14、Considerthefollowingthreebankseachprovidinga$:¥quote:BankABankBBankC122.25-35122.40-45122.25-45Doesanarbitrageopportunityexist?OnecouldbuydollarsfromBankAfor122.35yenperdollarandsimultaneouslysellthemtoBankBfor122.40yenperdollar.ForwardRates远期标价15、Spotratesarequotedforimmediatecurrencytransactions（takesplace48hourslater).即期汇率16、Forwardexchangeratesarecontractedtodaybutwithdeliveryandsettlementinthefuture.远期汇率17、Ifthe3monthforwardexchangerateis€:$=1.23778andthespotrateis€:$=1.2500,calculatetheforwardpremium/discount.S:SpotrateF:forwardrates=a:b(F-S)/S=(ra-rb)/(1+ra)F/S=(1+rb)/(1+ra)19、Spotrate=$:€=1.05U.S.interestrate=1.76%Eurointerestrate=3.39%Whatistheforwardpremium(discount)?(F-S)/S=(ra-rb)/(1+ra)=（0.0339-0.0176）/1.0176=1.6%20、Spotrate=$:€=1.058。Annualriskfreeinterestrate(3-monthmaturity)U.S.=1.76Euro=3.39%Whatisthethree-monthforwardexchangerate?F=(1+rb)/(1+ra)*S=1.058*(1+0.0339/4)/(1+0.0176/4)=1.0623Chapter2SupplyandDemandforForeignExchange外汇的供给与需求Ingeneral,therearemanytypesoftransactionsthataffectthedemandandsupplyofonenationalcurrency.（excesssupplyofeuros）BalanceofPayments国际收支Theconventionistotreatallinflowsasacredit(贷方）tothebalanceofpayments.CurrentAccount经常账户（Coversallcurrenttransactionsthattakeplaceinthenormalbusinessofresidentsofacountry.）：Exportsandimports(tradebalance)，Services，Income（投资、股利、各种跨境收入），Currenttransfers（礼品及其他流动没有报偿补偿）FinancialAccount金融账户（Coversinvestmentsbyresidentsabroadandinvestmentsbynonresidentsinthehomecountry）：Directinvestmentmadebycompanies，Portfolioinvestmentsinequity,bondsandothersecuritiesofanymaturity，Otherinvestmentsandliabilities（对外国银行的存款和借款）CA+FA=0Question:Whatiftheoverallbalanceisnegative?Answer:Thecentralbankcanuseuppartofitsreservestorestoreazerobalance.Acurrentaccountdeficitisoffsetbyafinancialaccountsurplus.经常账户赤字会被金融账户盈余所抵消Tobesustained,acurrentaccountdeficitmustbefinancedbyafinancialaccountsurplus.Currentaccountdeficitisabadeconomicsignalornot?经常账户赤字是一个不好的经济信号吗?No.Acurrentaccountdeficitissometimescausedbyeconomicgrowth.Whenacountrygrowsfasterthanitstradingpartners,itwillattractsforeigninvestment.Thiscapitalinflowprovidesnaturalfinancingforthecurrentaccountdeficit.Thedepreciationpressuresfromthecurrentaccountdeficitarebalancedbytheappreciationpressuresfromthefinancialaccountsurplus.Isalargecurrentaccountdeficitsustainable?巨额的经常账户赤字是可持续的吗?Alargecurrentaccountdeficitcanbesustainedifnonresidentarewillingtofinanceitcontinuously.Aslongasacountryoffersattractingadditionalinvestmentopportunitiesandastable“investmentclimate”,itcankeepattractingadditionalfinancialflows.InternationalParityRelations国际平价关系Interestrateparityistherelationthattheforwarddiscount(premium)equalstheinterestratedifferentialbetweentwocurrencies.Exactrelation精确关系：F/S=(1+rFC)/(1+rDC)Linearapproximation线性估算：ƒ=F/S-1=rFC-rDCSupposethatFranceisthedomesticcountryandtheU.S.istheforeigncountry.ThespotexchangeratequoteisS=1.3$.SupposefurtherthattheU.S.risk-freeinterestrateis9%andtheFrenchrisk-freeinterestrateis12%.Calculatetheforwardrateandtheforwarddiscount.Withthedomesticcurrencyquote,wehaveS=DC:FC=1.3Usingequation:F/S=(1+rFC)/(1+rDC),F/1.3=(1+0.09)/(1+0.12)Wehave:F=1.2652,1euro=1.2652$,1.2652$pereuroForalinearapproximationequation,ƒ=F/S-1=rFC-rDCWehaveƒ=9%-12%=-3%,theforwarddiscountis–3%Therefore,wehavetheforwarddiscountis-3%,andtheforwardrateF=1.2,1.2$pereuro.PurchasingPowerParity(PPP)Relation购买力平价：汇率与通货膨胀差inflationandexchangeratemovementsThelawofoneprice（一价定律），ThetheoryofPPPisbasedonthelawofoneprice.Thelawofonepricestatesthatidenticalcommoditiesorgoodsmusthavethesamepriceinallthemarkets.RelativePPPclaimsthatthepercentagemovementoftheexchangerateshouldbeequaltotheinflationdifferentialbetweenthetwoeconomies.Exactrelation:S1/S0=(1+IFC)/(1+IDC)Linearapproximation：s=S1/S0–1=IFC-IDCPPPsaysthatwhatyougainwithlowerdomesticinflation,youcanexpecttoloseonforeignmarket.InternationalFisherRelation国际费雪关系：利率与预期通货膨胀差Theinterestratesusedinday-to-dayfinancialtransactionsarenominalinterestrates.名义=实际+通胀费雪thattheinterestratedifferentialbetweentwocountriesshouldbeequaltotheexpectedinflationratedifferentialoverthetermoftheinterestrate.Exact：(1+rFC)/(1+rDC)=(1+E(IFC)/(1+E(IDC)Linearapproximation：rFC–rDC=E(IFC)-E(IDC)Chapter3PeggedExchangeRates钉住汇率1、anenlargementofinternationalreserves，thedesignofstablebutadjustableexchangerates.扩大国际储备，稳定但可调汇率的设计。2、TheCurrentSituation:FloatingandPeggedExchangeRates：Underthecurrentsystem,thepriceofeachcurrencyisfreelydeterminedbymarketforces.Exchangeratesfluctuateaccordingtosupplyanddemand.3、HasHongKongformallyadoptedacurrencyboard?HongKongdidnotformallyadoptacurrencyboard.Instead,itannouncedatotalcommitmenttomaintainaparityoftheHKdollarwiththeU.S.dollarwithinthebandof7.75–7.85HK$/U.S$.TheHongKongMonetaryAuthoritystandsreadytouseitsreservestodefendthefixedrate,despitepressuresbroughtbytheappreciationoftheChineseYuan.本港并未正式采取货币委员会。相反，它宣布了一个总的承诺，保持平价的港元与美元在7.75–7.85港元。本港金融管理局随时准备利用其外汇储备，以捍卫固定汇率，尽管人民币升值带来的压力。TheEuro4、AsofJanuary1,1999theeurowasintroducedforallofficialandinter-banktransactions,aswellasforsecuritiesquotationsandtransactions.OnJanuary1,2002,eurobanknoteswereintroducedandallformerlegacycurrenciesceasedtoexist.（Denmark、Sweden、UnitedKing）（ECBestablishedinFrankfurt）TheEurocountriesin2007include:Austria,Belgium,Finland,France,Germany,Greece,Ireland,Italy,Luxembourg,Netherlands,Portugal,SpainandSlovenia.奥地利、比利时、芬兰、法国、德国、希腊、爱尔兰、意大利、卢森堡、荷兰、葡萄牙、西班牙和斯洛文尼亚。（27个成员国，13个欧元区国）TheEmpiricalEvidenceByarbitrage,IRPmustholdforallmajorinvestmentcurrencies(free/deregulated).（自由流动、无限资金）Somecountries,especiallydevelopingones,stillimposevariousformsofcapitalcontrolsandtaxesthatimpedearbitrage.Furthermore,somesmallercurrenciescanbeborrowedandlentonlydomestically,anddomesticmoneymarketsareoftensubjecttopoliticalriskandvarioustypesofcostlyregulationsandcontrols.一些国家，特别是发展中国家，仍实行各种形式的资本管制和税收，阻碍套利。此外，一些较小的货币可以借，仅在国内，国内货币市场往往受到政治风险和各种类型的昂贵的法规和控制。6、TheInternationalFisherrelationdoesnotdirectlyinvolvetheexchangerate.Thequestionraisediswhetherrealinterestratesareequalamongcountries.Realinterestratestendtomoveupanddowntogetherworldwideasafunctionoftheworldbusinesscycle.Becausenationalbusinesscyclesarenotfullysynchronized,however,significantdifferencesinrealinterestratescanexistinanytimeperiod.Aninvestmentstrategythattakesadvantageofsuchdeviationsfromparitywouldbetoinvestinhigh-interest-ratecurrencies.在全球范围内，实际利率趋向于将全球范围内的商业周期作为一个功能来移动和下跌。因为国家的商业周期是不完全同步的，但是，在任何时间周期中，实际利率的显著差异。投资于高利率货币，是一种利用这种偏离平价的投资策略。PPPisconsideredapoorexplanationforshorttermexchangeratemovements,andhenceforexchangeratevolatility.However,PPPtendstoholdsquitewellinthelongrun.购买力平价对于短期汇率变化不是很好，因此对汇率波动的解释力也比较差，但是从长期来看，购买力关系能够较好的成立。ThereareseveralexplanationsofwhyPPPisnotverifiedintheshortrun:Themeasurementofaninflationrateisquestionable.Transfercosts,importtaxesandrestrictionsandexportsubsidiesmaynotallowarbitrageinthegoodsmarketstorestorePPP.Manyfactorsotherthaninflationinfluenceexchangerates.衡量的通货膨胀率是值得怀疑的。转移成本，进口税和限制和出口补贴可能不允许套利在商品市场，以恢复购买力平价。通货膨胀以外的许多因素影响汇率。Chapter4EfficientMarketHypothesis：EMH有效市场假说1、Inanefficientmarket,anynewinformationwouldbeimmediatelyandfullyreflectedinprices.Inanefficientmarket,thetypicalinvestorcouldconsideranassetpricetoreflectitstruefundamentalvalueatalltimes.Thegeneralconsensusisthatindividualmarketsacrosstheworldarequiteefficient.在一个有效的市场中，任何新的信息都会立即得到充分的反映在价格上。在一个有效的市场，在任何时候典型的投资者可以考虑资产价格，以反映其真正的基本价值。普遍的共识是，整个世界的个人市场都相当有效。IntegrationVSSegmentation一体化VS市场分割2、Internationalmarketsareintegratediftheyareefficientinthesensethatsecuritieswiththesameriskcharacteristicshavethesameexpectedreturnwhereverintheworldtheyaretraded.Anintegratedworldfinancialmarketwouldachieveinternationalefficiency,inthesensethatcapitalflowsacrossmarketswouldinstantaneouslytakeadvantageofanynewinformationthroughouttheworld.Mostdevelopedmarketsareconsideredtobeintegrated.国际市场是一体化的如果他们是有效的，也就是说，无论在哪里交易，具有相同的风险特征的证券具有相同的预期回报。一体化的国际金融市场将会产生国际有效性，即世界市场的流动资本将会同步利用任何新消息获利。大多数发达市场被认为是一体化的。Internationalmarketsareconsideredtobesegmentediftheyareinefficientinthesensethatsecuritieswiththesameriskcharacteristicssellatdifferentexchangerateadjustedpricesindifferentcountries,thusviolatingthelawofoneprice.如果国际市场不有效，就被认为是分割的，即具有相同的风险特征的证券在不同国家有不同价格，因此违反了一价定律。ImpedimentstoCapitalMobility资本流动的障碍Psychologicalbarriers心理障碍：Unfamiliaritywithforeignmarket,language,sourcesofinformation,andsoonmightcurtail(缩减)foreigninvestment..Legalrestrictions.法律约束：Institutionalinvestorsareoftenconstrainedintheirforeigninvestment..Transactioncosts.交易成本：Thecostofforeigninvestmentcanbehighthanfordomesticinvestment..Discriminatorytaxation.差别征税：Foreigninvestmentmightbemoreheavilytaxedthandomesticinvestment..Politicalrisks政治风险：Thepoliticalrisksofforeigninvestmentmightdampenenthusiasmforinternationaldiversification.外国投资的政治风险可能会挫伤国际投资的积极性。Foreigncurrencyrisks.外汇风险：Foreigninvestmentbeartheunexpectedchangesintheforeignexchangerate.Segmentationtendstobemoreapparentwithemergingmarkets.Theflowofforeigninvestmenthasgrownrapidlyovertheyears;thus,itdoesnotseemthattheinternationalmarketsarefullysegmented.DomesticCapitalAssetPricingModel（CAPM）AssumptionsofStandardCAPM(5个假设）Investorscareaboutriskandreturn,andtheypreferlessrisk&moreexpectedreturn;Allinvestorsagreeabouttheexpectedreturnandriskofallassets;Investorscareaboutnominalreturnsintheirdomesticcurrency;Arisk-freeinterestrateexists,Borrowingandlendingattherisk-freerateispossible;Notransactionscostsortaxes.SeparationTheorem;Whenrisk-freeborrowingandlendingarepossible,everyoneshouldholdthesameportfolioofriskyassets,andtheoptimalcombinationofriskyassetscanbeseparatedfromtheinvestor’spreferencestowardriskandreturn.Allinvestorsshouldholdacombinationoftherisk-freeassetandthemarketportfolio.分离定律：在无风险借贷是可能的，每个人都应该持有相同组合的风险资产，最优的风险投资组合，应该与投资者对于风险的偏好分离。所有投资者都应该持有无风险资产和市场组合。（无风险市场的组合是国内市场组合）TheApplicationofCAPM；AssetValuation资产估值，ResourceAllocation资源配置（BullMarkets:higherβBearMarkets:lowerβ）ThedomesticCAPMextensioncanbejustifiedonlywiththeadditionoftwounreasonableassumptions:Investorsthroughouttheworldhaveidenticalconsumptionbaskets.Realpricesofconsumptiongoodsareidenticalineverycountry.Inotherwords,PPPholdsexactlyatanypointintime.国内CAPM只能通过添加两个不太合理的假设才能适用于世界市场；全世界的投资者都有相同的消费篮子。每个国家的消费品的实际价格是相同的。换句话说，购买力平价在任何时候都成立。Withdirectrates,therealexchangerateisthenominalexchangeratetimestheratiooftheforeignpriceleveltothedomesticpricelevel.X=S*(PFC/PDC)Xistherealexchangerate，真实汇率；Sisthenominalexchangerate，名义汇率；PFCistheforeigncountrypricelevel，外国物价水平；PDCisthedomesticcountrypricelevel；国内物价水平11、Theone-yearrisk-freeinterestratesare6%inDCand3%inFC.TheexpectedexchangerateappreciationofFC4%.Whatistheforeigncurrencyriskpremium?Solution:ICAPMSeparationTheorem；theoptimalinvestmentstrategyforanyinvestorisacombinationoftwoportfolios:Therisk–freeassetintheirowncurrency;Theworldmarketportfoliooptimallyhedgedagainstforeigncurrencyrisk.任何投资者的最优投资策略，都是组合的投资组合的结合：所有投资者共有的风险组合；用来降低购买力风险的个人对冲组合。ICAPM:Risk-PricingRelation：E(Ri)=R0+βiwxRPw+yixSRPFC国内无风险利率资产i世界市场风险溢价资产i外汇风险溢价Chapter5Price-Drivenvs.OrderDrivenMarkets1、Automatedtradingsystems自动交易系统havefollowedtwodifferentpaths:Amarketorganizationdominatedbydealersmakingthemarket(alsoknownasapricedrivenorquotedrivenmarket).价格驱动市场Amarketorganizationwithbrokersactingasagentsinanauctionsystem(alsoknownasanorderdrivenmarket).订单驱动市场2、dealermarket\Price-Drivenmarket\quote-Drivenmarket(NASDAQ)Marketmakersstandreadytobuyorsellatpostedprices.Thebidandaskquotesarefirmcommitmentsbythemarketmakertotransactatthosepricesforaspecifiedtransactionsize.报价是做市商做出的一种承诺，即在此价格上交易特定数量的证券）OnlyAmericanstockmarketshaveretainedapricedrivenmodel.Thissystemisusefulfortradinglargeblocks.Advantages:Easiertoexecutelargeblocktrades.Disadvantages:Moreexpensivetooperate，Requiresmorehumanintervention(价格驱动）OrderDrivenMarkets\auctionmarket：（Paris,Frankfurt,Tokyo）Traderspubliclyposttheirordersandthetransactionpriceistheresultoftheequilibriumofsupplyanddemand.Mostemergingmarketshaveadoptedthissystem.Allbuyandsellordersareenteredinacentralorderbookandaneworderisimmediatelymatchedwiththebookoflimitorderspreviouslysubmitted.Toimproveliquidity,mosthaveretainedperiodiccallauctions.（为了提高流动性，大部分指令驱动市场都保持周期性的集合竞价）Advantages:Requireslittlehumanintervention.Lesscostlytooperate.Marketswithlessertransactionvolumeshavefounditmoreefficienttoadopt.Disadvantages:DifficultyinexecutinglargetradesAmericanCapitalMarkets6、MajorU.S.stockmarkets:TheNewYorkstockexchange、Thenasdaqstockmarket、TheAmericanstockexchange7、U.SandBritishstockmarketcapitalizationaremuchlargerthantheirrespectiveannualGDP.FranceandGermanyhavestockmarketcapitalizationthataresmallerthantheirrespectiveannualGDP.WHY?U.SandBritishfirmsprefertogopublish,whereasinFranceandGermany,traditioncallsformaintainingprivateownershipasmuchaspossible.InFranceandGermany,bankstendtoprovidecorporationswithallfinancialservices,assistingtheminboththeircommercialneedsandtheirlong-termdebtandequityfinancing.U.Scompaniestendtogopublishandraisecapitalinthemarketplace,therebyincreasingthepublicstockmarketcap.InFranceandGermany,manylargefirmsarestillgovernment-ownedandthereforearenotlistedonthecapitalmarkets.U.SandBritishmarketaredevelopedmarkets,in2014theystoodover60percentoftotalworldmarket.FranceandGermanymarketareemergingmarket,in2014theystoodless30percentoftotalworldmarket.TaxAspects8、WhichIndextoUse?Domesticinvestorstendtopreferlocalindexesbecauseof:Traditionaluse。Immediacyofinformationwhichminimizescapitaladjustmentandriskoferrorinprices.信息的及时性使资金调整和价格错误风险最小化InstitutionalInvestorsprefertheMSCI,FTSEorotherinternationalindexesbecause:Pensionfundsdonotneedup-to-the-minuteindexes.。。Theindexesonallstockmarketsareavailableinacentrallocation,whereaslocalindexesmustbedrawnfromseverallocations.。Calculatedinasingleconsistentmanner,allowingfordirectcomparisonsbetweenmarkets.。Provideglobalorregionalindexes(World,Europe,etc..)whichinternationalmoneymangersneedtomeasureoverallperformance。Theyprovideindexescum-dividends.9、TheDowJonesWilshireGlobalIndexcoversdevelopedandemergingmarkets.TheEuroDJSTOXX50isawidelyusedindexofEurozonebluechipsandrepresentscountriesthathaveadoptedtheEuro.道琼斯全球指数涵盖琼斯Wilshire发达市场和新兴市场。欧洲DJStoxx50是一种广泛使用的欧元区蓝筹股指数和代已采用欧元的国家。Chapter7Domesticbond、Foreignbonds、Internationalbonds种类发行人市场发行货币DomesticbondUSUS$ForeignbondsUKUS$InternationalbondsUSEXCEPTUS$Domesticbonds:Issuedlocallybyadomesticborrowerandareusuallydenominatedinthelocalcurrency;Usuallymakeupthebulkofthenationalbondmarket;Issuersincludegovernment,semi-governmentandcorporateagencies.Foreignbondmarket:Issuedonalocalmarketbyaforeignborrowerandareusuallydenominatedinthelocalcurrency.Foreignbondissuesandtradingareunderthesupervisionoflocalmarketauthorities.Foreignbondsinclude:Yankeebonds(intheU.S)、Rembrandtbonds(intheNetherlands)、Samuraibonds(inJapan)、Matadorbonds(inSpain)、Bulldogbonds(intheUK)Internationalbonds(Eurobonds)arenottradedonaspecificnationalmarket.Quotation、CouponFrequencyandDayCount派息频率和日计数4、P=Q+AIP=fullprice全价,Q=quotedprice市场报价AI=accruedinterest应计利息YieldtoMaturity到期收益率LegalandFiscalAspects5、Bearerform无记名形式(Eurobonds).Thebearerofthebondisassumedtobeitslegalowner.Provideconfidentiality机密性ofownership.Registeredform记名形式(IntheU.S.ownersmustberegisteredintheissuer’sbooks)Allowsforeasiertransferofinterestpaymentsandamortization分期偿还.6、Avoidingdoubletaxation双重征税wasamajorimpetus动力behindthedevelopmentoftheinternational(Eurobond)market.Toattractforeigninvestorsintheirgovernmentbonds,mostcountrieseliminate消除withholdingtaxes预提税onforeigninvestmentintheirdomesticbondmarkets.Chapter81、标准化standardized合约：futuresandoptions.期货和期权非标准化合约private：forwardsandswaps.远期和掉期differencesbetweenforwardandfutureForwardcontractsiscustomizedcontractsintermsofsizeanddeliverydates,madeoverthecounter,aredifficulttoresoldandreverseacontract,profitorlossonapositionisrealizedonlyonthedeliverydate,marginsareonlysetonceonthedayoftheinitialtransaction,privatecontractsbetweentwoparties.futurecontractsisstandardizedcontractsintermsofsizeanddeliverydates,tradedonanorganizedexchangemarket,canfreelytradedonthemarket,profitsandlossesarerealizedimmediately,marginsmustbemaintainedtoreflectpricemovements,standardizedcontractbetweenacustomerandaclearinghouse.Futuretypes、Swaps:掉期3、Swapscanberegardedasalong-termpackageofperiodicforwardcontracts周期性远期合约.Swapsareusedextensivelybybankstomanageriskexposureontheirassetsandliabilities.Aswapisacontractwherebythetwopartiesagreetoaperiodicexchangeofcashflows.TheswapmarketisanOTCmarketinwhichthemajorcommercialandinvestmentbanksparticipate.Aninvestorwishingtogetoutofaswaphasthreealternatives:（解除掉期合约）Agreeonavoluntary自愿的termination终止withtheoriginalcounterparty.；Writeamirrorswap镜像掉期withtheoriginalcounterparty合约方.；Writeareverseswapinthemarketwithanothercounterparty.4、Currency:外汇掉期Acontracttoexchangestreamsoffixedcashflowsdenominatedintwodifferentcurrencies.InterestRateSwaps:利率掉期Acontracttoexchangestreamsofcashflowsinthesamecurrencybutbasedontwodifferentinterestrates(floatingversusfixed).U.S.DollarSwaps，LIBORCurrencyInterestRateSwaps:外汇—利率掉期Acontracttoexchangestreamsofcashflowsintwodifferentcurrencies,onewithafixedinterestrateandtheotherwithafloatinginterestrate.Options期权5、Acall看涨期权(put看跌期权)optiongivesthebuyeroftheoptioncontracttherighttobuy(sell)aspecifiednumberofunitsofanunderlyingassetataspecifiedprice,thestrikeprice,atorbeforeaspecifieddate,theexpirationdate到期日.AEuropeanoptioncanonlybeexercisedontheexpirationdate.AnAmericanoptioncanbeexercisedanytimeupuntiltheexpirationdate.Inordertoobtaintheoption,thebuyermustpayaprice,theoptionpremium期权费,thatisreceivedbytheseller.6、OptionsTypes。，CurrencyOptions:外汇期权；；StockOptions：股票期权；；InterestRateOptions：利率期权7、CallOptions:12月1日，标的物是铜期货，它的期权执行价格为1850美元/吨。A买入这个权利，付出5美元；B卖出这个权利，收入5美元。次年1月1日，铜期货价上涨至1905美元/吨，看涨期权的价格涨至55美。A可采取两个策略：8、PutOptions:12月1日，标的物是铜期货，它的期权执行价格为1750美元/吨。A买入这个权利，付出5美元；B卖出这个权利，收入5美元。次年1月1日，铜期货价下跌至1695美元/吨，看涨期权的价格涨至55美元。A可采取两个策略：