第二十五章衍生品和套期保值.pptx

Chapter Outline;25.1 Forward Contracts;25.2 Futures Contracts: Preliminaries;Futures Contracts: Preliminaries;;Daily Resettlement: An Example;Daily Resettlement: An Example;Daily Resettlement: An Example;Selected Futures Contracts;Futures Markets;The Chicago Mercantile Exchange;CME After Hours;Wall Street Journal Futures Price Quotes;Basic Currency Futures Relationships;25.3 Hedging;Hedging and Speculating Example;Hedging: How many contacts?;25.4 Interest Rate Futures Contracts;Pricing of Treasury Bonds;Pricing of Treasury Bonds;Pricing of Forward Contracts;Futures Contracts;Hedging in Interest Rate Futures;25.5 Duration Hedging;Duration measures the combined effect of maturity, coupon rate, and YTM on bond’s price sensitivity Measure of the bond’s effective maturity Measure of the average life of the security Weighted average maturity of the bond’s cash flows;Duration Formula;Calculating Duration;Calculating Duration;Duration;25.6 Swaps Contracts: Definitions;The Swap Bank;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of an Interest Rate Swap;An Example of a Currency Swap;An Example of a Currency Swap;An Example of a Currency Swap;$9.4%;An Example of a Currency Swap;An Example of a Currency Swap;An Example of a Currency Swap;Variations of Basic Swaps;Risks of Interest Rate and Currency Swaps;Risks of Interest Rate and Currency Swaps;Pricing a Swap;25.7 Actual Use of Derivatives;25.8 Summary Conclusions;9、有时候读书是一种巧妙地避开思考的方法。2月-212月-21Thursday, February 18, 2021 10、阅读一切好书如同和过去最杰出的人谈话。02:00:1102:00:1102:002/18/2021 2:00:11 AM 11、越是没有本领的就越加自命不凡。2月-2102:00:1102:00Feb-2118-Feb-21 12、越是无能的人，越喜欢挑剔别人的错儿。02:00:1102:00:1102:00Thursday, February 18, 2021 13、知人者智，自知者明。胜人者有力，自胜者强。2月-212月-2102:00:1102:00:11February 18, 2021 14、意志坚