远期交易与国际金融投资

McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.CHAPTER4ForwardExchangeandInternationalFinancialInvestmentMcGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Manyinternationalactivitiesleadtomoneyexchangesinthefuture,sowhentheratechanged,maybeonegettheprofit,anothercommitloss.Thischapterexaminesfutureexchangesofmoneysandtheexposuretotherisksofuncertainfutureexchangerates.Itdiscusseshowforwardforeignexchangecontractscanbeusedtoreducetheriskexposureortospeculateonfutureexchangerates.2McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Unit1:ExchangerateriskInthisunit,weshouldlearnwhatishedgingandwhatisspeculation.3McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.HedgingandSpeculationYouareexposedtoexchangerateriskifthevalueofyourincomeorwealthornetworthwillchangeifexchangeratesinthefuturechangeinwaysthatarenotexpected.Hedgingistakinganactiontoreduceyourexposuretoexchangeraterisk.(donotwanttogamble，套期保值套期保值)Speculationistakinganactionthatincreasesyourexposuretoexchangeraterisk,usuallytotrytoprofitfromyourbeliefaboutwhatfutureexchangerateswillbe.(willingtogamble，投机投机)4McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Unit2:ThemarketbasicsofforwardforeignexchangeForlargertransactionsinvolvinginternationaltradeingoodsandservices,internationalfinancialinvestment,orpurespeculationonfutureexchangeratemovements,forwardforeignexchangeandforwardexchangeratesareoftenuseful.Aswementionedinthepreviouschapter,aforwardforeignexchangecontractisanagreementtoexchangeonecurrencyforanotheronsomedateinthefutureatapricesetnow(theforwardexchangerate).5McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Banksactingasforeignexchangedealersgenerallyarewillingtomeettheneedsoftheircustomersforthespecificsizeoftheforwardexchangecontract(theamountofforeignexchange)andthespecificdateinthefuturefortheexchange.Commondatesforfutureexchangeare30,90,and180daysforward(one,three,andsixmonths).Forinstance,tobuy100,000of90-dayforwardsterlingat1.4407/,yousignanagreementtodaywithyourbankthat90daysfromnowyouwilldeliver144,070indollarbankdepositsandreceive100,000inpoundbankdeposits.Theexchangeoftheseamountswilltakeplacetocarryouttheforwardcontract,regardlessofwhattheactualspotexchangerateturnsouttobein90days.Intheoppositetrade,somebodyagreeingnowtosell90-dayforwardsterlingmustdeliverpoundsattheagreedpriceof1.4407in90days.Thatpersonneednotownanysterlingatalluntilthen，buttherateatwhichhegivesitupin90daysisalreadysetnow.Donotconfusetheforwardrate（远期（远期汇率）汇率）withthefuturespotrate（未来的即期汇率）（未来的即期汇率）.6McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Asimplecase：ConsideraU.S.companythathasboughtsomemerchandiseandwillhavetopay100,000threemonthsfromnow,thecompanyisexposedtoexchangeraterisk.Itdoesnotknowthespotexchangeratethatwillexist90daysfromnow.Onewaytohedgeitsriskexposureistoenterintoaforwardcontracttoacquire(orbuy)100,000in90days.Ifthecurrentforwardrateis1.4407/thenthecompanymustdeliver(orsell)144,070in90days.Thecompanynowisassuredthatthemerchandisewillcost144,070regardlessofwhathappenstothespotexchangerateinthenext90days.2.1Hedgingusingforwardforeignexchange7McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Thereareseveralotherwaysinhedging.(1)Itcouldusedollarstobuypoundsnowatthecurrentspotrate,andinvestthosepoundstoearninterestfor90days.Thepoundproceedsfromtheinvestmentcanthenbeusedtopaythepounddebt.(国际金融市场借款，参见专题国际金融市场借款，参见专题“外汇风险及其外汇风险及其规避规避”)(2)Itcouldenterintoalongposition(buyingpounds)inapoundfuturescontract.(期货期货)(3)Itcouldbuyacurrencyoptioncallcontractthatgivesthecompanytherighttobuypoundsatapricesetintheoptioncontract.(期权期权)Inmanycasestheforwardcontractisalow-costwayofestablishingtheexacthedgedesiredbythecompany.Futuresandoptionscontractsarediscussedfurtherinthebox“Futures,Options,andSwaps.”severalotherwaysinhedging8McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Forwardexchangecontractscanbeusedtohedgeexposurestoexchangerateriskinmanyothersituations.AU.S.companythatwillreceiveapaymentof1millionin60daysisunsureofthedollarvalueofthisreceivable,becausethespotexchangeratein60daysisuncertain.Itcanhedgebysellingpounds(andbuyingdollars)ina60-dayforwardexchangecontract,usingtheforwardexchangeratetolockinthenumberofdollarsitwillreceive.远期外汇合同的实质是将未来的交易提前到了现远期外汇合同的实质是将未来的交易提前到了现在，这是最简单的套期交易模式。在，这是最简单的套期交易模式。Anothercase9McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.2.2speculatingusingforwardforeignexchange10McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.AspeculatingcasesupposethatinAprilyouareconvincedthatthepoundsterlingwilltakeadivefromitscurrentspotexchangeratevalueofabout1.45andbeworthonly1.20inJuly.PerhapsyouseeacomingpoliticalandeconomiccrisisinBritainthatothersdonotsee.Youcanmakeanenormousgainbyusingtheforwardmarket.Contactaforeignexchangetraderatyourbankandagreetosell10millionatthecurrent90-dayforwardrateof1.4407.IfthebankbelievesinyourabilitytohonoryourforwardcommitmentinJuly,youdonotevenneedtoputupanymoneynowinApril.Justsigntheforwardcontract.Howwillyoubeabletocomeupwith10millioninJuly?Givenyourknowledgeofacomingcrisis,thereisnothingtoworryabout.Relax.Takeathree-monthvacationinHawaii.Fromtimetotime,strolloffthebeachlongenoughtoglanceatthenewspaperandnotethatthepoundissinking,justasyouknewitwould.11McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.OnthecontractdateinJuly,theactualspotratehassunkto1.20asyouexpected.Effectively,inJulyyouarebuying10millioninthespotmarketat1.20(totalcostof12million)andsellingthepoundsat1.4407intotheforwardcontract(totalreceiptof14.407million).Younetaprofitof$2.407million.Ifyouaresmarterthantheothersinthemarketplace,youcangetrichusingtheconvenientforwardexchangemarket.Yourspeculationmayturnoutdifferently,however.Supposeyouarewrong.SupposethatBritainsprospectsbrightengreatlybetweenAprilandJuly.SupposethatwhenJulycomesaround,thespotvalueofthepoundhasrisento1.80.NowinJulyyoumustcomeupwith18milliontogetthe10millionyoucommittedtosellintheforwardcontractforonly14.407million.12McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.外汇套期保值与外汇投机的外汇套期保值与外汇投机的区别在于：区别在于：套期保值者是为了避免汇率风险而轧平对外债权债务套期保值者是为了避免汇率风险而轧平对外债权债务的头寸，而投机者则是通过有意识地持有外汇多头或空的头寸，而投机者则是通过有意识地持有外汇多头或空头承担汇率变动的风险。头承担汇率变动的风险。套期保值都有实际的商业或金融业务与之相对应，外套期保值都有实际的商业或金融业务与之相对应，外汇买卖时，有真实数额的资金，而投机没有实际的商业汇买卖时，有真实数额的资金，而投机没有实际的商业或金融业务为基础，外汇买卖时，没有真实数额的资金，或金融业务为基础，外汇买卖时，没有真实数额的资金，其目的不是为了这些商业或金融业务，而纯粹是为了赚其目的不是为了这些商业或金融业务，而纯粹是为了赚钱。钱。套期保值的成本固定以避免更大损失，而投机具有不套期保值的成本固定以避免更大损失，而投机具有不明确性，当对某种外汇汇率走势预测准确时，就可以赚明确性，当对某种外汇汇率走势预测准确时，就可以赚取汇率变动的差价收益，但预测失误，则要蒙受损失。取汇率变动的差价收益，但预测失误，则要蒙受损失。13McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Unit3:Extension:futures,options,andswaps衍生金融工具衍生金融工具金融衍生工具，又称金融衍生工具，又称“派生金融工具派生金融工具”，是，是指在原形金融资产交易基础上派生出来的各指在原形金融资产交易基础上派生出来的各种金融合约。种金融合约。较强的杠杆性、风险性、虚拟性较强的杠杆性、风险性、虚拟性Inthispart,weshouldlearn:(1)currencyfutures(2)currencyoptions(3)currencyswaps14McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.3.1currencyfutures1概念概念外汇期货交易外汇期货交易（ForeignExchangeFuture）是指期货交易者或者经纪人，是指期货交易者或者经纪人，根据期货市场关于货币种类、交易金根据期货市场关于货币种类、交易金额、交割期限、交易时间等方面的统额、交割期限、交易时间等方面的统一规定，按照市场价格买进或卖出某一规定，按照市场价格买进或卖出某种特定标准数量的货币。种特定标准数量的货币。15McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.2.外汇期货交易的有关规定外汇期货交易的有关规定（1）交易场所固定，实行会员制，）交易场所固定，实行会员制，分一般会分一般会员和经纪会员员和经纪会员（2）标准化的期货合约）标准化的期货合约数量标准化：数量标准化：外汇期货交易最少是一个合同，每一外汇期货交易最少是一个合同，每一个合同地金额，不同货币有不同的规定，如个合同地金额，不同货币有不同的规定，如6.25万，万，EUR12.5万，万，CAD10万，万，FF25万，万，J￥1250万）万）交割日期标准化：交割日期标准化：期货合同地交割日期规定为一年期货合同地交割日期规定为一年中的中的3月、月、6月、月、9月、月、12月的第月的第3个星期三，一年之中个星期三，一年之中只有只有4个合同交割日，其他时间不能交割，但可以进个合同交割日，其他时间不能交割，但可以进行交易。行交易。16McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.（3）保证金制度）保证金制度初始保证金、维持保证金初始保证金、维持保证金（4）“逐日盯市逐日盯市”的结算制度的结算制度外汇期货交易由清算所进行逐日清算外汇期货交易由清算所进行逐日清算17McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.3.外汇期货交易中的规律外汇期货交易中的规律（1）期货市场与现）期货市场与现汇汇市场价格波幅不一市场价格波幅不一致，但变动趋势相同；致，但变动趋势相同；（2）期货到期交割时，现）期货到期交割时，现汇汇与期货价格与期货价格基本一致，否则会导致套购行为产生。基本一致，否则会导致套购行为产生。（差价不足以弥补手续费，不会套购）（差价不足以弥补手续费，不会套购）18McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.（1）买入对冲（多头保值）买入对冲（多头保值）即期即期远期远期现汇市场现汇市场买入买入期货市场期货市场买入买入卖出卖出4.利用外汇期货套期保值利用外汇期货套期保值（2）卖出对冲（空头保值）卖出对冲（空头保值）即期即期远期远期现汇市场现汇市场买入买入卖出卖出期货市场期货市场卖出卖出买入买入19McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.（1）多头投机）多头投机3月期期货月期期货1=$1.5交易者预测升值，买入合约交易者预测升值，买入合约1份（份（6.25万）万）3个月后，个月后，1=$1.6，问收益如何？，问收益如何？（2）空头投机）空头投机3月期期货月期期货1=$1.5交易者预测贬值，卖出合约交易者预测贬值，卖出合约1份（份（6.25万）万）3个月后，个月后，1=$1.4，问收益如何？，问收益如何？5.利用外汇期货投机利用外汇期货投机20McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.（1）远期外汇交易成交后汇率固定，远期外汇交易成交后汇率固定，外汇期货成交后汇率波动；外汇期货成交后汇率波动；（2）远期外汇交易全额支付，外汇期）远期外汇交易全额支付，外汇期货仅支付保证金；货仅支付保证金；（3）远期外汇交易到期实际交割，外）远期外汇交易到期实际交割，外汇期货一般对冲平仓汇期货一般对冲平仓。6.关于外关于外汇期期货与与远期外期外汇交易的几点交易的几点说明明21McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.1概念：概念：外外汇汇期期权权交交易易，又又称称为为选选择择权权交交易易，它它是是指指买买卖卖双双方方签签订订远远期期外外汇汇期期权权交交易易合合同同以以后后，合合同同的的买买方方交交付付一一定定比比例例期期权权费费，在在合合同同有有效效期期内内，买买方方就就获获得得了了履履行行或或放放弃弃按按预预先先约约定定的的价价格格和和数数量量买买入入或卖出外汇的权利。或卖出外汇的权利。3.2currencyoptions22McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.2.外汇期权的基本类型外汇期权的基本类型（1）按按照照合合约约中中规规定定的的对对某某种种货货币币享享有有的的买买进进和和卖卖出出的的权权利利划划分分，可可以以分分为为买买入入期期权权和和卖卖出出期权。期权。期权合约期权合约未来未来外汇买入权外汇买入权合约买入方合约买入方合约卖出方合约卖出方未来外汇未来外汇卖出权卖出权23McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.买买入入期期权权（CallOption）:期期权权买买方方预预测测未未来来某某种种外外汇汇价价格格上上涨涨，购购买买该该种种期期权权，获获得得在在未未来来一一定定期期限限内内以以协协定定价价格格和和数数量量买买入入该该种种外外汇汇的的权利。权利。卖出期权（卖出期权（PutOption）:期权买方预测未来某期权买方预测未来某种外汇价格下跌，购买该种期权可以获得种外汇价格下跌，购买该种期权可以获得在未在未来一定期限内以协定价格和数量来一定期限内以协定价格和数量卖出卖出该种外汇该种外汇的权利的权利。24McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.买入买入期权买入买入期权卖出买入期权卖出买入期权买入卖出期权买入卖出期权卖出卖出期权卖出卖出期权四种基本外汇期权交易类型四种基本外汇期权交易类型25McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.（2）按按照照期期权权行行使使的的有有效效日日划划分分，期期权权交交易易可可以以分分为为欧欧式式期期权权与与美美式式期期权权。欧欧式式期期权权的的买买方方只只能能在在到到期期日日选选择择是是否否行行使使权权利利，而而美美式式期期权权的的买买方方可可以以在到期日前的任何一天做出选择。在到期日前的任何一天做出选择。26McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.3.期权交易与期货交易的区别期权交易与期货交易的区别（1）权利和义务：期货是双方对等的权利）权利和义务：期货是双方对等的权利义务，期权是单向合约，买方只有权利没义务，期权是单向合约，买方只有权利没有义务，卖方只有义务没有权利。有义务，卖方只有义务没有权利。（2）标准化：期货是标准化合约，期权合）标准化：期货是标准化合约，期权合约是非标准化的。约是非标准化的。（3）盈亏风险：期货交易风险大，双方对）盈亏风险：期货交易风险大，双方对等；期权交易中买入期权一方收益无限而等；期权交易中买入期权一方收益无限而损失固定，卖出期权一方收益固定而损失损失固定，卖出期权一方收益固定而损失无限。无限。27McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.（4）保证金：期货交易双方缴纳，）保证金：期货交易双方缴纳，期权交易卖方缴纳。期权交易卖方缴纳。（5）成交价格：期货合约中汇价不）成交价格：期货合约中汇价不断波动，期权合约中汇价固定。断波动，期权合约中汇价固定。28McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.4.期权费用的决定因素期权费用的决定因素期权费用也叫期权价格。决定因素有：期权费用也叫期权价格。决定因素有：（1）现汇汇价与协定汇价的差价。差）现汇汇价与协定汇价的差价。差额越小，期权费越高；额越小，期权费越高；（2）合约到期时间长短。期限越长，）合约到期时间长短。期限越长，期权费越高；期权费越高；（3）欧式期权与美式期权。美式期权）欧式期权与美式期权。美式期权的期权费较高。的期权费较高。29McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.货币互换是指当两个筹款人各自借取的货币货币互换是指当两个筹款人各自借取的货币不同，但金额等值、期限相同时，按照约定不同，但金额等值、期限相同时，按照约定的条件，互相偿付对方到期应偿付的本息。的条件，互相偿付对方到期应偿付的本息。3.3currencyswaps30McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.假定：假定：1英镑英镑=1.60美元；美元；A筹款人需要美元筹款人需要美元资金，但实际在欧洲货币市场借取了年利率资金，但实际在欧洲货币市场借取了年利率6%、期限、期限3年的年的10万英镑（半年付息一次）；万英镑（半年付息一次）；B筹款人需要英镑资金，但实际借取了年利筹款人需要英镑资金，但实际借取了年利率率8%、期限、期限3年的年的16万美元（半年付息一次）万美元（半年付息一次）。双方商定，。双方商定，B向向A提供美元资金，并偿付提供美元资金，并偿付A的借款利息；的借款利息；A向向B提供英镑资金，并偿付提供英镑资金，并偿付B的借款利息。待借款到期时，双方互相支付的借款利息。待借款到期时，双方互相支付对方的借款本金，来结束互换协议。对方的借款本金，来结束互换协议。31McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.第一个步骤：本金的初期交换第一个步骤：本金的初期交换10万英镑万英镑A公司公司B公司公司16万美元万美元英镑贷款人英镑贷款人美元贷款人美元贷款人32McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.第二个步骤：利息的互换第二个步骤：利息的互换8%的美元利息的美元利息A公司公司B公司公司6%的英镑利息的英镑利息英镑贷款人英镑贷款人美元贷款人美元贷款人33McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.第三个步骤：期末换回本金第三个步骤：期末换回本金16万美元万美元A公司公司B公司公司10万英镑万英镑英镑贷款人英镑贷款人美元贷款人美元贷款人34McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Unit4:InternationalfinancialinvestmentConsideraninvestorwhoholdsdollarsnowandplanstoendupayearfromnowalsoholdingdollars(or,atleast,whocalculatesherwealthandreturnsindollars).Ifsheinvestsinadollar-denominatedfinancialassetlikeaU.S.governmentsecurityoradollartimedeposit,thenshewillearndollarreturnsandhavedollarwealthayearfromnow.Nocurrencytranslationisnecessary.Ifsheinvestsinaforeign-currency-denominatedfinancialasset,likeaBritishgovernmentsecurityorapoundtimedeposit,hersituationisnotsosimple.35McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.First,shemustconvertherdollarsintopoundsattheinitialspotexchangerate.Then,sheusesthepoundstobuythepound-denominatedfinancialasset.Sheholdsthisasset,earningpoundreturnsandhavingwealthinpoundsayearfromnow.Thiscanbeconvertedbackintodollars(eitheractuallyorsimplytodeterminethedollarvalueofwealth)atsomedollar-poundexchangeratethatappliestoforeignexchangetransactionsayearfromnow.$,investing,$36McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.coveredinternationalinvestmentanduncoveredinternationalinvestmentWhatexchangeratecanbeusedtoconvertpoundsbackintodollarsayearfromnow?Therearetwomajoralternatives,andthesecorrespondtoourconceptsofhedgingandspeculationFirst,shecancontractnowfortheexchangeofpoundsbackintodollarsattheone-yearforwardexchangerateusingaforwardexchangecontract,soshehashedgedherexposuretoexchangeraterisk.Shehasahedgedorcoveredinternationalinvestment.Second,shecanwaitandconvertbackintodollarsatthefuturespotexchangerate,theonethatwillexistayearfromnow.Shedoesnotknowforsurewhatthisfuturespotexchangeratewillbesoherinvestmentisexposedtoexchangeraterisk.Thisunhedgedinvestmenthasaspeculativeelementtoit,anditiscalledanuncoveredinternationalinvestment.37McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Inthispart,weshouldlearn:(1)Whatisinterestarbitrage;(2)Whatisuncoveredinterestarbitrage;(3)Whatiscoveredinterestarbitrage;(4)WhatisCoveredInterestParity;andDosomeexcises.Unit5:InterestArbitrage38McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.InterestArbitragemeanscapitalswitchingbetweendifferentcountrytochaseprofitfromthedifferenceinrates.套利又称利息套汇，是指在两国短期利套利又称利息套汇，是指在两国短期利率出现差异的情况下，将资金从低利率率出现差异的情况下，将资金从低利率的国家调到高利率的国家，赚取利息差的国家调到高利率的国家，赚取利息差额的行为额的行为。39McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.什么是什么是coveredinterestarbitrage抛补套利抛补套利与与uncoveredinterestarbitrage非抛补套利非抛补套利40McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.例，如果美国例，如果美国3个月期的美元存款利率为个月期的美元存款利率为12%，英国英国3个月期的英镑存款利率为个月期的英镑存款利率为8%，英镑与美元，英镑与美元的即期汇率为：的即期汇率为：GBP1=USD2，这时某英国投资，这时某英国投资者将者将10万英镑兑换成美元存入美国进行套利，试万英镑兑换成美元存入美国进行套利，试问：假设问：假设3个月后即期汇率个月后即期汇率（1）不变；）不变；（2）变为）变为GBP1=USD2.1；（3）变为）变为GBP1=USD1.95；其套利结果各如何（略去交易手续费用）？其套利结果各如何（略去交易手续费用）？41McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.在英国存款本利和：在英国存款本利和：10.2万英镑万英镑在美国存款本利和：在美国存款本利和：20.6万美元万美元（1）20.62=10.3（万英镑）获利（万英镑）获利1000英英镑；镑；（2）20.62.1=9.8095（万英镑）亏损（万英镑）亏损3905英镑；英镑；（3）20.61.95=10.5641（万英镑）获利（万英镑）获利3641英镑。英镑。42McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.本案例即属于非抛补套利本案例即属于非抛补套利Uncoveredinterestarbitrageisaformofarbitragewherefundsaretransferredabroadtotakeadvantageofhigherinterestinforeignmonetarycenters.Itinvolvestheconversionofthedomesticcurrencytotheforeigncurrencytomakeinvestment;andsubsequentre-conversionofthefundfromtheforeigncurrencytothedomesticcurrencyatthetimeofmaturity.5.1Uncoveredinterestarbitrage43McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Aforeignexchangeriskisinvolvedduetothepossibledepreciationoftheforeigncurrencyduringtheperiodoftheinvestment.Theinvestorisexposedtoexchangeraterisk,becausetheactualreturndependsontheactualvalueofthefuturespotexchangerate,whichisuncertainatthetimetheinvestmentismade.44McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.Coveredinterestarbitrageisbuyingacountryscurrencyspotandsellingthatcountryscurrencyforward,tomakeanetprofitfromthecombinationofthedifferenceininterestratesbetweencountriesandtheforwardpremiumonthatcountryscurrency.Coveredinterestarbitrageisessentiallyriskless.5.2coveredinterestarbitrage抛补套利抛补套利45McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.上例中：上例中：在英国存款本利和：在英国存款本利和：10.2万英镑万英镑在美国存款本利和：在美国存款本利和：20.6万美元万美元20.6万美元兑换为不少于万美元兑换为不少于10.2万英镑即可，万英镑即可，即：即：盈亏平衡点：盈亏平衡点：GBP1=USD2.0246McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.在套利开始时，同时做一反向交易，在套利开始时，同时做一反向交易，20.6万美万美元兑换为不少于元兑换为不少于10.2万英镑的期货即可，即只万英镑的期货即可，即只要三月期报价要三月期报价GBP1USD2.02即可。即可。这样，在投机开始时即可锁定风险，如三月期这样，在投机开始时即可锁定风险，如三月期外汇报价显示无利可图，则选择如下：外汇报价显示无利可图，则选择如下：1.不进行套利；不进行套利；2.进行非抛补套利。进行非抛补套利。47McGraw-Hill/Irwin 2004 The McGraw-Hill Companies,Inc.,All Rights Reserved.5.3Somenoteoninterestarbitrage（1）thepremiseofinterestarbitrageoccurringisthatcapitalaccountexchangefreely2）Whentheprofitsofinterestarbitrageareinsufficienttocoverthecostofinterestarbitrage,interestarbitrageautomaticcut-off.48