THE DERIVATIVE SECURITY MARKET 衍生證券市場(chǎng)
▲Forward and future contract: Forward and futures contracts are not securities but rather trade agreements that enable both buyers and sellers of an underlying commodity or security to lock in eventual price of their traction. Forward contracts are agreements negotiated directly between two parties in the OTC markets.
—Commodity future contracts are the contracts that trade commodities.
—Interest rate forward: (Forward Rate Agreement FRA): The forward rate agreement is the most basic of the OTC interest rate contract. The FRA is an agreement that two parties agree today to a future exchange of cash flows based on two different interest rates.
●The settlement flow will be adjusted to the actual number of days in the holding period and calculated by the following formula:
(Libor-Fixedrate)xNatioal PrincipalxNumberOfDays/360
—Long-term interest rate futures
●For the T-bond contract, any Treasure bond that has at least 15 years to the nearest call date or to maturity (if non-callable) can be used for delivery.
●Bonds with maturities ranging from 6.5 to 10 years and 4.25 to 5.25 years can be used to satisfy the 10 year and 5 year T-note contracts, respectively.
●Delivery can take place on any day during the month of maturity, with the last trading day of the contract falling 7 business days prior to the end of the month.
●The CBT uses conversion factors to correct for the differences in the deliverable bonds.
—Short-term interest rate futures: Eurodollar and treasury bill contract.
●Eurodollar futures use this settlement price index because it conveniently preserves the inverse relation between price and yield.
●The minimum price change, or ”tick”, for this contract is one basis point and equals a $25 change in the value of the contract.(25=$1,000,000‰0.0001‰90/360)
●Similar to the Eurodollar derivative, the T-bill contract is standardized to an amount of $1,000,000 so that each basis point change in the price (or rate) is worth $25 per contract.
—Stock-index futures.
—Currency forwards and futures.
▲遠(yuǎn)期和期貨合約：遠(yuǎn)期和期貨合約不是股權(quán)，而是一項(xiàng)交易協(xié)議，使買方和賣方鎖定他們交易基礎(chǔ)資產(chǎn)或股票的最終價(jià)格。遠(yuǎn)期合約是雙方在場(chǎng)外交易市場(chǎng)直接談判達(dá)成的協(xié)議。
—商品期貨合約是交易商品的合約。
—利率遠(yuǎn)期（利率遠(yuǎn)期協(xié)議FRA）：遠(yuǎn)期利率協(xié)議是場(chǎng)外交易利率合約中最基本的合約。遠(yuǎn)期利率協(xié)議是交易雙方目前達(dá)成的在未來交換基于不同利息率的現(xiàn)金流的協(xié)議。
●現(xiàn)金流結(jié)算將按照持有期的準(zhǔn)確天數(shù)進(jìn)行調(diào)整，并按下列公式計(jì)算：
（Libor-固定利率）x名義本金x持有期天數(shù)/360
—長(zhǎng)期利率期貨
●對(duì)于國(guó)債期貨，任何距最近的贖回日或到期日（假如不可贖回）長(zhǎng)達(dá)至少15年的國(guó)債可用于交割。
●距離到期在6.5年到10年和4.25年到5.25年的債券可各自用于滿足10年期和5年期的國(guó)債期貨合約交割。
●交割可在到期月份的任何一天行使，合約最后交易日是該月月底的前七個(gè)工作日。
●芝加哥債券交易使用轉(zhuǎn)換因子對(duì)不同的可交割債券進(jìn)行矯正。
—短期利率期貨：歐洲美元和國(guó)庫(kù)券期貨合約
●歐洲美元期貨使用結(jié)算價(jià)格指數(shù)，因?yàn)檫@樣方便地保留了價(jià)格和收益之間的相反關(guān)系。
●最小價(jià)格變動(dòng)，或“滴”，對(duì)這一合約是一個(gè)基本點(diǎn)，等于合約價(jià)值變動(dòng)$25.。
●與歐洲美元衍生證券類似，國(guó)庫(kù)券合約以$1,000,000的金額標(biāo)準(zhǔn)化，以至于每張合約的每個(gè)基本點(diǎn)變動(dòng)引起價(jià)格變動(dòng)$25.
—股票指數(shù)期貨。
—貨幣遠(yuǎn)期或貨幣期貨。