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雷达卡
Andrew M. Chisholm
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Preface
xiii
1
The Market Background
1
Derivatives building blocks
1 Market participants
2 Origins and development of derivatives
3 The modern OTC derivatives market
6 Exchange-traded futures and options
8 Chapter summary
9
2
Equity and Currency Forwards
11
Introduction
11 The forward price
11 Components of the forward price
13 Forward price and expected payout
14 Foreign exchange forwards
15 Managing currency risk
16 Hedging with FX forwards
17 The forward FX rate
18 Forward points
20 FX swaps
20 Applications of FX swaps
21 Chapter summary
21
3
Forward Rate Agreements
23
Introduction
23 FRA application: corporate borrower
23 Results of the FRA hedge
24 FRA payment dates and settlement
25 The FRA as two payment legs
26 Dealing in FRAs
28 Forward interest rates
29 Chapter summary
29viii
Contents
4
Commodity and Bond Futures
31
Introduction
31 Commodity futures
32 Futures prices and the basis
33 Bond futures
34 Gilt and Euro bund futures
36 The cheapest-to-deliver
37 Chapter summary
38
5
Interest Rate and Equity Futures
39
Introduction
39 Interest rate futures
39 Trading interest rate futures
40 Hedging with interest rate futures
41 Interest rate futures prices
42 Equity index futures
43 The margining system
44 Single stock futures
46 Chapter summary
47
6
Interest Rate Swaps
49
Introduction
49 Sterling interest rate swap
49 Hedging with interest rate swaps
50 Dollar interest rate swap
52 Summary of IRS applications
53 Swap rates and credit risk
54 Cross-currency swaps
55 Gains from cross-currency swap
56 Chapter summary
58
7
Equity and Credit Default Swaps
59
Equity swaps
59 Monetizing corporate cross-holdings
59 Other applications of equity swaps
60 Equity index swaps
62
Hedging equity swaps
63 Credit default swaps
64 Credit default swap premium
65 Chapter summary
66
8
Fundamentals of Options
69
Introduction
69 Call option: intrinsic and time value
70 Long call expiry payoff
71 Short call expiry payoff
72
Put option: intrinsic and time value Long put expiry payoff Short put expiry payoff
Chapter summary
9
Hedging with Options
Introduction Forward hedge revisited Protective put Payoff profile of protective put
Changing the put strike Equity collar
Zero-cost equity collar Collars and forwards Protective put with barrier option Covered call writing (buy–write) Chapter summary
10
Exchange-Traded Equity Options
Introduction UK stock options on LIFFE Stock options: call expiry payoff US-listed stock options CME options on S&P 500␣R
index futures FT-SE 100 index options Expiry payoff of FT-SE 100 call Exercising FT-SE 100 index options Chapter summary
11
Currency Options
Introduction Currency options and forwards Results from the option hedge Zero-cost collar Reducing premium on FX hedges Compound options Exchange-traded currency options
Hedging with exchange-traded options FX covered call writing Chapter summary
12
Interest Rate Options
Introduction OTC interest rate options
Hedging with interest rate calls Caps, floors and collars
73 74 75 76
77
77 77 79 80 82 82 84 84 86 88 89
91
91 92 93 94 95 97 98 99 99
101
101 101 102 104 105 106 107 108 109 111
113
113 113 115 116
Contents
ix
x
Contents
Swaptions
117 Eurodollar options
119 Euro and sterling interest rate options
120 Bond options
121
Exchange-traded bond options
121
Bund and gilt bond options
122 Chapter summary
123
13
Option Valuation Concepts
125
Introduction
125 The concept of expected payout
125 Inputs to the Black–Scholes model
127 Historical volatility
128 Implied volatility
131 Share price simulations
132 Value of a call and put option
133 Pricing currency options
136 Pricing interest rate options
137 Chapter summary
138
14
Option Sensitivities: The ‘Greeks’
141
Introduction
141 Delta
141 Gamma
144
Delta, gamma and expiry
146 Theta
147 Vega
148 Rho
149 Signs of the ‘Greeks’
150 Chapter summary
150
15
Managing Trading Risks on Options
153
Introduction
153 Delta risk on a short call
153 Delta hedging and gamma
155 Profit from a short call position
156 Chasing the delta
157 Practical constraints on hedging
158 Chapter summary
159
16
Option Trading Strategies
161
Introduction
161 Bull spread
161 Bull position with digital options
162 Bear spread
164 Put or bear ratio spread
166 Long straddle
167
Chooser option Short straddle Managing the gamma risk Calendar or time spread Chapter summary
17
Convertible and Exchangeable Bonds
Introduction Investors in convertible bonds Issuers of convertible bonds CB measures of value Conversion premium and parity Other factors affecting CB value Participation rates Mandatorily convertibles and exchangeables Structuring a mandatorily exchangeable Chapter summary
18
Structured Securities: Examples
Introduction Capital protection equity-linked notes Expiry value of 100% capital protection notes 100% participation notes Capped participation notes Average price notes Locking in interim gains: cliquet options Securitization Synthetic securitization Chapter summary
Appendix A: Financial Calculations Appendix B: Glossary of Terms Appendix C: Further Information Index
Preface
This book is based on a series of seminars delivered over a period of many years to people working in the global financial markets. The material has expanded and evolved over that time. Participation on the seminars has covered the widest possible spectrum in terms of age, background and seniority, ranging all the way from new graduate entrants to the finan- cial services industry up to very senior managing directors. What all these many and varied individuals had in common was a strong desire to understand how derivative products are used in practice, without becoming too involved in the more complex mathematics of the subject.
The seminars (and this book) originated from the conviction that bankers, fund managers and other professionals in the modern financial markets must have a grasp of derivative products. In fact the target audience broadened out over the years to include technology specialists, oper- ations experts, finance professionals working in the corporate environment and their business advisers. It is estimated that over 90% of the world’s largest 500 companies now use derivatives to help to manage their exposures to the risks arising from factors such as currency fluctuations, interest rate changes and unstable commodity prices.
Derivatives are everywhere in the modern world, but sometimes are not easily detected except by those in the know. If you have the option to extend a loan or redeem a mortgage early, then you have a derivative product. If a company has the opportunity to increase its production facilities or exploit some new technology, then it has what is known in the world of derivatives as a real option. This has a value, and given certain assumptions its value can be measured.
It is my view that with a little application anyone can achieve a working knowledge of the key derivative products. It is not widely appreciated that many people in the financial markets who handle derivatives regularly are not specialists in higher mathematics. Nor is it important for them to be so, but they do need to understand how the products can be used in practice to create risk management, investment and trading solutions that are appropriate for particular organizations in certain market circumstances. The real strength of derivatives is that they offer a new set of tools with which to solve real-world problems. They are not a substitute for thought or creativity; quite the reverse. Human beings have to analyse the problems and learn how to use the appropriate tools to design the best possible solutions.
A number of excellent textbooks are available that take a quantitative approach to this subject and explain in detail the pricing models used to value derivative products. At the end of this book there is a list of further reading for those who wish to delve more deeply into this subject. .............
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