衍生证券市场 
▲Forward and future contract: Forward and futures2 contracts are not securities but rather trade agreements that enable both buyers and sellers of an underlying3 commodity or security to lock in eventual4 price of their traction5. 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 maturity6 (if non-callable) can be used for delivery.
●Bonds with maturities7 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 conversion8 factors to correct for the differences in the deliverable bonds.
—Short-term interest rate futures: Eurodollar and treasury9 bill contract.
●Eurodollar futures use this settlement price index because it conveniently preserves the inverse10 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 standardized11 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. 
▲远期和期货合约:远期和期货合约不是股权,而是一项交易协议,使买方和卖方锁定他们交易基础资产或股票的最终价格。远期合约是双方在场外交易市场直接谈判达成的协议。
 
—商品期货合约是交易商品的合约。
 
—利率远期(利率远期协议FRA):远期利率协议是场外交易利率合约中最基本的合约。远期利率协议是交易双方目前达成的在未来交换基于不同利息率的现金流的协议。
●现金流结算将按照持有期的准确天数进行调整,并按下列公式计算:
 
(Libor-固定利率)x名义本金x持有期天数/360
—长期利率期货
●对于国债期货,任何距最近的赎回日或到期日(假如不可赎回)长达至少15年的国债可用于交割。
●距离到期在6.5年到10年和4.25年到5.25年的债券可各自用于满足10年期和5年期的国债期货合约交割。
●交割可在到期月份的任何一天行使,合约最后交易日是该月月底的前七个工作日。
●芝加哥债券交易使用转换因子对不同的可交割债券进行矫正。
—短期利率期货:欧洲美元和国库券期货合约
●欧洲美元期货使用结算价格指数,因为这样方便地保留了价格和收益之间的相反关系。
●最小价格变动,或“滴”,对这一合约是一个基本点,等于合约价值变动$25.。
●与欧洲美元衍生证券类似,国库券合约以$1,000,000的金额标准化,以至于每张合约的每个基本点变动引起价格变动$25.
—股票指数期货。
—货币远期或货币期货


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文章来源: 文章作者: 发布时间:2007-04-24 01:56 字体: [ ]  进入论坛
(单词翻译:双击或拖选)
THE DERIVATIVE1 SECURITY MARKET 
 
   
1 derivative iwXxI     
n.派(衍)生物;adj.非独创性的,模仿他人的
参考例句:
  • His paintings are really quite derivative.他的画实在没有创意。
  • Derivative works are far more complicated.派生作品更加复杂。
2 futures Isdz1Q     
n.期货,期货交易
参考例句:
  • He continued his operations in cotton futures.他继续进行棉花期货交易。
  • Cotton futures are selling at high prices.棉花期货交易的卖价是很高的。
3 underlying 5fyz8c     
adj.在下面的,含蓄的,潜在的
参考例句:
  • The underlying theme of the novel is very serious.小说隐含的主题是十分严肃的。
  • This word has its underlying meaning.这个单词有它潜在的含义。
4 eventual AnLx8     
adj.最后的,结局的,最终的
参考例句:
  • Several schools face eventual closure.几所学校面临最终关闭。
  • Both parties expressed optimism about an eventual solution.双方对问题的最终解决都表示乐观。
5 traction kJXz3     
n.牵引;附着摩擦力
参考例句:
  • I'll show you how the traction is applied.我会让你看如何做这种牵引。
  • She's injured her back and is in traction for a month.她背部受伤,正在作一个月的牵引治疗。
6 maturity 47nzh     
n.成熟;完成;(支票、债券等)到期
参考例句:
  • These plants ought to reach maturity after five years.这些植物五年后就该长成了。
  • This is the period at which the body attains maturity.这是身体发育成熟的时期。
7 maturities d851a9b545796e02deeef998c66789c0     
n.成熟(maturity的复数形式)
参考例句:
  • Maturities of commercial paper range from three days to nine months. 商业票据的期限从3天到9个月不等。 来自互联网
  • German federal government bonds issued with maturities of up to 30 years. 指期限可长达30年的德国联邦政府债券。 来自互联网
8 conversion UZPyI     
n.转化,转换,转变
参考例句:
  • He underwent quite a conversion.他彻底变了。
  • Waste conversion is a part of the production process.废物处理是生产过程的一个组成部分。
9 treasury 7GeyP     
n.宝库;国库,金库;文库
参考例句:
  • The Treasury was opposed in principle to the proposals.财政部原则上反对这些提案。
  • This book is a treasury of useful information.这本书是有价值的信息宝库。
10 inverse GR6zs     
adj.相反的,倒转的,反转的;n.相反之物;v.倒转
参考例句:
  • Evil is the inverse of good.恶是善的反面。
  • When the direct approach failed he tried the inverse.当直接方法失败时,他尝试相反的做法。
11 standardized 8hHzgs     
adj.标准化的
参考例句:
  • We use standardized tests to measure scholastic achievement. 我们用标准化考试来衡量学生的学业成绩。
  • The parts of an automobile are standardized. 汽车零件是标准化了的。
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