home Other disciplines Books Міжнародні розрахунки та валюні операції - Savluk M.І.

Міжнародні розрахунки та валюні операції - Savluk M.І.

13.2. Ф'ючерсна ціна та особливості її формавання на різні види вид контраків

Ф'ючерсні контракти , в основі яких є різні вид базових активів, мають свої (теоретичні) особывості в ціноутворенні. Ala zagalnim є te, scho kotiruvannya f'yuchersnogo contract vische vіd streamo tsіni base asset nazivayut terminom contango , and quoting below the price of the underlying asset - backwardation .

Ціноуворення валюних ф'ючерсів. The volatility of foreign currency futures depends on the principle of parity of exchange rates and interest rates. Наприклад, майбутня вартість 1 dollars per month. An investment in the United States by a term of one per cent of the interest rate , To become (1+ ) • 1 dollar. Maybutnia vartість of the very Dolar, an investor in the Nimecchin Term for one рік with interest rate , Дорівнює ($ 1 / ) • (1+ ) • . At the first hangers, a share of one dollar is displayed after the spot spot rate On the nature of the brand of the Ukrainian brands; In the other arcs - groshovi koshti through the river, otrimani in the Heimsk stamps; Нарешті, третій множник (The price of the futures contract with supply through the river) is the conversion of groschen koshtiv from the brand to the dolari.

Oskilki, zgіdno with the principle of parity, дохідність цих операцій повинна збігатися, прирівнимичи відповідні sumi грошових коштів, знамомо, що = (1+ ) / (1+ ).

In the case of a fatal vipadka formula for viznachennya tsіni currency f'yuchersiv (ґruntuyetsya on the concept of folding interest), such a vigil:

,

De t - kіlkіst днів, що it was lapped to виконання the contract;

- the price for the contract with the term vikonannya t dniv;

- spot-rate of basic currency;

R ( t ) - the national interest rate in the national currency for the position with the term redemption t dniv;

R ( t ) is the local interest rate in the non-terrestrial currencies for the post-term repayment t dniv.

Zauvazhimo, scho at підрахунку ціни валюних ф'ючерсів у ряі країн (наприклад, у Брнітанії, Канаді, в Україні), the behavior of the formula is showing the step Apply for

What is the theoretical basis of the contract for the implementation of the rink value? Rozglyanemo butt.

Припри.Седній a course of a mark on 31 липня 1998 р. (Tobto index course on pivnichnoamerikanskih rinkah, scho pidrahovuyutsya company JP Morgan) becoming = 0,5617 (dolariv for the brand). The actual interest rate of short-rowed craws (the term of one month), nominated at the date of the March, on the date, became = 0,0343 (3,43% річних), the analogue rate of goiters in the US dolars became = 0.0559 (5.59%). Such a rank, close to the theoreticians, the value of the price of a contractual contract (with supplies from a third in the middle of the fir) to the stamp of the 31 stamp became 0.5632 = 0.5617? (1.0559 / 1.0343) . Here the showpiece is stepping 0,125 in private parts before the delivery of the heather contract, and the national currency is invested by the US dollar.

Справді, середня ціна за урененими угодами stretching trade сесії на CME 31 липня 1998 р. It became 0.5632, but it is difficult to solve it theoretically; The minimum price of sales was 0.5618, and the maximum was 0.5643.

Yak bachimo, streaming the price of the futures contract for the brand in the US in the wake of the spot spot rate, the incidence of interest rates in the lower lows. There is a yak, yak already signified, I call contango. У періодіснування ф'ючерсного ринку в Україні (до серпня 1998 р.) Ціни (котиванняня) ф'ючерсних contractsів takozh have been digitally interchanged the spot spot rate of the American dollar.

The value of the percentage of futures. Ф'ючерсні контракти на цінні папери з фіксованим Income denominate interest-bearing futures, oskilki їх tsіni znachnomu miruyu zalazhat v pochchnih i prognozirovaniih interest rates. Існують контракти на короткострокові, середньострокові и довгострокові збов'язання, nominovі іn різних валютах. The main birgovym centers of trade in such contracts are CBOT and CME (Chicago), AMEX (New York), LIFFE (London), MATIF (Paris), DTB (Frankfurt) and ín.

Roshglanemo f'yuchersny contract for the 13-tiynevy bill of the US Treasury (toto with a term to maturity of 91 days), the trade is organized on CME.

The purchase of such a contract in bereznyi z vikonannyam, napriklad, u veresny means, scho on the day of vikonannya pokupets contract otrimae package of treasury bills for a sum of $ 1 million. For a nominal, but repaid in 91 days. With the purchase of a futures contract, merchants and merchants are transferred to the process of trade in the quantity of assets. Yak viznachiti tsju vartist?

Nehai - the spot-rate of the treasury bill is spot-on, which is redeemed after t + 91 days, and t is the number of days before the contract's futures contract. The price of a contract is the following:

,

De - річна interest rate дохідності казначейських веселів з терміном погашення через t днів.

The formula is the result of the parity of the prehistory of the two advancing investment strategies. Persha - buy a bill, pay off in t + 91 day, and check it out. A friend - buy a futures contract for vikonannany through t dniv, for a statement, a 91-day promissory note.

Zauvazhimo, scho in the US, the price of treasury bills and forward-looking futures contracts are up to $ 100. Nominu, tobto, yaksho, napriklad, tsіna укладеної ф'ючерсної угоди become 98.98, then you will be awarded to those who, on the day of the vikonannya contract yogo kupetsets moe perehrauvati 989 800 dollars. І отримати package of promissory notes for a sum of 1 million dollars.

Priklad.Yakoyu bude tsina contract with supplies in three months, yakschoo spot-tsina six-monthly bills - Dol., And річна rate дохідності тримісячних векселів - (4%)? It is known that

Subscriptions of short-term interest rates for the three-monthly deposit certificates of the US banks for the three-month deposits with Eurodollars from the European banks.

Ціноутворення ф'ючерсів на фондовий індекс. Ф'ючерсними contracts on the stock index and nazyvayut contract, we base the asset yakih є stock index. The popularity of the futures contracts on the stock index is written in the form of a stench of money to buy cheaply and visually impaired goods with coursework / zbitkami, additions to pributkiv / zbitk diversifikovanii portfolioy Akcі, scho enter before the index.

Roshglyanemo butt futures on the S & P500 index (Standard & Poors 500), the trade is organized, zokrema on CME. Tsei indeks viznachaetsya srednnozvazhenoju tsіnoju акцій 500 найбільших за капіталізацією компаній США. Vagi viznachayutsya vidnoshennyam kapitalizatsii pevnogo kompaniії to zagalnoy kapitalisatsii all 500 companies.

For all "povnotsinnyh" contracts on the S & P500 index a number of speci fi cations become $ 250. (Є також контракти зі зменшеним множником для інтернет-торгівлі).

Tse multiply means, but for a durable futures contract for the date of the vikonannya richer sum of money, is equal to the multiplier of the multiplier for the value of the value of the index when the contract is closed on the remaining day of the contract and the purchase of the contractual contract. On the other hand, the purchase price of the contract for the S & P500 index of the 1320 Blocks, and the value of the index on the date of contract termination is 1340, then at the hand of the crossing 250 • (1040 - 1020) = 5 000 dollars.

Hto well vyplatit і hto otrimae vkazanu sumu? Yakschoo znachennie індексу at виконанні the contract below for ціну купівлі to the contract to pay a merchant (person, шo borrowing довгу position), and отримує гроші продавець. Yakshto znachennosti індексу вище за ціну contract, then pay the seller, and отримує покупець.

In a viscous viscous application souma 5 000 dollars. Go to the seller's contract before the purchase.

Do you think the theoretical value of the contract for the index is theoretical? Існує formula

,

De t - kilkist dniv to vikonannya f'yucherny contract;

- the price of a contractual futures contract,

- spot-tsina (tobto all the meaning of the indeksu),

R ( t ) - річна rate дохідності pozichok u kvaluiі kraїni, in yakіy viznachaєtsya індекс з терміном погашення t днів.

Y ( t ) - middle rate diviendendu on the company, but enter before the index; Yurahovatsya tilki diviendi, yaki viplachuchatsya perіod before vikonannya contract.

Приклад.Нехай. = 1000, R (360) = 0.06 (6%), Y (360) = 0.04 (4% is the average price of the uninhabited divide for the company's shares, which are included before the index). Тоді поточна ціна ф'ючерсного контракту з виконанням через рік, згідно з наведеною формулою, дорівнює = 1000 + (0.06-0.04) 1000 = 1020.

Basis. Basis nazivayut factually rіznitsu mіzh tsinoyu f'yuchersnogo contract і spot-rate of the underlying asset. Theoretical rіznitsa - Nezmііnna in the course of the first cycle. Ale basis, tobto actual rednitsa, zaznacho vplyvu popita і propositsії yak on the kazovym, so і on terminovomu rinki і tom perebuvaє in postinoyomu rusi. For the success of the hedging of the capitalist position, for the underlying asset of the colivan, the basis of the capital is meaningfully lowered for the collusion of the financial asset, and hedge. In the statistical terms, it is meaningful that the standard value of the vibrique value is the basis for the value of the base value of the standard value of the value of the spot rate of the underlying asset (practically 8-10 times).