derivative underlying

1997

off-balance-sheet

http://finance.jrj.com.cn/2011/08/15025910732783.shtml

forwards 1 2

forward contractsdelivery price

forward price=+

1 2 3

456default risk

financial forwards12

100331.2486511003800865100 31.22487:1816413-800865=15548

(forward rate agreements FRA)1 2 nominal

Ic Ir Ic Ir

contract amount contract currencydealing datestarting datefixing datesettlement date maturity datecontract periodcontract ratereference settlement sum

2 2

141413

settlement sum 1

2

= =

IrIcM nB360365

110%9%6x12

1+IsTs/B1+IfTf/B=1+IlTl/BIsTsIlTlIfTfB

(Futures) standardization ,

12

3 T+0

2%98% 4

56

12

34

1 2 3 4

5margin 1initial marginvariation margin 5%10% 75%2

6dayto-day marketing

7 8 9

300

Hedge) hedge 1 2(Position) 3

Perfect)Imperfect)00

4

(basis) 1. 2

1: 2 pyr

(fyp)-(p+rp)=0 f=p + p(r-y)

(premium)discountr-y

fpA rp

fpA rp

A f A P*y f+p*y p P*r p+p*r =- (p+p*r) -f+p*y

f=p+p(r-y)

SFrr*

3net financial costcost of carrycarryry

4123 45 6

1 212

3 1 2 3 4

2070CME)IMM)1972: 1975CBOTGNMA

: 19761(CBOT): 19778 CBOT: 19822, 19824(CME)500

1234

11009090

YD

9192.52 ,7.48%D1.890778 100-1.890778=98.109222100 100$981092.22

2108$103208$10 1001%1/32$10$31.2593.219321/3293.65635$93656.35

:3 6912, CD1

100100

2$10952100095$19 1.250.8$200.816

12123

3,,

11

2

11%

90889.5010.5%

21 2 3 4(duration)

1993199512,319944T+056327

123FI4

1

100101.4605634951

101.494585035102.9598164941

100.3781363536101.8102803534

100.0268440762101.4370684301

98.9837771108100.3291187254

99.581113506100.9177528128

100.9188924283102.2564440704

100.6884023759102.0058967657

99.2109141249100.4923256602

96.655608719797.8550760716

98.9247111529100.1356467257

101.1943094942102.41595643

100.0897837282101.2812149007

100.6288518921101.809730227

98.007454724398.8770221764

97.529136210998.3780620899

101.1355399855101.9988559704

97.384615384698.1995446688

100.4572527548101.2810127606

100.0376053683100.8075078646

101.2097541924101.9716810029

99.8610796236100.5960859367

99.3802680836100.0950515864

98.320226302899.010882363

101.2180773756101.8781377508

100.5733821734101.2123682472

97.606398477198.210164299

99.6049652976100.20439157

100.6828137722101.2718465277

101.539430862102.0824211804

100.5975443517101.118643344

100.1340495595100.6359735716

99.9679875831100.4523357549

100.709835811101.1809133709

100.335795189100.7547331837

99.7906503284100.1906123204

100.5644090305100.9506457459

100.2153099746100.5834406049

100.4507020735100.8028955098

100.140687754100.4415609013

99.356403453499.6383124457

100.1323237872100.39969966

101.1277980268101.3809338098

99.750915197999.9839390889

100.242612841100.4265595308

100.9430980227101.1114767961

100.4496167508100.6004042383

101.0050157732101.1397789497

99.296579172899.412492785

99.9619586648100.0286221893

101.7765566916101.8274576941

100.255812787100.2892369616

100.0077321229100.0244014673

99.961797170399.9617971703

3

Sheet1

Sheet2

dateopprhiprloprclprvolsumssfsf

1/2/012196.232224.672193.922224.591777774714274988000100101.460563/30/01100100.4845032730.484503273

1/3/012229.722246.692226.712246.691627928217869412000101.494585035102.959823/30/01101.494585035101.98066387160.4860788366

1/4/012248.392249.892235.132239.31274885914444427000100.3781363536101.810283/30/01100.3781363536100.85326516880.4751288151

1/5/012239.582247.992235.732247.91276747515081283000100.0268440762101.437073/30/01100.0268440762100.49472689270.4678828165

1/8/012251.442255.062213.012223.8140360771603730700098.9837771108100.329123/30/0198.983777110899.43020782360.4464307128

1/9/012220.862233.452203.742223109894581171717300099.581113506100.917753/30/0199.581113506100.02468120860.4435677025

1/10/012224.012248.32223.992248.251215305413165363000100.9188924283102.256443/30/01100.9188924283101.36278762480.4438951965

1/11/012252.532254.352239.32241.581352406514886809000100.6884023759102.005903/30/01100.6884023759101.12566550540.4372631295

1/12/012239.122240.12221.632226.24101915051122849400099.2109141249100.492333/30/0199.210914124999.63622541370.4253112888

1/15/012218.042218.042147.332149.57143373811386273900096.655608719797.855083/30/0196.655608719797.05378858670.398179867

1/16/012134.422164.652124.242164.62105048121040999800098.9247111529100.135653/30/0198.924711152999.32672044930.4020092964

1/17/012165.152167.352149.612152.6268769006713944000101.1943094942102.415963/30/01101.1943094942101.59989736720.4055878729

1/18/012151.662168.152151.542161.499905028785230000100.0897837282101.281213/30/01100.0897837282100.48536197490.3955782467

1/19/012165.122187.552165.072185.2114028179166183000100.6288518921101.809733/30/01100.6288518921101.02094823160.3920963394

2/5/012189.752192.632121.932124.358638156770460800098.007454724398.877023/30/0198.007454724398.29645749740.2890027731

2/6/012115.452115.452069.52110.729146423826283900097.529136210998.378063/30/0197.529136210997.81129441450.2821582036

2/7/012111.032113.7920932094.4156456695289893000101.1355399855101.998863/30/01101.1355399855101.42249701260.2869570271

2/8/012091.862101.952038.262042.178386970778231300097.384615384698.199543/30/0197.384615384697.65550426550.2708888809

2/9/012047.582077.472047.582070.82107437558242027000100.4572527548101.281013/30/01100.4572527548100.73109227750.2738395227

2/12/012072.632076.222048.352075.5768503726682256000100.0376053683100.807513/30/01100.0376053683100.29358397090.2559786026

2/13/012076.962088.882073.132077.9651064865220190000101.2097541924101.971683/30/01101.2097541924101.46309512210.2533409297

2/14/012077.112081.452070.252077.324184401425581700099.8610796236100.596093/30/0199.8610796236100.10548307850.2444034549

2/15/012077.592081.182057.422059.54076350424334700099.3802680836100.095053/30/0199.380268083699.61796029890.2376922153

2/16/012054.762054.842022.862054.436255294618003600098.320226302899.010883/30/0198.320226302898.5499080220.2296817192

2/19/012055.092082.882047.52080.9653484805255318000101.2180773756101.878143/30/01101.2180773756101.43762096290.2195435873

2/20/012083.342094.72059.242065.6264359346580742000100.5733821734101.212373/30/01100.5733821734100.7859280330.2125458596

2/21/012060.482060.482009.952018.657617817765437800097.606398477198.210163/30/0197.606398477197.80724020170.2008417246

2/22/012010.82032.72002.012016.435054734533666200099.6049652976100.204393/30/0199.604965297699.8043745710.1994092734

2/23/012016.062047.872015.682047.5662097405815828000100.6828137722101.271853/30/01100.6828137722100.87877636750.1959625953

2/26/012052.32067.292046.712067.276243487163294000101.539430862102.082423/30/01101.539430862101.72010595830.1806750963

2/27/012068.892075.322058.942075.0673985936875916000100.5975443517101.118643/30/01100.5975443517100.77094495240.1734006007

2/28/012077.122077.732061.72069.5661375386859004000100.1340495595100.635973/30/01100.1340495595100.30107879440.167029235

3/1/012069.282076.942061.042073.2411664039840226000099.9679875831100.452343/30/0199.9679875831100.12917693070.1611893477

3/2/012075.772094.222075.672091.7150824969023584000100.709835811101.180913/30/01100.709835811100.86661746530.1567816543

3/5/012095.12097.82082.642087.594550687373954000100.335795189100.754733/30/01100.335795189100.47524727940.1394520904

3/6/012086.812091.952078.282091.958449012745507500099.7906503284100.190613/30/0199.790650328499.92379327110.1331429427

3/7/012093.482099.182090.012095.6476448287247412000100.5644090305100.950653/30/01100.5644090305100.69299012920.1285810986

3/8/012096.12107.172094.512105.9674715857286668000100.2153099746100.583443/30/01100.2153099746100.33787023610.1225602615

3/9/012108.352118.442103.952114.911028210610348904000100.4507020735100.802903/30/01100.4507020735100.56796294810.1172608746

3/12/012116.192118.342106.912114.0965999637661413000100.140687754100.441563/30/01100.140687754100.24087852880.1001907748

3/13/012113.472114.132093.352099.876822658706143400099.356403453499.638313/30/0199.356403453499.45028438230.0938809289

3/14/012097.412120.182096.122120.1870916207301511000100.1323237872100.399703/30/01100.1323237872100.22136986740.0890460802

3/15/012121.412129.32119.762125.0397717169686174000101.1277980268101.380933/30/01101.1277980268101.21210631540.0843082886

3/16/012125.482126.522114.482122.849521477916835500099.750915197999.983943/30/0199.750915197999.82852942250.0776142246

3/19/012122.492138.872119.612138.861093821010405850000100.242612841100.426563/30/01100.242612841100.30389093750.0612780965

3/20/012141.642148.612139.62148.4582851599420855000100.9430980227101.111483/30/01100.9430980227100.99919310220.0560950794

3/21/012150.352169.552149.222169.551610109311958952000100.4496167508100.600403/30/01100.4496167508100.49985411750.0502373667

3/22/012174.372189.542170.822189.541765452714955408000101.0050157732101.139783/30/01101.0050157732101.04991686860.0449010954

3/23/012192.92195.62155.552156.61148626551360325600099.296579172899.412493/30/0199.296579172899.33520201870.0386228459

3/26/012154.732192.192154.732192.07160473841218308800099.9619586648100.028623/30/0199.961958664899.98417490180.022216237

3/27/012198.382209.282193.012209.231254301612825149000101.7765566916101.827463/30/01101.7765566916101.79352086460.0169641731

3/28/012211.762215.072198.622208.451123079812478581000100.255812787100.289243/30/01100.255812787100.26695294060.0111401536

3/29/012208.832213.442198.792203.281131967112783722000100.0077321229100.024403/30/01100.0077321229100.01328826230.0055561395

3/30/012202.872214.752197.952214.69212165271337801400099.961797170399.961803/30/0199.961797170399.96179717030

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Sheet2

100101.4605634951

101.494585035102.9598164941

100.3781363536101.8102803534

100.0268440762101.4370684301

98.9837771108100.3291187254

99.581113506100.9177528128

100.9188924283102.2564440704

100.6884023759102.0058967657

99.2109141249100.4923256602

96.655608719797.8550760716

98.9247111529100.1356467257

101.1943094942102.41595643

100.0897837282101.2812149007

100.6288518921101.809730227

98.007454724398.8770221764

97.529136210998.3780620899

101.1355399855101.9988559704

97.384615384698.1995446688

100.4572527548101.2810127606

100.0376053683100.8075078646

101.2097541924101.9716810029

99.8610796236100.5960859367

99.3802680836100.0950515864

98.320226302899.010882363

101.2180773756101.8781377508

100.5733821734101.2123682472

97.606398477198.210164299

99.6049652976100.20439157

100.6828137722101.2718465277

101.539430862102.0824211804

100.5975443517101.118643344

100.1340495595100.6359735716

99.9679875831100.4523357549

100.709835811101.1809133709

100.335795189100.7547331837

99.7906503284100.1906123204

100.5644090305100.9506457459

100.2153099746100.5834406049

100.4507020735100.8028955098

100.140687754100.4415609013

99.356403453499.6383124457

100.1323237872100.39969966

101.1277980268101.3809338098

99.750915197999.9839390889

100.242612841100.4265595308

100.9430980227101.1114767961

100.4496167508100.6004042383

101.0050157732101.1397789497

99.296579172899.412492785

99.9619586648100.0286221893

101.7765566916101.8274576941

100.255812787100.2892369616

100.0077321229100.0244014673

99.961797170399.9617971703

3

Sheet3

3003003000.29:15-11:3013:00-15:159:15-11:3013:00-15:0010%12%IF

500 CME)

1FI2

option contracts writer, ()premium(exercise price)(strike price) maturity date

1 2 1973CBOE

1 1call option2put option

21European option2American option

31 2

4

////

1

2

X

1

2

X

X X X X

XS 1In -The-MoneyITM)X 2Out-The-MoneyOTM)X 3At-The-MoneyATM)XS

X19 S>19S=19 S

Intrinsic ValueIVXS=Max[S-X0] =Max[X-S0]Time ValueTV =+

X SX S

Ccall option Pput option A TXS(T) S(T)>XS(T)S(T)XXA max[S(T)X]

BAS(0)TS(T)XXS(T)>XSTB max[S(T)X]AB max[S(T)X]AB

1S2X3T45rSXSXTr

909.59%110080120 80 0 120 20

ndc

0n=0.5d=36.5 c=8.5p=8.5+100/(1+0.0959)-90=9.75

Black-scholes 1973BlackScholes NtSTtTXr

Hull.J.C,Option,Future,and Other Derivative Securities,Prentice Hall,1997

(bull call spread) (bull put spread) (bear call spread)(bear put spread)

1Spreads) Bull Spreads)Bear Spreads)Butterfly Spreads)2Calendar Spreads)3Cross spreads)4Straddle)

5Strips)6Exotic Options)

5.5http://finance.sina.com.cn/stock/othermarket/20041208/09191209723.shtml5000

$5000510%$50006CD6+0.4%9.6%

$5000 +1.6%$500067.4%

1.5%1.1%

Swaps , !

1981IBM 1985ISDA1998$20

LIBOR360365/36010%10%M1.5%6M1.6%

1

550006+1.6%59%5000

FIsSwap5000510%+1.6%6

10%+0.4%9%+1.6%10%10%+1.5%+1.6% 1.1%1%0.1%

2A210B210

AB

A11.5%6LIBOR+0.5%B10.25%6LIBOR

210610.5%ALIBORBAB6LIBOR+0.5%10.25%10.50%LIBORLIBOR10.40%

A211%11.5%0.5%BLIBOR-0.15%LIBOR 0.15%0.1%!

3

:

11011.271=1.2710

6%11%6%6.5%11%11.25%1.27111.27

6506.5%0.5%7.5%11.271100-650=4501428.75-762=666.751:1.2775

2

11:1.511LIBOR-0.25%1LIBOR2511.5

1.51.51.5111,LIBOR-0.25%13501.51LIBOR142511.5

752525