金融衍生工具研究第2讲期货价格的决定(期货定价).pdf

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1、1Lecture2:DeterminationofFuturesPrices期货价格的决定(期货定价）Outline•Operationofmargins保证金的运行•Futurespricing期货定价•Futurespriceand(expected)spotprice期货价格与未来的现货价格Lecture2:DeterminationofFuturesPrices2FuturesContracts期货合约•Availableonawiderangeofunderlyingassets标的物包括

2、多种资产•Exchangetraded在交易所中交易•Specificationsneedtobedefined:期货合约规定：–Whatcanbedelivered,交割的对象–Whereitcanbedelivered,&交割地点–Whenitcanbedelivered交割时间•Settleddaily-markingtomarket每日结算：逐日盯市Lecture2:DeterminationofFuturesPrices3OperationofMargins保证金制度及其运行•Toprev

3、entdefault,futuresexchangeshaveasetofmarginrequirements.为避免违约，期货交易所有一系列的保证金要求•Uponenteringacontract,aclientmustdepositacertainamountofmoneyormarketablesecurities(initialmargin)inamarginaccountwithhis/herbrokeratthecloseoftradingonthefirstdayheestablish

4、esanewposition当客户建立期货合约头寸的当天闭市前，必须存入一定数额的货币或可交易证券（初始保证金）到客户在经纪人公司开设的帐户。•Differentfuturescontractshavedifferentmarginrequirementsthataresetbytheexchangesandmayfluctuatefromtimetotime.不同的期货合约有不同的保证金要求，由交易所制定，随时间变化而变动。Lecture2:DeterminationofFuturesPrices

5、4MaintenanceMargins维持保证金•Maintenancemarginissimplytheminimumamountofmoneyaclientmusthaveinhisaccountafteratradingday.TheamountisalwaysslightlylessthantheInitialMargin.在交易日结束后客户的帐户中必须拥有的最低数额的保证金，一般稍低于初始保证金。ContractExchangeInitialM.($)MaintenanceM.($)S&P

6、500IMM1968815750SoybeansCBOT810600T-Bill(13w)IMM10275T-noteCBOT13501000T-bondCBOT21601600GoldCOMEX20001500MSCITaiwanSGX26252100CSSGXS$675S$500Lecture2:DeterminationofFuturesPrices5MarkingtoMarket逐日盯市•Thebalanceinthemarginaccountisadjustedtoreflectdaily

7、settlement–Markingtomarket.保证金帐户的余额每天都会调整，因为期货合约每日进行结算-盯市。•Markingtomarkettakesplacethroughmarginpayments盯市以保证金支付的形式进行。•Standardpractice一般做法•Attheinceptionofacontract,aclientpaysinitialmargin(5-10%ofcontractvalue)toamarginaccountheldbyhisbroker.Thiscan

8、bepaidininterestbearingsecuritiessothereisnointerestcost.合约建立时，客户在保证金帐户中存入初始保证金，一般为合约价值的5-10%，帐户在经纪人公司开设。这也可以由附息证券支付，不存在利息成本。•Iffuturessettlementpricesrise(fall),thelonghaveapaperprofit(loss)andtheshortapaperloss(profit).Thebrokerreceiv