衍生品市场基础06章.ppt

Chapter 6
The Wide World of Futures Contracts
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Widely used to hedge against changes in exchange rates
WSJ listing
Currency Contracts
Figure Listings for various currency futures contracts from the Wall Street Journal, August 10, 2007.
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Currency Contracts: Pricing
Currency prepaid forward
Suppose you want to purchase ¥1 one year from today using $s

Where x0 is current ($/ ¥) exchange rate, and ry is the yen-denominated interest rate
Why? By deferring delivery of the currency one loses interest e from bonds denominated I that currency
Currency forward

r is the $-denominated domestic interest rate
F0, T > x0 if r > ry (domestic risk-free rate exceeds foreign risk-free rate)
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Currency Contracts: Pricing (cont’d)
Example
¥-denominated interest rate is 2% and current ($/ ¥) exchange rate is . To have ¥1 in one year one needs to invest today
/¥ x ¥1 x e- = $
Example
¥-denominated interest rate is 2% and $-denominated rate is 6%. The current ($/ ¥) exchange rate is . The 1-year forward rate
- =
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Covered Interest Arbitrage
Synthetically creating a yen forward contract by borrowing in dollars and lending in yen. The payoff at time 1 is ¥1−$.
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Eurodollar Futures
WSJ listing
Contract Specifications
Figure Listing for interest rate futures