(2)-chapter2國(guó)際金融國(guó)際金融

Chapter2activitiesininternationalfinancialmarketforeignexchangeandforeignexchangerateforeignexchangemarketforeignexchangetransactionSection1foreignexchangeandforeignexchangerateⅠforeignexchangeⅡforeignexchangerateⅢimpactofexchangeratechanges外匯是一切以[填空1]計(jì)價(jià)，用于清償[填空2]的[填空3]。作答正常使用填空題需3.0以上版本雨課堂填空題0分Ⅰforeignexchange1)definition2)categories1)definitiondynamicdefinitionforeignexchangeisdefinedasthecurrenciesfreelyflowfromonecountrytoanotherandconvertonecountry’scurrencytoothercurrenciessoastomakepayment1)definitionstaticdefinitionBroadsense:

anyfinancialassetdenominatedinaforeigncurrencycurrencyofanothernation1)definitionNarrowsense:thefinancialassetdenominatedinaforeigncurrencywhichareusedininternationalsettlementMainbody:foreigncurrencydeposita:universalacceptanceb:convertiblec:purchasingpower2)categoriesconvertiblefreelyappreciationordepreciationdeliverytimeⅡforeignexchangerate1）definitionandquotation2）types匯率是用一種貨幣來(lái)表示的另一種貨幣的價(jià)格。正確錯(cuò)誤AB提交投票最多可選1項(xiàng)1）definitionandquotationdefinitionTheexchangerateissimplythepriceofonecurrencyintermsofanother請(qǐng)列出匯率的標(biāo)價(jià)方法有哪些？[填空1]

[填空2]

[填空3]

作答正常使用填空題需3.0以上版本雨課堂填空題0分間接標(biāo)價(jià)法表示的是哪種貨幣的價(jià)格？本幣外幣美元ABC提交單選題2分1）definitionandquotationQuotationdirectquotationmethoddomesticcurrencyunitsperunitofforeigncurrency1USD=6.4550CNYbasecurrencyquotedcurrency1）definitionandquotationindirectquotationmethodforeigncurrencyunitsperunitofthedomesticcurrency1CNY=0.1549USDquotedcurrencyBasecurrency1）definitionandquotation1）definitionandquotationUSdollarquotationmethodrequirementsoftransactionconvenienceUSDisthebasecurrency1.Whathashappenedtotheexchangeratevalueofthedollarineachcase?a.Thespotrategoesfrom$0.50/SFrto$0.51/SFrb.ThespotrategoesfromSFr2/$toSFr1.96/$c.Thespotrategoesfrom$0.010/yento$0.009/yend.Thespotrategoesfrom100yen/$to111yen/$a.美元[填空1]

b.美元[填空2]

c.美元[填空3]

d.美元[填空4]

作答正常使用填空題需3.0以上版本雨課堂填空題0分1）definitionandquotation

Iftheexchangerategoesup,whetheritmeansthatthedomesticcurrencywillappreciate?1）definitionandquotationExchangerategoesup,basecurrencyappreciates,quotedcurrencydepreciatesExchangerategoesdown,basecurrencydepreciates,quotedcurrencyappreciates2）typesdeliverytimeSpotexchangerateForwardexchangerate2）typeschangesofexchangeratefixedexchangeratefloatingexchangerate2）typestransactionsbidrateofferratemiddleratesection2foreignexchangemarketⅠdefinitionⅡcharacteristicsⅢparticipantsⅣpracticeⅠdefinition

foreignexchangemarketisthemarketinwhichnationalcurrenciesandotherfinancialassetsdenominatedinvariouscurrenciesareboughtandsoldagainstoneanother.Ⅱcharacteristicslargestandmostperfectmarketanover-the-countermarket24-hour各主要外匯市場(chǎng)開(kāi)盤(pán)收盤(pán)時(shí)間（北京時(shí)間）

新西蘭惠靈頓外匯市場(chǎng)：04：00-12：00

澳大利亞外匯市場(chǎng)：6：00-14：00

日本東京外匯市場(chǎng)：08：00-14：30

新加坡外匯市場(chǎng)：09：00-16：00

英國(guó)倫敦外匯市場(chǎng)：15：30-00：30

德國(guó)法蘭克福外匯市場(chǎng)：15：30-00：30

美國(guó)紐約外匯市場(chǎng)：21：00-04：00ⅢparticipantsretailclientscommercialbanksforeignexchangebrokerscentralbanksMainbodyⅣPracticequotation[example1:spotrate]指在一定報(bào)價(jià)方式下，商業(yè)銀行之間或商業(yè)銀行向客戶報(bào)出的愿意買(mǎi)入外匯和愿意賣(mài)出外匯的價(jià)格USD/CAD:1.3251/75“兌”basecurrencyquotedcurrencybidrateOfferrateⅣPracticeMeaning:ifthebankwantstobuyoneUSD,hewillwishtopay105.86JPY;ifthebankwantstoselloneUSD,hewillwishtobepaid106.02JPYUSD/JPY:105.86/02106.02Exchangeratequotation(2021)貨幣名稱(chēng)交易單位現(xiàn)匯買(mǎi)入價(jià)現(xiàn)鈔買(mǎi)入價(jià)現(xiàn)匯賣(mài)出價(jià)現(xiàn)鈔賣(mài)出價(jià)澳大利亞元100473.07458.37476.55478.66加拿大元100511.57495.41515.34517.61美元100645.06639.82647.80647.80瑞士法郎100701.85680.20706.79709.81歐元100761.08737.43766.69769.15英鎊100886.49858.95893.02896.97港幣10082.9282.2683.2583.25日元1005.83695.65555.87985.8889韓國(guó)元1000.55560.53600.56000.5806澳門(mén)元10080.6077.9080.9283.61ⅣPracticeGBP/USD:1.6001從右向左，第一位變動(dòng)一個(gè)單位，為一個(gè)基本點(diǎn)GBP/USD:1.6024匯率上升了23個(gè)點(diǎn)ⅣPractice[exercise]SupposespotexchangerateGBP/USD=1.5368/811)Acustomerwantstosell2millionUSD,howmuchpoundshewillreceive?2)Ifthecustomerwantstobuy2millionUSD,howmuchpoundshewillpay?ⅣPractice[example2:forwardrate]SupposeinFrankfurtUSD/CADspotratethree-monthforward1.3347/8730/20forwardrate

遠(yuǎn)期匯率的報(bào)價(jià)方式一般是只報(bào)即期匯率以及遠(yuǎn)期與即期相差的點(diǎn)數(shù)USDwilldepreciate;CADwillappreciate銀行在遠(yuǎn)期交易中承擔(dān)的風(fēng)險(xiǎn)大于即期交易，所以遠(yuǎn)期交易的買(mǎi)賣(mài)差價(jià)一定要大于即期+/－(1.3347-0.0030)/(1.3387-0.0020)ⅣPracticecrossrate

CAD/CHFUSD/CAD,USD/CHF規(guī)則：如果兩種貨幣的標(biāo)價(jià)方法相同，將豎號(hào)左右的數(shù)字交叉相除；如果兩種貨幣的標(biāo)價(jià)方法不同，將豎號(hào)左右的兩邊對(duì)應(yīng)相乘。ⅣPractice[example1]SupposeUSD/CHF=1.3894/1.3904USD/CAD=1.6917/1.6922CAD/CHF=?Step1:quotationmethodsarethesameStep2:CAD/CHF=(USD/CHF)/(USD/CAD)=(1.3894/1.6922)/(1.3904/1.6917)=0.8211/0.8219ⅣPractice[example2]SupposeGBP/USD=1.6808/1.6816

USD/EUR=1.6917/1.6922GBP/EUR=?Step1:quotationmethodsaredifferentStep2:GBP/EUR=(1.6808×1.6917)/(1.6816×1.6922)=2.8434/2.8456

exerciseSupposeinHongKongexchangeratesareasfollowingUSD/EUR=1.0114/24USD/HKD=7.7920/30EUR/HKD=?SupposeUSD/JPY=120.10/90GBP/USD=1.4819/30Ifaclientwantstoconvert10millionofJPYtoGBP,Howmuchpoundswillhereceive?Section3foreignexchangetransactionsⅠspottransactionsⅡforwardtransactionsⅢarbitrageⅣinnovationaltransactionsⅠspottransactions即期交易又稱(chēng)現(xiàn)匯交易，在兩個(gè)交易日內(nèi)辦理交割的交易。caseexport1millionUSDworthofgoods;receivepayment3-monthlateratpresent:spotrateUSD/CNY=6.383-monthlaterspotrate=

Ⅱforwardtransactions1)definitionforwardtransactionsrefertoconvertonecurrencytoanotheronsomedateinthefutureatapricesetnow.Ⅱforwardtransactions2）applicationHedgingusing[example]supposeimport50000GBPworthofgoodsatpresentspotrate:GBP/USD=1.53monthslaterspotrate:GBP/USD=1.63-monthforwardrate:GBP/USD=1.50105000USDoflosses多花費(fèi)50美元達(dá)到減少5000美元損失的目的Explainthenatureofexchangerateriskofthefollowing,fromtheperspectiveoftheU.S.firmorperson.AsmallU.S.firmsoldexperimentalcomputercomponentstoaJapanesefirm,anditwillreceivepaymentof1millionyenin60days.日元貶值，賣(mài)出遠(yuǎn)期日元日元升值，賣(mài)出遠(yuǎn)期日元日元貶值，買(mǎi)入遠(yuǎn)期日元日元升值，買(mǎi)入遠(yuǎn)期日元ABCD提交單選題2分AU.S.firmmustrepayayenloan,principalplusinteresttotaling100millionyen,comingduein60days.日元貶值，賣(mài)出遠(yuǎn)期日元日元貶值，買(mǎi)入遠(yuǎn)期日元日元升值，買(mǎi)入遠(yuǎn)期日元日元升值，賣(mài)出遠(yuǎn)期日元ABCD提交單選題2分HedgingusingIfyoumakepaymentinthefuture,youshouldbuyforwardexchange;ifyoureceivepaymentinthefuture,youshouldsellforwardexchangeⅡforwardtransactionsSpeculatingusingAspeculatorpredictGBPwillappreciatespotrateGBP/USD=1.5845;One-monthforwardGBPisatpremiumof40points;ThespeculatorwillbuyforwardGBPtowaitfortheappreciation;Ifone-monthlater,spotrate:1.5895;Ifspotrate:1.5835gainprofitlossesBuylongorbull（“買(mǎi)空”）：先買(mǎi)后賣(mài)ⅡforwardtransactionsAspeculatorpredictUSDwilldepreciatespotrateUSD/DEM=2.6790;one-monthforwardUSDisatdiscountof40points;ThespeculatorwillsellforwardUSDtowaitforthedepreciation;Ifone-monthlater,spotrate:2.6740;Ifspotrate:2.6795gainprofitlossesSellshortorbear（“賣(mài)空”）：先賣(mài)后買(mǎi)Thecurrentspotexchangerateis$0.50/SFr.Thecurrent180-dayforwardexchangerateis$0.52/SFr.Youexpectthespotratetobe$0.51/SFrin180days.Howwouldyouspeculateusingaforwardcontract?賣(mài)出遠(yuǎn)期美元賣(mài)出遠(yuǎn)期瑞士法郎買(mǎi)入遠(yuǎn)期瑞士法郎ABC提交單選題2分SpeculatingusingPredictappreciationBuyforwardcontractPredictdepreciationSellforwardcontractⅢarbitragedefinitionArbitragetradingrefertomakeuseofdifferenceofexchangeratesandinterestratesindifferentforeignexchangemarketordifferentdeliverytimetobuysomefinancialassetsatalowerpriceandsellatahigherprice.Ⅲarbitragecategoriesspacearbitragetimearbitrageinterestarbitrage地點(diǎn)套匯按照涉及外匯市場(chǎng)多少的不同，可以分為[填空1]套匯和[填空2]套匯。作答正常使用填空題需3.0以上版本雨課堂填空題0分Ⅲarbitragespacearbitrage[example]SupposeinNewYorkUSD/HKD=7.8010/25inHongKongUSD/HKD=7.8030/45Whatwillyoudotogainaprofitapplyingthedifferentmarkets?ⅢarbitragedefinitionItalsoreferstobuycertainforeignexchangeatlowerpricebutsellathigherpricethroughdifferentmarketsonapointoftime.directarbitrage(two-pointarbitrage);indirectarbitrage(three-pointarbitrage)Ⅲarbitragedirectarbitrage[example]NewYork:USD/DEM=1.6920Frankfurt:USD/DEM=1.7020IfyouhaveoneUSD,howtodothearbitragetrading?利用兩個(gè)不同地點(diǎn)的外匯市場(chǎng)之間的某一貨幣匯率的差異，同時(shí)在這兩個(gè)外匯市場(chǎng)上一邊買(mǎi)進(jìn)，一邊賣(mài)出該貨幣，以賺取外匯差額的一種交易，兩角套匯是最簡(jiǎn)單的一種套匯Ⅲarbitrage[exercise]NewYork:USD/JPY=128.40/50Tokyo:USD/JPY=128.70/90Ifyouhave1millionUSD,howtogainprofit?Ⅲarbitrageindirectarbitrage[example]NewYork:GBP/USD=1.6410/50London:GBP/HKD=12.680/90HongKong:USD/HKD=7.7710/50Step1:whetherthereisachancetodoarbitrageStep2:findoutthepath利用三個(gè)市場(chǎng)之間的貨幣匯率差異，同時(shí)在這三個(gè)外匯市場(chǎng)上進(jìn)行套匯買(mǎi)賣(mài)1.643012.6857.7730middleratequotationmethod(direct)(indirect)(direct)1/12.6851.6430×7.7730/12.685≠11.6410×7.7710/12.690=1.0049NewYorkHongKongLondonⅢarbitrage[exercise]NewYork:USD/DEM=2.4982/2.5000Frankfurt:FRF/DEM=0.2500/0.2510Paris:USD/FRF=12.000/12.010Isthereachancetodoarbitragetrading?Howtodo?2.49910.250512.0051/2.49910.2505×12.005/2.4991=1.2(2.4982/0.2510)÷12.010=0.8287Ⅲarbitrage[exercise]supposespotexchangerateNewYork:USD/CHF=1.5349/89London:GBP/USD=1.6340/70Zurich:GBP/CHF=2.5028/48Isthereachancetodoaarbitragetrading?IfaSwissbusinessmanhave1millionSwissFranc,howwillhegainprofit?Ⅲarbitragetimearbitrage(swaptransaction)definitionswaptransactionrefertoacombinationoftwoormoretradingwhicharethesameincurrencyandtradevolume,butinoppositedirectionanddifferentinthetimeofdelivery.Ⅲarbitragecharacteristicsswapwon’tchangeforeignexchangevolumeheldbythetradersimultaneousofbuyingandsellingtradewiththesamedealerⅢarbitrageinterestarbitragedefinitionItreferstoutilizingthedifferenceofinterestratesindifferentfinancialmarketstoearnprofit無(wú)風(fēng)險(xiǎn)套利指的是拋補(bǔ)的利息套匯非拋補(bǔ)的利息套匯AB提交單選題2分Ⅲarbitrage[example]supposeinterestrateinJapanis3%,interestrateinUSAis6%aninvestorinJapanown130millionJPYandwanttoinvesttheminUSAforoneyearspotUSD/JPY129.50/130.00,calculatetheprofit.①ifexchangeratewon’tchangeoneyearlater②ifspotUSD/JPY132.00/50oneyearlater③ifspotUSD/JPY125.00/50Whatwillyoudotogainmoreprofit?ProfitfromJapan:130×(1+3%)=133.90millionJPYⅢarbitrage①130millionJPY÷130=1millionUSD1millionUSD×(1+6%)×129.5=137.27millionJPY②1millionUSD×(1+6%)×132=139.92millionJPY③1millionUSD×(1+6%)×125=132.50millionJPYmorethan133.90ProfitfromhigherinterestrateandappreciationofUSDlessthan133.90Ⅲarbitrageuncoveredinterestarbitrage

單純把資金從低利率的貨幣轉(zhuǎn)向高利率的貨幣，從而謀取利差收益但不同時(shí)進(jìn)行反方向交易扎平頭寸，從而要承擔(dān)高利率貨幣貶值的風(fēng)險(xiǎn)，所以從低利率的貨幣來(lái)看，最終可能并不獲利。howtoavoidtheexchangerateandmakesuretogainprofit?ⅢarbitragecoveredinterestarbitrageSupposeoneyearforwardrateUSD/JPY=127.00/127.501millionUSD×(1+6%)×127.00=134.62millionJPY把資金投向高利率貨幣的同時(shí)，通過(guò)遠(yuǎn)期交易扎平外匯頭寸，規(guī)避高利率貨幣貶值風(fēng)險(xiǎn)，獲取穩(wěn)定收益exercise

某一時(shí)期，美國(guó)金融市場(chǎng)上定期存款利率為年率12%，英國(guó)金融市場(chǎng)上定期存款利率為年率8%。某英國(guó)投資者以8%的年利率向本國(guó)銀行拆借10萬(wàn)英鎊，購(gòu)買(mǎi)美元現(xiàn)匯并存入美國(guó)銀行，作三個(gè)月的短期套利。⑴supposethecurrentspotrateisGBP/USD=2;threemonthslater,spotrateisGBP/USD=2.1,pleasecalculatethenetprofitoftheuncoveredinterestarbitrage.⑵supposethecurrentspotrateisGBP/USD=2;threemonthslater,spotrateisGBP/USD=1.95,pleasecalculatethenetprofitoftheuncoveredinterestarbitrage.⑶supposethecurrentspotrateisGBP/USD=2;three-monthforwardUSDisatdiscountof10points,pleasecalculatethenetprofitofthecoveredinterestarbitrage.Ⅳinnovationaltransactions1)foreigncurrencyfutures2)foreigncurrencyoptions1)futuresstandardforwardtransactionscharacteristicstradingobjectStandardizedcontractwaysoftradingdeliveryfuturecontractscalefixedvaluedatepricemarginsettlement010203我國(guó)一家進(jìn)出口公司（A公司）出口價(jià)值100萬(wàn)美元的貨物；貨款一個(gè)月之后到賬，當(dāng)前匯率為：1美元＝6.4元人民幣為了防止一個(gè)月后美元貶值，A公司該如何利用遠(yuǎn)期？為了防止一個(gè)月后美元貶值，A公司該如何利用遠(yuǎn)期？買(mǎi)入遠(yuǎn)期美元賣(mài)出遠(yuǎn)期美元買(mǎi)入即期美元賣(mài)出即期美元ABCD提交單選題2分如果1個(gè)月遠(yuǎn)期美元價(jià)格是1美元=6.37元人民幣，一個(gè)月后即期交易價(jià)格為1美元=6.42元人民幣，你是否愿意執(zhí)行遠(yuǎn)期合約？YESNOAB提交投票(匿名)最多可選1項(xiàng)如果1個(gè)月遠(yuǎn)期美元價(jià)格是1美元=6.37元人民幣，一個(gè)月后即期交易價(jià)格為1美元=6.32元人民幣，你是否愿意執(zhí)行遠(yuǎn)期合約？NOYESAB提交投票最多可選1項(xiàng)在商品成交價(jià)格之外支出很小的金額獲取免費(fèi)退換貨的選擇權(quán)！2)optionsDefinitioncurrencyoptionsrefertoakindofchoicerighttobuyorsellcertainamountofforeignexchangeinthefutureatthepricesetintheoptioncontract,forwhichthebuyeroftheoptionpaytotheselleroptionfee.外匯期權(quán)也稱(chēng)貨幣期權(quán)，指合約購(gòu)買(mǎi)方在向出售方支付一定期權(quán)費(fèi)后所獲得的在未來(lái)約定日期或一定時(shí)間內(nèi)，按照規(guī)定匯率買(mǎi)進(jìn)或賣(mài)出一定數(shù)量外匯資產(chǎn)的選擇權(quán)2)optionscategoriescontentoftherightperformancemodecalloptionputoptionAmericanoptionEuropeanoption010203我國(guó)一家進(jìn)出口公司（A公司）出口價(jià)值100萬(wàn)美元的貨物；貨款一個(gè)月之后到賬，當(dāng)前匯率為：1美元＝6.4元人民幣為了防止一個(gè)月后美元貶值，A公司應(yīng)該做