文档介绍：Chapter 14: Forward & Futures Prices
Objective
How to price forward and futures
Storage modities
Cost of carry
Understanding financial
futures
Chapter 14: Contents
Distinction Between Forward & Futures Contracts
The Economic Function of Futures Markets
The Role of Speculators
Relationship modity Spot & Futures Prices
Extracting Information modity Futures Prices
Spot-Futures Price Parity for Gold
Financial Futures
The “Implied” Risk-Free Rate
The Forward Price is not a Forecast of the Spot Price
Forward-Spot Parity with Cash Payouts
“Implied” Dividends
The Foreign Exchange Parity Relation
The Role of Expectations in Determining Exchange Rates
Two parties agree to exchange some item on a specified future date at a delivery price specified now
The forward price is defined as the delivery price which makes the current market value of the contract zero
No money is paid in the present by either party to the other
The face value of the contract is the quantity of the item specified in the contract times the forward price
The party who agrees to buy the specified item is said to take a long position, and the party who agrees to sell the item is said to take a short position
Features of Forward Contracts
Features of Forward Contracts
“Customization”, difficulty of “closing out” positions, low liquidity
The risk of contract default, credit risk
Characteristics of Futures
Futures are:
standard contracts
immune from the credit worthiness of buyer and seller because
exchange stands between traders
contracts marked to market daily
margin requirements (enough collateral)
Terms
Open, High, Low, Settle, Change, Lifetime high, Lifetime low, Open interest
Mark-to-market
Margin requirement
Margin call
An Illustration
You place an order to take a long position in a September wheat futures contract on August 4, 1991
The broker requires you to deposit an initial margin of $1,500 in your account
On August 5, the futures price closes 71/4 cents per bushel lower
You have l