博迪金融学8-1710个17chpt

1、1Chapter 14: Forward & Futures PricesCopyright Prentice Hall Inc. 2000. Author: Nick Bagley, bdellaSoft, Inc.ObjectiveHow to price forward and futuresStorage of commoditiesCost of carryUnderstanding financial futures2Chapter 14: Contents1 Distinction Between Forward & Futures Contracts2 The Economic

2、 Function of Futures Markets3 The Role of Speculators4 Relationship Between Commodity Spot & Futures Prices5 Extracting Information from Commodity Futures Prices6 Spot-Futures Price Parity for Gold7 Financial Futures8 The “Implied” Risk-Free Rate9 The Forward Price is not a Forecast of the Spot Pric

3、e10 Forward-Spot Parity with Cash Payouts11 “Implied” Dividends12 The Foreign Exchange Parity Relation13 The Role of Expectations in Determining Exchange Rates3TermsOpen, High, Low, Settle, Change, Lifetime high, Lifetime low, Open interestMark-to-marketMargin requirementMargin call4Characteristics

4、of FuturesFutures are:standard contractsimmune from the credit worthiness of buyer and seller becauseexchange stands between traderscontracts marked to market dailymargin requirements5Spot-Futures Price Parity for GoldThere are two ways to invest in goldbuy an ounce of gold at S0, store it for a yea

5、r at a storage cost of $h/$S0, and sell it for S1 invest S0 in a 1-year T-bill with return rf, and purchase a 1-ounce of gold forward, F, for delivery in 1-year6Spot-Futures Price Parity for GoldA contract with life T:This is not a causal relationship, but the forward and current spot jointly determ

6、ine the marketIf we know one, then the rule of one market determines that we know the other7Rule of One Price: No Arbitrage ProfitsPurchase Actual AuSell T-BillSell Au ForwardSell Actual AuSettle T-BillSettle Au ForwardAu = Gold8Implied Cost of CarryAs a consequence of the forward-spot price parity

7、relationship, you cant extract information about the expected future spot price of gold (unlike one wheat case) from futures pricesThe implied cost of carry (per $spot) is h = (F - S0)/S0 - rf9Financial FuturesWith no storage cost, the relationship between the forward and the spot isAny deviation fr

8、om this will result in an arbitrage opportunity1014.8 The “Implied” Risk-Free RateRearranging the formula, the implied interest rate on a forward given the spot isThis is reminiscent of the formula for the interest rate on a discount bond1114.9 The Forward Price is not a Forecast of the Spot PriceFo

9、llowing the diagrams in Chapter 12 we might suppose that the expected price of a stock isIf this is indeed correct, then the forward price is not an indicator of the expected spot price at the maturity of the forward12Forward-Spot Parity with Cash PayoutsThe S0 - F relationship esNote: (forward pric

10、e the spot price) if (D r S)Because D is not known with certainty, this is a quasi-arbitrage situation1314.11 “Implied” DividendsFrom the last slide, we may obtain the implied dividendExchange Rate Example15000 (Borrowed)15450 15450 (Repaid) 100(Invested)109(Matures)Time3% / (direct)3% /150 /9%/Forward /JapanU.K.15The F