?????? (Forward Rate Agreement , FRA)

1
??????????????? ?

• ??? ???????????

2
????
3
1. ?????

• ?????????,??????????,????????????????,??????????,?
  ?????????????,?????????????????,?????????????????,
  ????????????????????

4
?????
5
2.??????

• ??????(Forward Rate Agreement , FRA)
• ??????????????,?????????????????RF,????????,??????
  ?????M????????RF????????R?????????????????????FRA?
  ???????????????????FRA?????????????,??????????????
  ????????????

6

• ???????????????,????T1 x T2 ?FRA???,??T1 x T2
  ?FRA,?????????????,????????T1???????????,???????T2
  ???????????,????????FAR????????????????????T1,???T
  1?,FRA??????????????????????????????????????,???FR
  A??????

7
(No Transcript)
8

1. ???????????

9
(No Transcript)
10
????????
11
????????????
12
(No Transcript)
13
(No Transcript)
14
(No Transcript)
15
3.???????????

1. ??????????????????????????,??????????????????????
   ????,????????????????????????,??????????????????,?
   ????????????????????

16
(No Transcript)
17

1. ??????

18
(No Transcript)
19
4.????????

1. ??????????????????????,?????????????????????,????
   ??????????????????

20

• ??????????,???????????????, ??????????93?1?2??????
  ????,??????????????,????????????????,??????????93?
  5?31????????????????

21

• ????????????(Commercial Paper Rate Futures, CPF)
• ???????????????,??????????????,????????1???30????
  ?????? CPF ??????

22

• ?????????????,?????100??????????1.535?,?????98.4
  65,?????????100??????,?CPF???????100?

23

• ?????? ???????0.005????????0.005(0.005),??CPF???
  ???????????5????5?0???,?98.105?98.100?????????????
  ?98.101?98.102??????????????0.005,??CPF??????????
  ???????411??

24
?7-3 30??????????????
?? ??
???? 30??????
???? CPF
???? ?????1???30?????????
???? ???? ????????12???
????? ?????? ??????????????,?????????? ???????0.005,???????????411???
???? ????????8?45???12?
????? ????????????? ???????????,??????????????????????? ???????????????
????? ????????????0.5??
????? ???????????
???? ????
????? ???????????
????? ???????????12??????????????????????? ????,??????????????????? ???????????????
???? ???????500?????????2,000?
25
???????(BGF)

• ??????????????????,??????????500??,?????5???????
  ??BGF??????
• ????????,???????100???????????????????????????104
  ,??????????????

26

• ?????????0.005?,????????0.005?,????????????250?
  ?

27
?7-7 10??????????
? ? ? ?
???? ???????
???? GBF
???? ??500??,????5?10??????
????? ????????7???11???,1?????,???????????????????
???? ???? ????????????(3?6?9?12????)
???? ????
?????? ???0.005?(??????????250?)
???? ?????????????????????????????8?45????1?45?
????? ????????????? ???????????,???????????????????????????????????????
????? ???????????????3???
????? ??????????
???? ????
??? ?????????????
????? ??????????????????????????????????????,???????????????????????????? ??????????????????????
???? ???????1,000?????????2,000?
28

• CTD Bond??
• 10????????????,????????????????7???11???,??????,??
  ?????????,?????????????????????????,??????????,???
  ????????????????????(CTD)?

29

• GBF???????????
• ??10????????????,????????????????,?????????????,??
  ???????????,?????????????????????????????????10???
  ?????????????

30
5.????????

• ???15????????
• ?????1975?????,????????,?????????????????????????2
  007??????????,???????????????????????,????????????
  ?

31

• ???????15???????????? Eurex ? CBOT
  ???????????8???????,???? Eurex ? CBOT
  ???????????????,?? Eurex ??????????????????????

32
?7-11 2007?????15???????
?? ???? ??? 2007
1 Eurodollar Futures CME 621.47
2 10 Year Treasury Note Futures CME 349.23
3 Euro-Bond Futures Eurex 338.32
4 One Day Inter-Bank Deposit Futures BMF 221.63
5 3 Month Euribor Futures Liffe 221.41
6 TIIE 28 Futures Mexder 220.61
7 Euro-Schatz Futures Eurex 181.10
8 Euro-Bobl Futures Eurex 170.91
9 5 Year Treasury Note Futures CME 166.21
10 3 Month Sterling Futures Liffe 119.68
11 30 Year Treasury Bond Futures CME 107.63
12 2 Year Treasury Note Futures CME 68.61
13 3 Month Euroyen Futures TFX 38.95
14 3 Year Treasury Bond Futures ASX 33.59
15 Long Gilt Futures Liffe 27.37
33

• CME ??????????(Eurodollar Futures)
• ??????????1,000,000????????????????
• ???? ????,????IMM?????IMM??????100???????????????
  ??????????,??????????????1.425?,?????98.575,?100-
  1.42598.575,??????????????????

34

• ???????90???360,???????????????????????30/360?????
  ?IMM????,???????????????????????,????????100,?101?
  102?103???????
• ?????? ????0.0025?,??0.0025,????????????????????
  ?6.25???

35
?7-12 ?????????????
?? ??
???? ED
???? 1,000,000????????????
???? ????
????? ?????? ?IMM????,?100???? ????0.0025,??????0.005
???? 720 a.m. 200 p.m.
???? ???? 3?,6?,9?,12?????????
????? ?
????? ?????????????????
36
CBOT?30??????????( T-Bond Futures)

• ?????????100,000?????????
• ?????? ???????1??1/32,?????1/32?(??1/32),??????
  ????????????????????31.25???

37

• ???? ????1/32 ?(1/32 )??????,???? A-B??????,A-B
  ?? A ??32??B ????????????????????94-24,????94??32?
  ?24?,??94(24/32)94.75???????94-24?,???????????
  ?????94750???

38
?7-16 30?????????????
?? ??
???? ????US ????ZB
???? ???????????100,000????
????/?? ???????????,???????????????,??15????????????????????,???????????????,??15?????? ????????????????????????????????6??? (1??) ???
????? ?????? ? (1,000) ?1??1/32 ???, 80-16 ?? 80 16/32 1??1/32  (31.25/??) ???100?
???? ????720 a.m. - 200 p.m. ,?????,???-??? ????700 p.m. - 400 p.m. ,?????,???-??? ??????,???????????,?????
???? ???? 3?,6?,9?,12?
????? ?
????? ????????????????
????? ??????????
????? ???????????
39
??OPTION

• ????????????????,??????????????????,??????????????
  ????????,????????????????????,???????????????,????
  ???????????????A?????,B?????,C???????????????

40
?????(Wild Card Option)

• ????????????????????2?,????????????????4??????,???
  ????????????,??????????????8???????????????,??????
  ???????2????????????????

41
?????(Quality Option)

• ?30??????????,??????????????,??15???????????15????
  ????,??????30?????????????????????????????????????
  

42
?????(When to Deliver Option)

• 30?????????????????,?????????????????????????