期权、期货和其他衍生品
Chapter 1 第一章
What is a Derivative 什么是衍生品
A derivative is an instrument who value depends on, or is derived from, the value of another ast.
衍生品是一种金融工具，其价值取决于（衍生于）其他资产的价值。
Derivativesvs Primary Asts
衍生品vs初级资产（标的资产）
Primary Asts 初级资产
Stocks 股票Fixed income 固定收益（利率）Foreign exchanges 外汇Loans 贷款Corporate bonds 公司债券Mortgages 住房抵押贷款Commodities 大宗商品Real Estate 房地产
…...
What is a Derivative 什么是衍生品
Commodity futures 商品期货（日本江户幕府时代，美国CBOT 1865）Index futures 指数期货（美国1982年KCBT，CME）Forwards远期合约(美国CBOT1848)Options期权(18世纪，美国CBOE1973)Swaps 互换（掉期美国1980s Swenn）Exotics 奇异期权(1980s)Credit derivatives 信用衍生品(1990s)（CMO, CLO, CDO, CDS, CDX, CMBS… ）
Why Derivatives Are Important为什么衍生品很重要
Derivatives play a key role in transferring risks in the economy 转移经济活动中的风险
Price discovery 价格发现兴化米粉
The underlying asts include stocks, currencies, interest rates, commodities, debt instruments, electricity, insurance payouts, the weather, etc
标的资产可以是股票，货币，利率，商品，债务，电力，保险支付金，天气等等。。。An
通天纹是什么意思ything!
Many financial transactions have embedded derivatives
许多金融交易和金融业务中都包含了衍生品
The real options approach to asssing capital investment decisions has become widely accepted
利用实物期权的方法评价投资决策已经被广泛使用
How Derivatives Are Traded衍生品如何交易
On exchanges such as the Chicago Board Options Exchange
交易所：如CBOE(芝加哥期权交易所)
In the over-the-counter (OTC) market where traders working for banks, fund managers and corporate treasurers contact each other directly
场外交易市场（OTC）：代表银行、基金经理、公司财务主管的交易员们直接进行交易
Size of OTC and Exchange-Traded Markets场外市场和交易所衍生品交易规模
The Lehman Bankruptcy雷曼兄弟公司破产
Lehman’s filed for bankruptcy on September 15, 2008. This was the biggest bankruptcy in US history
雷曼公司在2008年9月15日申请破产
这是美国历史上最大的破产案，负债6130亿美元
It had hundreds of thousands of transactions outstanding with about 8,000 counterparties
此时，它上有成千上百个未完成的交易，涉及约8000个交易对手
Lehman was an active participant in the OTC derivatives markets and got into financial difficulties becau it took high risks and found it was unable to roll over its short term funding
雷曼是场外衍生品市场中活跃的参与者，后由于过高风险交易而致使短期资金周转困难，陷入财政困境
Unwinding the transactions has been challenging for both the Lehman liquidators and their counterparties
解决这些交易，无论对雷曼的清算人员还是他们的对手，都十分棘手
How Derivatives are Ud宋查理衍生品用途
To hedge risks 对冲风险
To speculate (take a view on the future direction of the market)
投机（预测市场未来走向）
To lock in an arbitrage profit 锁定套利获益
To change the nature of a liability
改变债务性质
To change the nature of an investment without incurring the costs of lling one portfolio and buying another
不需引起买卖证券组合，即可改变投资性质
Foreign Exchange Quotes for GBP 英镑外汇报价（）
| Bid | Offer校本培训心得 |
Spot （现货） | | | 公司委托书范本
1-month forward（一个月远期价格） | | |
3-month forward | | |
6-month forward | | |
| | |
Forward Price 远期价格
远期合约是双方签订的将来某一时刻以预定的价格交易某一资产的合约。该约定价格称作远期价格。
The forward price for a contract is the delivery price that would be applicable to the contract if were negotiated today ., it is the delivery price that would make the contract worth exactly zero)
远期价格指合约在被签订时，令合约双方都同意，都不用向对手付钱的未来交割价格（零成本进入合约）
The forward price may be different for contracts of different maturities (as shown by the table)
不同期限的合约，远期价格可能不同
Terminology 术语
The party that has agreed to buy has what is termed a long position
同意在未来某一时刻以某个价格买入的一方称为长头寸（多头）
The party that has agreed to ll has what is termed a short position
同意在未来某一时刻以某个价格卖出的一方称为短头寸（空头）
Example (page 5) 例子
On May 24, 2010 the treasurer of a corporation enters into a long forward contract to buy ￡1 million in six months at an exchange rate of
2010年5辞世月24日，公司财务主管以的汇率，进入六个月、一百万英镑的远期合约多头寸
This obligates the corporation to pay $1,442,200 for ￡1 million on November 24, 2010
合约要求公司于2010年12月24日以1442200美元的价格购得一百万英镑
What are the possible outcomes
可能的结果有哪些
Profit from a Long Forward Position (K= delivery price=forward price at time contract is entered into)远期合约多头利润
Profit from a Short Forward Position(K= delivery price=forward price at time contract is entered into)远期合约空头利润
K
Profit御泥坊泥浆面膜
Price of Underlying at Maturity, ST
Futures Contracts 期货合约
Agreement to buy or ll an ast for a certain price at a certain time
同意在指定时刻以指定价格买/卖某种资产
Similar to forward contract
与远期合约类似
Whereas a forward contract is traded OTC, a futures contract is traded on an exchange
不同的是，远期合约为场外交易，期货合约在交易所内交易
Exchanges Trading Futures电信查流量怎么查期货交易所
CME Group (formerly Chicago Mercantile Exchange and Chicago Board of Trade)
