Международные валютно-кредитные отношения


Download 1.41 Mb.
bet3/5
Sana17.01.2023
Hajmi1.41 Mb.
#1096994
1   2   3   4   5
Bog'liq
L 6

Notation

  • The current spot price is 𝑆𝑆0.
  • The spot price at maturity ̃𝑆𝑇 is random.
  • The forward price 𝐹𝑇 is fixed at time zero so that the market value of the forward contract equals zero.
  • Risk-free rate is constant. Denote continuously compounded interest rate by 𝑟.

Contract

Spot now

Spot at T

Forward

Price

S0

̃𝑆𝑇

FT

Payoff diagrams of forwards


Forwards are derivative securities.
Payoffs tied to prices of underlying assets/commodities; Payoffs are linear in underlying asset price: ̃𝑆𝑇−𝐹𝑇.

Forward prices are linked to spot prices.


Forward prices

Two ways to buy the underlying asset for date-𝑇delivery:

  • Buy a forward contract with maturity date 𝑇,
  • Buy the underlying asset today and hold it until 𝑇.

A model of payout
Forward price
Replicating a forward
Example: a forward on a stock index
Currency forwards
  • A forward contract to exchange a unit of one currency for a specified number of units of another currency.
  • Example: on 7/20/2020, a forward contract to exchange one Swiss Franc for 1.10 US Dollars in July of 2023.
  • Forward prices differ among contracts with different settlement dates:

Data source: CME Globex.
Pricing of currency forwards
Replication of currency forwards
Futures contracts: main characteristics
  • A futures contract is an exchange-traded, standardized, forward-like contract that is marked to market daily.
  • Standardized contracts:
  • Settlement: physical delivery or cash.

Trading of futures contracts

Download 1.41 Mb.

Do'stlaringiz bilan baham:
1   2   3   4   5




Ma'lumotlar bazasi mualliflik huquqi bilan himoyalangan ©fayllar.org 2024
ma'muriyatiga murojaat qiling