金融学概论讲义北大光华管理学院lecture06.docVIP

Principles of Finance Lecture 06 Forward and Futures Contracts The Nature of Derivatives ( A derivative is an instrument whose value depends on the values of other more basic underlying variables ( Examples of derivatives ( Forward ( Futures ( Options ( Swaps …… Derivative Markets ( Exchange Traded ( Standard products ( Trading floor or computer trading ( Virtually no credit risk ( Over-the-Counter (OTC) ( Non-standard products ( Telephone market ( Credit risk Forward Contracts ( A forward contract is an agreement made today to buy or sell an asset at a certain time in the future for a certain price (referred to as the forward price or the delivery price) ( The delivery price is usually chosen so that the initial value of the contract is zero; No money changes hands when contract is first negotiated and it is settled at maturity ( An OTC agreement between two parties and both parties are subject to credit risk ( Both parties have the obligation to honor the contract Settlement of Forward Contracts ( Physical: requires delivery of actual assets ( Cash settled: requires only the exchange of the difference between the delivery price and the prevailing spot price at maturity ( Suppose that: Long 3-month Gold forward Delivery price $300 Spot price at t = 3 months: $320 P/L from a Long Forward Position P/L from a Short Forward Position Futures Contract ( Futures are standardized forward contracts. ( Whereas a forward contract is traded OTC a futures contract is traded on an exchange ( Specifications need to be defined: ( The underlying asset ( Delivery location Maturity date and delivery time Method of settlement ( Most contracts are closed out before maturity Features Promoting Liquidity ( Standardized Contract ( Maturity dates ( Contract size ( Price tick size, i.e. minimum price movement The underlying asset (especially commodities) ( Organized exchanges Features Reducing Credit Risk ( Daily settlement: Futures contracts are marked to market a