20070509A-Derivative__Structured_Products-E.pptVIP

Special Project TeamKnowledge Sharing – Derivative and Structured Products (1)May 2008 Content What is Derivative What is Derivative What is Derivative What is Derivative Types of Derivatives Types of Derivatives – Forward vs. Future Types of Derivatives – Forward vs. Future Types of Derivatives – Option Types of Derivatives – Option Types of Derivatives – Option Types of Derivatives – Option Types of Derivatives – Swaps Types of Derivatives – Swaps CONFIDENTIAL * International Financial Services What is Derivative Common Types of Derivatives Financial instrument Value dependant on underlying assets [标的资产] (or variables) Short history The Chicago Board of Trade – 1848 First future contract Chicago Mercantile Exchange – 1919 Call option – 1973 Put option – 1977 Weather derivative - 1996 Purpose Hedge Risk Speculate Arbitrage Structure New Products Terminology Buy = Long [多头、多方] Sell = Write = Short [空头、空方] Vanilla/Standard Forward [远期] Future [期货] Option [期权] Swaps [互换] Exotic/Non Standard Asian Option Lookback Option Digital/Binary Option Swaption Etc Similarities Agreement to buy or sell at certain time in the future for a certain price Differences Regularly Little Disclosure Standardized Non Standardized Delivery Method Required Not Required Margin Exchange Over the Counter (OTC) Trading Method Future Forward Pay Off Payoff 0 K Long Position Payoff 0 K Short Position K = Delivery Price = Price of asset at contract maturity Right, not the obligation, to the buyer of the option to buy (call option) or sell (put option) the underlying asset by a certain date for a certain price. Date in the contract is called expiration date or maturity [到期日] Price in contract is called exercise price or strike price [行权价] Four participants Buyer of calls [买入期权买方] Seller of calls [买入期权卖方] Buys of puts [卖出期权买方] Seller of puts [卖出期权卖方] American Option – can be exercised any time up to expiration date European Option – can be exercised only on expiration da