利率掉期(IRSInterestRateSwap)剖析.ppt

Computational Finance Lecture 4 Part II Futures and Swaps Futures The trading of forward contracts is usually over-the-counter. It involves risks. Sometimes one of the parties may not have enough financial resources, or may regret the deal, to honor the agreement. To avoid the risk, futures (期貨) contracts are introduced. Futures Futures can be regarded as forward contracts traded in the exchanges. The Chicago Board of Trade (CBOT) and the Chicago Mercantile Exchange (CME) used to be the two largest futures exchanges in the US. In 2007, the CBOT and the CME merged to form the CME Group (). Futures Exchanges provide standardized contracts and play the counterparty for both long and short traders. Convenience and security: No need to find an appropriate counterparty No need to face default risks Specification of Futures Contract When developing a new contract, the exchange must specify in detail the exact nature of the agreement between the two parties. The asset quality and the contract size Delivery arrangement and months Price limits and position limits How to Trade Futures:Daily Settlement and Margins It is impossible for exchanges to track all delivery prices for every individual futures they trade. To avoid the difficulty, the mechanism of margin account (保證金，孖展) is introduced: A margin is cash or marketable securities deposited by an investor with his or her broker The balance in the margin account is adjusted to reflect daily settlement Margins minimize the possibility of a loss through a default on a contract The Operation of Margins:Margin Account and Initial Margins An investor wants to buy two March gold futures contracts on the New York Commodity Exchange. Each contract size is 100 ounces. The current futures price is $600 per ounce and the initial margin is $2,000 per contract. Investor should deposit $4,000 in his margin account. The Operation of Margins:Daily Settlement and Marking to Market On the next day, the March