国际金融管理(2014)ppt课件.ppt

Currency Derivatives
5
Chapter
South-Western/Thomson Learning © 2003
Chapter Objectives
To explain how forward contracts are used for hedging based on anticipated exchange rate movements; and
To explain how currency futures contracts and currency options contracts are used for hedging or speculation based on anticipated exchange rate movements.
ⅠForward Market
A forward contract 远期协议is an agreement between a corporation and mercial bank to exchange a specified amount of a currency at a specified exchange rate (called the forward rate,远期汇率) on a specified date in the future.
Forward Market
The % by which the forward rate (F ) exceeds the spot rate (S ) at a given point in time is called the forward premium (p ).
F = S (1 + p )
F exhibits a discount when p < 0.
Example S = $/£, 90-day F = $/£
annualized p = F – S  360
S n
= –  360 = –.95%
90
Forward Market
Using forward contracts for Swap Transactions
A swap transaction(掉期交易) involves a spot transaction along with a corresponding forward contract that will reverse the spot transaction.
Forward rates can be found online at nomic/regular/.
Online Application
ⅡCurrency Futures Market
Currency futures contracts specify a standard volume of a particular currency to be exchanged on a specific settlement date.
They are used by MNCs to hedge their currency positions, and by speculators who hope to capitalize on their expectations of exchange rate movements.