金融衍生品分类
Forward
- Commodity Forward Contract
- Storage Costs
- Lease Rate
- Convenience Yields
- Commodity Spread
- Financial Forward Contract
Forward Rate Agreement
FRA估值
V=L(Rk−Rf)(T2−T1)e−R2T2- FRA Settlement Values
V=L(Rk−Rf)(T2−T1)(1+Rfm)m×n
Futures
Specifications
- Asset
- Contract Size
- Delivery Arrangement
- Delivery Month
- Price Quotes
- Price limits and position limits
Price (Forward and Futures Prices)
- 无套利思想
F0=(S0+U−I)e(r−y)T
F0=S0e(r+u−q−y)T- Interest Rate Parity
Forward=Spot(1+rA1+rB)T=Spot×e(rA−rB)T
- Value
f=(F0−K)e−rT=S0−Ke−rT
Swap
Option
市场参与者
Hedgers : 通过交易控制风险
Speclators: 利用风险,创造价值
Arbitrageurs : 无成本,无风险
Market maker :做市商
Broker :经纪商