投资.docx

投资.docx

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投资

1.Acurrencyexchangerate货币汇率istherateusedtoexchangetwocurrencies.Anexchangeratestatesthepriceofonecurrencyintermsofunitsofanothercurrency.

汇率用于表示两种货币之间的兑换比率，汇率规定了以另一种货币单位来标价的一种货币的价格。

2.IndirectForeignExchangeQuotations直接标价（外国货币被标价）：

Anindirectexchangerateistheamountofforeigncurrencythatoneunitofdomesticcurrencywillpurchase.购买一定数量的外国货币所需要的本国货币数量。

间接标价：

一定数量的本国货币所能购买的外国货币数量。

两者互为倒数，外国货币升值appreciated，本国贬值depreciated，直接标价上升，间接标价下降。

例题：

Example:

DirectandIndirectExchangeRates

OnJuly1,theBritishpound（£）isquotedas£:

$=1.80.

IsthisadirectorindirectquotefromtheviewpointofanAmericanandaBritishinvestor?

Amonthlater,theexchangeratemovedto£:

$=1.90.Whichcurrenciesappreciatedordepreciated?

Answer:

Thepoundisquotedintermsofdollars.ThisquoteisadirectquotefromtheAmericanviewpointandanindirectquotefromtheBritishviewpoint.

Thepoundisthequotedcurrency.Overamonth,thepound’spriceincreasedfrom$1.80to$1.90,sothepoundappreciatedandthedollardepreciated.

3.CrossRateCalculations套算汇率的的计算

Acrossrateistheexchangeratebetweentwocountriesinferredfromeachcountry’sexchangeratewithathirdcountry.

例题Forexample,bankBgivesthefollowingquotationsfortheKoreanwonandtheBrazilianreal:

$:

won=928.350

$:

R$=1.9094

CalculatetheR$:

wonrate:

（$:

won）÷（$:

R$）=928.35/1.9094=486.20

Theresultingquotationis:

R$:

won=486.20.OneBrazilianRealisworth486.50won.

4.ForeignExchangeMarket

Theinternationalcurrencymarkethastwomaincomponents国际货币市场:

（1）AworldwideForexmarketbetweenmajorbanksandspecializedcurrencydealers.Thisisawholesaleinterbankmarketforlargetransactions.ItisanOTCmarket,bytelephoneandelectronictradingplatforms,wheretradingtakesplace24hoursaday,5daysaweek.Itisthelargestandmostliquidfinancialmarketintheworld.

（2）Aretailmarketwhereinvestorsandcorporationsdealwithlocalbanks.

5.ForexMarketConventions交易惯例

（1）Thereisnoneedtoquotebothadirectanddirectrate,（任意一对货币，以一种汇率表示就足够）e.g.both$:

€and€:

$.Historymostlydictatestheexchangeratedirectionthatisselected：

（2）Notallexchangeratesaretraded.并非所有货币都有汇率交易。

（3）IntheForexmarket,quotationsontradingscreensaregenerallygivenwithfivesignificantdigitsandthree-lettercodes.Forexample,theUSD:

JPYquotecouldappearas120.10andtheEUR:

USDas1.2515.Marketmakersquotebothabidandanaskprice,andthereisnoadditionalfeeorcommission.不存在佣金、手续费

6.Bidprice:

买入价theexchangerateatwhichthedealeriswillingtobuythequotedcurrencyinexchangeforthesecondcurrency.

7.Ask（offer）price卖出价:

theexchangerateatwhichthedealeriswillingtosellthequotedcurrencyinexchangeforthesecondcurrency.

8.spread：

Thedifferencebetweenthebidandaskpriceiscalledthespread.

Midpointprice中间价=（ask+bid）/2

9.Apipstandsfor“priceinterestpoint”价格利益点andrepresentsthesmallestpricefluctuationinthecurrencyprice.Itisequivalenttothe“tick”onstockmarkets.

Bid-askspread百分率价差=100*（ask–bid）/ask

10.TwoPrinciplesforbidandaskrates：

Thea:

baskexchangerate买入价isthereciproca倒数loftheb:

abidexchangerate卖出价.

Thea:

bbidexchangerateisthereciprocaloftheb:

aaskexchangerate

11.Arbitrage套汇：

involvesthesimultaneouspurchaseofanundervaluedassetorportfolioandsaleofanovervaluedbutequivalentassetorportfolio,inordertoobtainariskfreeprofitonthepricedifferential.利用不同外汇市场上某种货币的汇价差异，同时在不同外汇市场上买进和卖出这种货币，以赚取汇率差额收益的一种外汇交易。

双边套汇（DirectArbitrage）

三角套汇（IndirectArbitrage）

ArbitrageConditionswithExchangeRates：

Arbitragekeepsexchangeratesinlinewitheachotherandwithriskfreeinterestrates.

Anarbitragecouldbecreatedifitwereprofitabletobuyfromonebankandselltoanotherbank.

Whendescribingarbitrage,weareusuallydiscussingarisklesstransactionthatdoesnotrequireanyinvestedcapital.

例题：

Considerthefollowingthreebankseachprovidinga$:

¥quote:

BankABankBBankC

122.25-35122.40-45122.25-45

Doesanarbitrageopportunityexist?

答：

OnecouldbuydollarsfromBankAfor122.35yenperdollarandsimultaneouslysellthemtoBankBfor122.40yenperdollar.Asmallgain,butitisrisklessanddoesnotrequireanyinvestedcapital.

12.Twotypesofarbitrageopportunitiestoconsider：

Withrespecttotheexchangeratebetweentwocountries,thebid-askspreadinonecountryshouldbealignedwiththebid-askspreadintheother.Ifnot,abilateralarbitrageopportunityexists.

Atriangulararbitrageopportunityoccursifthequotedcross-ratebetweentwocurrenciesishigherorlowerthanthecross-rateimpliedbytheexchangeratesofthetwocurrenciesagainstathirdcurrency.

13.Triangulararbitrage三角套汇involvesthreesteps:

（1）Pickthecross-ratecurrency

（2）Determinewhetherthecross-ratebid-askquotesareinlinewiththedirectquotesbydeterminingwhetheritischeapertobuyforeigncurrencydirectlyorindirectly.

（3）Iftheactualcross-ratequoteisnotinlinewiththequotedcross-ratequotes,anarbitrageopportunityexists.

三角套汇（IndirectArbitrage）

利用三个不同外汇市场之间的汇率差异，同时在三个外汇市场进行套汇买卖。

计算假设

纽约:

1$=DM1.9100~1.9110,

法兰克福:

1￡=DM3.7740~3.7800,

伦敦:

1￡=$2.0040~2.0050,

1￡=$1.9749~1.9780

具体程序:

a.在纽约外汇市场上卖出10万美元,换回19.1万德国马克;

b.同时,在法兰克福外汇市场上卖出19.1万德国马克,换回5.0529万英镑（19.1/3.78）

c.同时,在伦敦市场上卖出5.0529万英镑,收回10.1260万美元.（2.0040*5.0529）

套汇结果获利1260美元（未扣除费用）.

（2）套利（InterestArbitrage）

两个不同国家的金融市场短期利率存在差异,投资者把资金从利率较低的国家调往利率较高的国家,以赚取利息收益的外汇交易.

同时为了防止在投资期间汇率变动的风险,与掉期交易（Swap）相结合进行,又称抵补套利.

掉期交易（Swap）又称时间套汇（TimeArbitrage）,目的不是为了获利,为了防止在汇率变动而遭受损失.

买/卖掉期:

买进即期外汇,同时卖出远期外汇;

卖/买掉期:

卖出即期外汇,同时买进远期外汇.

请计算:

假定纽约市场美元年利率11%,伦敦市场英镑年利率13%;伦敦外汇市场的即期汇率1￡=$2.0040~2.0050,一年期远期汇率1￡=$1.9840~1.9860,一美国商人在伦敦市场买进1万英镑,存放伦敦收取利息,同时卖出一年期期汇一万英镑,防止汇率风险变动.

计算美国商人的收益?

a.掉期成本

买进现汇1万英镑,付出20050美元;

卖出1年期汇,到时收入19840美元;

成本=20050-19840=$210

b.利息净收入

1万英镑存放伦敦,1年后利息:

10000×13%×1.9840=$2579.20

如果以美元存放纽约,1年后利息:

20050×11%×1=$2205.50

利息净收入=2579.20-2205.50=$373.70

c.套利净收入

373.20-210=$163.70

（3）远期交易投机

远期交易投机的两个条件：

一是外汇市场存在;二是要有远期交易.

投机者一般有两种:

①空头（Oversold）,预期某种货币汇率会大幅度下降,先卖后买.

②多头（Overbought）,预期某种货币汇率会大幅度上升,先买后卖.

14.外汇期权option交易又称货币期权交易，这种交易不是直接买进或卖出某种货币，而是买进或卖出在约定的未来一定时期内买卖某种货币的选择权即期权。

在合约的有效期内，期权的购买者或销售者既可在合约期满时或提前按规定的汇率买卖事先约定的外币，也可以不买或不卖，任凭合约作废。

例如，某美国公司有一笔10万英镑6个月期限的负债，该公司担心6个月后如果英镑对美元汇率上升而增加债务，想买入美元期汇抵补，同时，又担心万一英镑汇率下跌而作了远期交易而吃亏。

因此，该公司便向银行买入6个月的英镑期权。

假定当时市场6个月的英镑远期汇率1￡=$1.5500,买入10万英镑需要支付15.5万美元，另外，期权的手续费是每1英镑2美分，所以还要支付2000美元的手续费，即共支付15.7万美元。

假如6个月后市场英镑汇率上升为1￡=$1.6000，该公司可按原定汇率和银行交割，除手续费外仍可以减少3000美元的损失；如果6个月后市场英镑利率下降为1￡=$1.5000，该公司就与银行取消合约，在外汇市场上按下跌后的英镑汇率买进英镑现汇偿还负债，扣除手续费外，尚可得利3000美元。

由此可见，期权交易可以是弃权的购买者既能免除汇率的波动损失，又能获取汇率波动可能带来的好处，是一种两全其美的保值方式，唯一的代价就是付给签约银行的手续费。

15.ForwardRates远期利率

Spotrates即期汇率，现货汇率arequotedforimmediatecurrencytransactions（althoughinpracticedeliverytakesplace48hourslater）.

Forwardexchangerates远期汇率arecontractedtodaybutwithdeliveryandsettlementinthefuture.

ForwardPremiums/Discounts远期升水和贴水

Givenanexchangerateofa:

b,theannualizedforwardpremiumonthequotedcurrencyaequals:

若给定汇率a:

b,被标价货币a的年化远期升水或贴水等于

Nomonthsforword:

远期的到期月份。

例题：

Ifthe3monthforwardexchangerateis€:

$=1.23778andthespotrateis€:

$=1.2500,calculatetheforwardpremium/discount.

Solution:

[（1.23778-1.2500）/1.2500}*（12/3）*100%=-3.91%

16.CoveredInterestRateArbitrage抛补利率套利

例题：

ForwardQuotationswithBid-AskSpreads-Example远期标价与买卖价差

OntheForexmarket,younoticethefollowingquotes:

Spot:

$:

¥=105.00–105.50

Oneyearinterestrate（¥）:

3½–4%

Oneyearinterestrate（$）:

½-1%

Whatshouldbethequotefortheoneyearforwardexchangerate$:

¥?

Thus,theforwardquotationis$:

¥:

107.60–109.174

16.InterestRateParity利率平价：

Theinterestrateparityrelationshipisthattheforwarddiscount（premium）equalstheinterestratedifferentialbetweenthetwocurrencies.

Fortwocurrencies,AandB,withtheexchangeratequotedasthenumberofunitsofBforoneunitofA,

例题InterestRateParityExample

Spotrate=1.6400$per£

90dayForwardrate=1.6236$per£

U.S.riskfreerate=1.15%

UKriskfreerate=3.75%

Annualizedforwardpremium=–4.0%

Interestrateparityisviolated.

Dollarisstronger,poundweaker

BorrowBritishpounds（£）,transferatSpotrateindollars（$）,investindollars（$）,buy£forward.

CoveredInterestRateArbitrage：

Theprocessofsimultaneouslyborrowingthedomesticcurrency,transferringitintoforeigncurrencyatthespotexchangerate,lendingit,andbuyingaforwardexchangeratecontracttorepatriatetheforeigncurrencyintodomesticcurrencyataknownforwardexchangerate.Thenetresultofsuchanarbitrageshouldbenil.

第2章ForeignExchangeParityRelations外汇平价关系

1.BalanceofPayments国际收支：

tracksallfinancialflowscrossingacountry’sbordersduringagivenperiod（aquarterorayear）.

Abalanceofpaymentsisnotanincomestatementnorabalancesheet.

Theconventionistotreatallfinancialinflowsasacredittothebalanceofpayments.

CurrentAccount经常账户：

Coversallcurrenttransactionsthattakeplaceinthenormalbusinessofresidentsofacountry.

Dominatedbythetradebalance,thebalanceofallexportsandimports.

Madeupof:

Exportsandimports（tradebalance），Services，Income，Currenttransfers。

FinancialAccount金融账户：

Coversinvestmentsbyresidentsabroadandinvestmentsbynonresidentsinthehomecountry.

Itincludes:

Directinvestmentmadebycompanies，Portfolioinvestmentsinequity,bondsandothersecuritiesofanymaturity，Otherinvestmentsandliabilities（suchasdepositsorborrowingwithforeignbanksandviceversa）.

Thesumofthecurrentandfinancialaccountsshouldbezero.

Question:

Whatiftheoverallbalanceis