113分析金融市场与金融机构chp11 derivative.ppt

Example Metro Bank would sell a “3 vs. 6” FRA at 7 percent on a $1 million notional amount to County Bank. ? a 6-month maturity ? based on a $1 million notional principal amount ? floating rate is 3-month LIBOR and the fixed (exercise) rate is 7 percent The phrase “3 vs. 6” refers to a 3 -month interest rate observed three months from the present, for a security with a maturity date six months from the present. a href=/nanchang/ 南昌癫痫病专科医院 /a a href=/ 南昌癫痫病专科医院 /a The only cash flow will be determined in six months at contract maturity by comparing the prevailing 3-month LIBOR with 7 percent. 31 Assume that in three months 3-month LIBOR equals 8 percent. In this case, County Bank would receive from Metro Bank $2,451. The interest settlement amount is $2,500: ? interest = (.08 - .07)(90/360) $1,000,000 = $2,500. Because this represents interest that would be paid three months later at maturity of the instrument, the actual payment is discounted at the prevailing 3-month LIBOR: ? actual interest = $2,500/[1+(90/360).08]=$ 2,451 Example 32 If instead, LIBOR equals 5 percent in three months. County Bank would pay Metro Bank : ? interest = (.07 -.05)(90/360) $1,000,000 = $5,000 ? or $5,000 /[1 + (90/360).05] = $4,938 Metro Bank would take its position as a hedge if it was exposed to loss in a falling (relative to forward rate) rate environment. Example 33 Chapter Outline 1. Forward 2. Futures 3. Options 4. Swaps 34 Financial futures contracts …a commitment between two parties on the price and quantity of a standardized financial asset or index. They are traded on organized exchanges called future markets. 是指交易双方在有组织的交易所内以公开竞价 的方式达成的，在将来某一时间交割标准数量 特定金融工具的协议。 Futures ( 期货 ) Contracts 35 Buyers of futures contracts, referred to as long futures , agree to pay the underlying futures price or receive the underlying asset. Sellers of futures contracts, referred to as short fu