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1、Chapter1IntroductionTheNatureofDerivativesAderivativeisaninstrumentwhosevaluedependsonthevaluesofothermorebasicunderlyingvariablesExamplesofDerivativesSwapsOptionsForwardContractsFuturesContractsDerivativesMarketsExchangeTradedstandardproductstradingf
2、loororcomputertradingvirtuallynocreditriskOver-the-Counternon-standardproductstelephonemarketsomecreditriskWaysDerivativesareUsedTohedgerisksToreflecta5>viewonthefuturedirectionofthemarketTolockinanarbitrageprofitTochangethenatureofaliabilityTochanget
3、henatureofaninvestmentwithoutincurringthecostsofsellingoneportfolioandbuyinganotherForwardContractsAforwardcontractisanagreementtobuyorsellanassetatacertaintimeinthefutureforacertainprice(thedeliveryprice)Itcanbecontrastedwithaspotcontractwhichisanagr
4、eementtobuyorsellimmediatelyHowaForwardContractWorksThecontractisanover-the-counter(OTC)agreementbetween2companiesThedeliverypriceisusuallychosensothattheinitialvalueofthecontractiszeroNomoneychangeshandswhencontractisfirstnegotiatedanditissettledatma
5、turityTheForwardPriceTheforwardpriceforacontractisthedeliverypricethatwouldbeapplicabletothecontractifwerenegotiatedtoday(i3>.e.,itisthedeliverypricethatwouldmakethecontractworthexactlyzero)Theforwardpricemaybedifferentforcontractsofdifferentmaturitie
6、s遠(yuǎn)期價格我們把使得遠(yuǎn)期合約價值為零的交割價格稱為遠(yuǎn)期價格（ForwardPrice）。這個遠(yuǎn)期價格顯然是理論價格，它與遠(yuǎn)期合約在實際交易中形成的實際價格（即雙方簽約時所確定的交割價格）并一定相等。一旦理論價格與實際價格不相等，就會出現(xiàn)套利（Arbitrage）機會。遠(yuǎn)期價格與遠(yuǎn)期價值的區(qū)別遠(yuǎn)期價格指的是遠(yuǎn)期合約中標(biāo)的物的遠(yuǎn)期價格，它是跟標(biāo)的物的現(xiàn)貨價格緊密相聯(lián)的.遠(yuǎn)期價值則是指遠(yuǎn)期合約本身的價值，它是由遠(yuǎn)期實際價格與遠(yuǎn)期理論價格的差距決定的。遠(yuǎn)期合約的由來和優(yōu)缺點遠(yuǎn)期合約是適應(yīng)規(guī)避現(xiàn)貨交易風(fēng)險的
7、需要而產(chǎn)生的。遠(yuǎn)期合約是非標(biāo)準(zhǔn)化合約,靈活性較大.缺點：效率較低,流動性較差,違約風(fēng)險較高。TerminologyThepartythathasagreedtobuyhaswhatistermedalongpositionThepartythathasagreedtosellhaswhatistermedashortpositionExample(page3)OnJanuary20,1998atraderentersintoanagreementtobuy?1millioninthreemonth
8、satanexchangerateof1.6196Thisobligatesthetradertopay$1,619,600for?1milliononApril20,1998Whatarethepossibleoutcomes?ProfitfromaLongForwardPositionprofitKPriceofUnderlyingatMaturity,STProfitfromaShortForwardPositionSTKFuturesContractsAgreementto
