Futures Markets参考.ppt

CHAPTER 22 Futures Markets CHAPTER 23 Futures, Swaps, and Risk Management Commodity Futures Pricing General principles that apply to stocks apply to commodities. However… Carrying costs are more for commodities. Spoilage is a concern. Commodity Futures Pricing Let F0 = futures price, P0 = cash price of the asset , and C = Carrying cost Futures Pricing F0 = P0(1+rf+c) is a parity relationship for commodities that are stored. The formula works great for an asset like gold, but not for electricity or agricultural goods which are impractical to stockpile. Figure 23.9 Typical Agricultural Price Pattern over the Season Example 2.8 Commodity Futures Pricing The T-bill rate is 5%, the market risk premium is 8%, and the beta for orange juice is 0.117. Orange juice discount rate is 5% + .117(8%) = 5.94%. Let the expected spot price in 6 months be $1.45. $1.45/(1.0594)0.5 = $1.409 = PV juice F0/(1.05)0.5 = 0.976F0 = PV futures 0.976F0 = $1.409 F0 =$1.444 Foreign Exchange Futures Foreign exchange risk: You may get more or less home currency than you expected from a foreign currency denominated transaction. Foreign currency futures are traded on the CME and the London International Futures Exchange. Figure 23.2 Foreign Exchange Futures Interest rate parity theorem Developed using the US Dollar and British Pound where F0 is today’s forward rate E0 is the current spot rate Pricing on Foreign Exchange Futures Text Pricing Example rus = 4% ruk = 5% E0 = $2.00 per pound T = 1 yr If the futures price varies from $1.981 per pound, covered interest arbitrage is possible. Direct Versus Indirect Quotes Direct exchange rate quote: The exchange rate is expressed as dollars per unit of foreign currency Indirect exchange rate quote: The exchange rate is expressed as foreign currency units per dollar Hedging Foreign Exchange Risk A US exporter wants to protect against a decline in profit that would result from depreciation of the pound. The current futures price is $2