国际财务管理第六版中文版第五章.ppt

远期多头与空头 比如F3（$/SF）=0.8686 若3个月后的即期汇率为0.8716或者为0.8616. 黑板上画图 例5-4，预期瑞士法郎会贬值，持有空头，卖出远期外汇合约。 远期多头与空头 If you have agreed to sell anything (spot or forward), you are “short”. If you have agreed to buy anything (forward or spot), you are “long”. If you have agreed to sell FX forward, you are short. If you have agreed to buy FX forward, you are long. 远期套算汇率 FN(j/k)=FN(j/$)* FN($/k) 采用美式标价套算 采用欧式标价套算 Forward Cross Exchange Rates In generic terms Notice that the “$”s cancel. Country USD equiv Friday USD equiv Thursday Currency per USD Friday Argentina (Peso) 0.3309 0.3292 3.0221 Australia (Dollar) 0.7830 0.7836 1.2771 Brazil (Real) 0.3735 0.3791 2.6774 Britain (Pound) 1.9077 1.9135 0.5242 1 Month Forward 1.9044 1.9101 0.5251 3 Months Forward 1.8983 1.9038 0.5268 6 Months Forward 1.8904 1.8959 0.5290 Canada (Dollar) 0.8037 0.8068 1.2442 1 Month Forward 0.8037 0.8069 1.2442 3 Months Forward 0.8043 0.8074 1.2433 6 Months Forward 0.8057 0.8088 1.2412 Forward Cross Exchange Rates F6(CAD/￡)=F6(CAD/$)*F6($/￡) =1.2412*1,8904 =2.3464 远期升水或贴水 远期升水或贴水的计算例5-5 For example, suppose the € is appreciating from S($/€) = 1.25 to F180($/€) = 1.30 The 180-day forward premium is given by: = 0.08 1.30 – 1.25 1.25 ×2 = f180,€v$ F180($/€) – S($/€) S($/€) = × 360 180 互换交易 Swap transaction：买入（或卖出）远期外汇的同时，卖出（或买入）大约等量的即期外汇。 比如，sohu公司要在墨西哥投资一子公司，需要100万比索，1年后子公司将会归还100万比索，sohu公司如何避免汇率波动风险。 远期点数标价 即期 1.1545-1.1548 1个月 12-10 3个月 32-38 6个月 71-65 即期 1.2365-1.2368 1个月 2-4 3个月 9-12 6个月 10-20 Currency Symbols In addition to the familiar currency symbols (e.g. ￡, ￥, €, $) there are three-letter codes for all currencies. It is a long list, but selected codes include: CHF Swiss francs GBP British pound ZAR South African rand CAD Canadian dollar JPY Japanese yen Summary Spot rate quotations Direct and indirect quotes Bid and ask prices Cross Rates Triangular arbitrage Forward Rate Quotations Forward premium (discount) Forw