[衍生产品英语.doc

THE DERIVATIVE SECURITY MARKET ▲Forward and future contract: Forward and futures contracts are not securities but rather trade agreements that enable both buyers and sellers of an underlying commodity or security to lock in eventual price of their traction. Forward contracts are agreements negotiated directly between two parties in the OTC markets.—Commodity future contracts are the contracts that trade commodities.—Interest rate forward: （Forward Rate Agreement FRA）: The forward rate agreement is the most basic of the OTC interest rate contract. The FRA is an agreement that two parties agree today to a future exchange of cash flows based on two different interest rates.●The settlement flow will be adjusted to the actual number of days in the holding period and calculated by the following formula:（Libor-Fixedrate）xNatioal PrincipalxNumberOfDays/360—Long-term interest rate futures●For the T-bond contract, any Treasure bond that has at least 15 years to the nearest call date or to maturity （if non-callable） can be used for delivery.●Bonds with maturities ranging from 6.5 to 10 years and 4.25 to 5.25 years can be used to satisfy the 10 year and 5 year T-note contracts, respectively.●Delivery can take place on any day during the month of maturity, with the last trading day of the contract falling 7 business days prior to the end of the month.●The CBT uses conversion factors to correct for the differences in the deliverable bonds.—Short-term interest rate futures: Eurodollar and treasury bill contract. ●Eurodollar futures use this settlement price index because it conveniently preserves the inverse relation between price and yield.●The minimum price change, or ”tick”, for this contract is one basis point and equals a $25 change in the value of the contract.（25=$1,000,000‰0.0001‰90/360）●Similar to the Eurodollar derivative, the T-bill contract is standardized to an amount of $1,000,000 so that each basis point change in the price （or rate） is worth $25 pe