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Chng V
Th trng ngoi hi
Dng 1: Nghip v k hn
Dng 2: Nghip v Swap
Dng 3: Nghip v quyn chn
Dng 1: NGHIP V K HN
1.1 Xc nh t gi k hn
1.2 Thc hin nghip v kinh doanh k hn
1.3 ng dng Arbitrages vo nghip v kinh doanh
k hn
1.4 Nghip v ng trc
NGHIP V K HN
1.1 Xc nh t gi k hn - Cch yt gi k hn
NGHIP V K HN
1.1 Xc nh t gi k hn
Dbkh
Dmkh
= Db +
= Dm +
Db * ( T 2 b - T 1 m ) * N
36 . 000 + T 1 m*N
Dm * ( T 2 m - T 1 b ) * N
36 . 000 + T 1 b*N
N: s ngy k hn
T2m: li sut tin gi ng tin th 2
T1b: li sut cho vay ng tin th 1
NGHIP V K HN
1.1 Xc nh t gi k hn - Lu
Trng hp khng cho ngy c th, tnh trung bnh 1 thng c 30 ngy
NGHIP V K HN
1.2 Kinh doanh k hn - V d:
Thng tin trn th trng:
T gi giao ngay: USD/CHF = 1,5642/42
T gi k hn 3 thng
USD/CHF = 1,5856/87
Li sut k hn 3 thng (nim yt theo nm).
USD:41/8 41/2
CHF: 7 71/2
NGHIP V K HN
1.2 Kinh doanh k hn p n:
NGHIP V K HN
1.2 Kinh doanh k hn p n:
NGHIP V K HN
1.2 Kinh doanh k hn Bi tp p dng:
NGHIP V K HN
1.2 Kinh doanh k hn p n:
NGHIP V K HN
1.2 Kinh doanh k hn p n:
k hn 3 thng l: 2,0412+0.0045=2,0457
Hy ng dng Acbit trong thanh ton v d bo ti khon trong 3 thng ti cho cng
ty (gi thit mi s d khng sinh li)
GBP/EUR =1,4388/1,4528
SEK/CHF = 0,1797/49
GBP/CHF = 2,4021/2,4240
EUR/HKD = 10,8924/10,9705
Li sut th trng 3 thng: GBP: 91/8 - 91/4; EUR: 4 41/2; HKD: 83/8 85/8
B1: Ti thi im giao ngay ngy 11/2 thc hin giao dch cho
B2: Thc hin giao dch cho cng ty theo t gi k hn: t ngy
11/2 n 11/5: 89 ngy.
Bc 2
Cng ty bn 3t EUR/GBP:
Dm 3tEUR/GBP = Dm +
Dm(T2m - T1b)89
0,6883 (9 - 4,5)89
= 0,6883 +
= 0,6958
36.000 + T1b * 89
36 .000 + 4,5 * 89
(T2mGBP=9,125*360/365=9 ; T1bEUR=4,5)
=>S EUR chi thanh ton cho GBP l 15000/0,6958=21.557,9189
=>s EUR cn d:30.000-21.557,9189=8.442,0811
Cng ty bn 3tEUR/HKD
Dm(T2m - T1b)89
10 ,8924 (8,375 - 4,5)89
Dm 3tEUR/GBP = Dm +
= 10 ,8924 +
= 10 ,9955
36.000 + T1b * 89
36 .000 + 4,5 * 89
Trng hp 1:
Khng tnh pht sinh qua s d ti khon
2.143.808,229 = - 2.050.983,326
Trng hp 2:
Tnh pht sinh qua s d ti khon
a/ Kt thc bc 1: ti khon ca cng ty l m: cng ty phi vay ni t trn th trng
Hy ng dng Acbit trong thanh ton v d bo ti khon trong 2 thng ti cho cng
ty.
EUR/USD=1,3437/67
USD/SEK=7,8310/97
CAD/USD=0,8618/48
GBP/USD=1,7395/05
USD/NOK=6,7370/25 USD/AUD=1,1235/75
Li sut th trng 2 thng: GBP: 91/8 - 91/4; AUD: 3 31/2; NOK: 6 61/2
Ph ph NH 1/8
CE = C * (1 -
TN
)
36.000 + TN
Phng n 1:
CE
= 63.945
* (1 -
5,375*90
36.000
+ 5,375*90
) = 63.097,132
Phng n 2:
9,248*90
36.000
+ 9,248*90
s EUR mua c l
48.870,12 * 1,2916 = 63.120,65 EUR
Kt lun: cng ty nn la chn phng n 2
) = 48.870,12
EUR/USD=1,3437/67
- Li sut 6 thng:
GBP:91/8 91/4
EUR:51/4-51/2
USD:41/2-45/8 (%/nm)
2. Nghip v Swap
2. Nghip v Swap
2.1 ng dng nghip v Swap i vi ngn hng
2.1.1 Ngn hng ang d tha mt lng ngoi t v cn mt
lng c nh ngoi t khc
2.1.2 Ngn hng ang d tha mt lng c nh ngoi t v cn
mt lng ngoi t khc
Dm +Db
2
Dbq (T2m - T1b) N
Dswap = Dbq +
36000 + T1b * N
Dm +Db
2
Mua k hn:
Dswap = Dbq +
Dbq (T2b
- T1m) N
36000 + T1m * N
Ngn hng A cn 1.000.000 EUR trong 90 ngy ti, trong khi hin ti ang
d tha USD. Thc hin nghip v Swap cho ngn hng.
EUR/USD
= Dbq +
Ngn hng A hin ti d tha 1.000.000 EUR trong 90 ngy, trong khi cn s
dng USD. Thc hin nghip v Swap cho ngn hng.
Thng tin th trng
EUR/USD = 1,1235/75
Li sut 3 thng:
1,1235 + 1,1275
= 1,1255
2
Ngn hng nhn s USD theo t gi bnh qun giao ngay EUR/USD l:
1.000.000*1,1255 = 1.125.500 USD
- Bc 2: Ti J+2+90, ngn hng nhn 1.000.000 EUR t i tc v tr
USD theo Dswap
2. Nghip v Swap
2.2 ng dng nghip v Swap i vi khch hng
2.2.1: Khch hng ang d tha mt lng ngoi t v cn
mt lng c nh ngoi t khc
2.2.2: Khch hng ang d tha mt lng c nh ngoi
t v cn mt lng ngoi t khc
Dswap = Db
Dm (T2m
- T1b) N
36000 + T1b * N
Db (T2b
- T1m) N
36000 + T1m * N
Bn giao ngay: Dm
Mua k hn:
Dswap = Dm
theo Dswap
Dm(T 2m - T1b)60
DswapGBP / USD = Db +
36.000 + T1b * 60
Dm = 2,0345; Db = 2,0415
T1b(GBP) = 9,125 * 360 / 365 = 9
T2m(USD) = 4
Dswap = 2,0415 +
2,0345(4 - 9)60
= 2,0247
36000 + 9 * 60
Db (T 2 b - T 1m ) 60
DswapGBP / USD = Dm +
36 . 000 + T 1m * 60
Dm = 2,0345; Db = 2,0415
T1m(GBP) = 9 * 360 / 365 = 8,8767
T2b (USD) = 4,25
USD/NOK=6,7370/25
EUR/USD=1,1225/45
USD/AUD=1,3437/67
USD/SEK=7,8310/97
USD/CHF=1,5642/42
USD/CAD=1,1255/95
GBP:91/16-91/8
NOK:61/4-61/2
EUR:51/4-51/2
AUD:3-31/2
SEK:81/8-81/4
CHF:7 71/2
CAD:6 61/2
Trong nghip v quyn chn c hai i tng tham gia giao dch: ngi mua quyn v ngi
bn quyn
- Ngi mua quyn lun lun phi tr ph cho d c thc hin quyn hay khng. Mc ph ny
c tr ngay vo thi im k hp ng.
i vi ngi bn quyn:
- Ngi bn quyn c ngha v chp nhn mi s la chn ca ngi mua. i li h c
nhn ph b p ri ro.
v d
Mt cng ty nhp khu Canada phi thanh ton khon tin nhp khu tr gi 1 triu USD
thi hn 1 thng. Cng ty k hp ng mua quyn chn mua USD/CAD thi hn 1 thng
vi cc iu khon nh sau:
- Gi thc hin 1,2345 CAD
- Ph quyn
0,02 CAD
p n
Nu cng ty thc hin quyn, tng s CAD cng ty phi chi ra (bao gm c ph) l:
1.000.000*1,2345+20.000=1.254.500 CAD
TH1: USD/CAD=1,2821, gi ny s p dng khi cng ty khng thc hin quyn, khi tng s CAD
phi chi ra (bao gm c ph) l:
1.000.000*1,2821+20.000=1.302.100 CAD>1.254.500
TH2: USD/CAD = 1,2345 ng bng mc gi thc hin, do vy trong TH ny cng ty thc hin hp
=>TH ny cng ty khng thc hin quyn vo thi im o hn v s CAD chi ra l 1.210.400
Mt cng ty xut khu M c khon phi thu tr gi 100.000 GBP thi hn 1 thng. Cng
ty k hp ng mua quyn chn bn GBP/USD thi hn 1 thng vi cc iu khon nh
sau:
- Gi thc hin 1,60 USD
- Ph quyn
0,04 USD
Nu cng ty thc hin quyn, tng s USD mua c (sau khi tr ph) l:
100.000*1,60 - 4.000=156.000 USD
TH1: GBP/USD=1,58, gi ny s p dng khi cng ty khng thc hin quyn, khi tng s USD mua
c (sau khi tr ph) l:
100.000*1,58 - 4.000=154.000 USD<156.000
=>TH ny cng ty khng thc hin quyn vo thi im o hn v s USD mua c l 160.000 USD
V d 1: Cng ty xut khu Thy S (CHF) c khon thu 500.000 GBP trong 1 thng ti.
Cng ty cn nhc ba phng n:
- PA1: Khng phng nga, bn GBP trn th trng giao ngay khi n thi im thanh ton
- PA2: Phng nga ri ro bng cch k hp ng bn k hn 1 thng GBP/CHF
- PA3: Phng nga ri ro bng cch mua hp ng quyn chn bn GBP/CHF
Thng tin th trng
T gi giao ngay:GBP/USD=1,6725/75
USD/CHF=1,4515/55
Ph quyn 0,04 CHF, ph tr ngay thi im hin ti. Gi s cng ty c sn CHF thanh ton
Gi thit t gi giao ngay sau 1 thng: XS 20% GBP/CHF=2,4200
XS 70% GBP/CHF=2,4276
XS 10% GBP/CHF=2,4376
V d 2: Cng ty nhp khu Thy S (CHF) c khon phi tr 500.000 GBP trong 1 thng
ti. Hy t vn cho cng ty vi ba phng n sau:
- PA1: Khng phng nga, mua GBP trn th trng giao ngay khi n thi im thanh ton
- PA2: Phng nga ri ro bng cch k hp ng mua k hn 1 thng GBP/CHF
- PA3: Phng nga ri ro bng cch mua hp ng quyn chn mua GBP/CHF
Thng tin th trng
T gi giao ngay:GBP/USD=1,6725/75
USD/CHF=1,4515/55
Ph quyn 0,002 CHF, ph tr ngay thi im hin ti. Gi s cng ty c sn CHF thanh ton
Gi thit t gi giao ngay sau 1 thng: XS 10% GBP/CHF=2,4400
XS 20% GBP/CHF=2,4416
XS 70% GBP/CHF=2,4476
Bi tp vn dng 1: Cng ty nhp khu Thy in (SEK) c khon phi tr 1 triu CHF trong
2 thng ti. Hy t vn cho cng ty vi ba phng n sau:
- PA1: Khng phng nga, mua CHF/SEK trn th trng giao ngay khi n thi im thanh ton
- PA2: Phng nga ri ro bng cch k hp ng mua k hn 2 thng CHF/SEK
- PA3: Phng nga ri ro bng cch mua hp ng quyn chn mua CHF/SEK
Thng tin th trng
Li sut 2 thng:
USD/SEK = 7,8515/55
Ph quyn chn 1,2% gi tr hp ng. Ph c tnh bng SEK theo t gi bn giao ngay
CHF/SEK (Db CHF/SEK). Gi s cng ty c sn SEK thanh ton
Gi thit t gi giao ngay sau 2 thng:
Bi tp vn dng 2: Cng ty xut khu Thy in (SEK) c khon phi thu 1 triu CHF trong 2 thng
ti. Hy t vn cho cng ty vi ba phng n sau:
- PA1: Khng phng nga, bn CHF/SEK trn th trng giao ngay khi n thi im thanh ton
- PA2: Phng nga ri ro bng cch k hp ng bn k hn 2 thng CHF/SEK
- PA3: Phng nga ri ro bng cch mua hp ng quyn chn bn CHF/SEK
Li sut 2 thng:
USD/SEK = 7,8515/55
Ph quyn chn 1,2% gi tr hp ng. Ph c tnh bng SEK theo t gi bn giao ngay CHF/SEK (Db
CHF/SEK). Gi s cng ty c sn SEK thanh ton
Gi thit t gi giao ngay sau 2 thng: XS 20%: CHF/SEK = 4,9860
XS 70% CHF/SEK = 5,0260
XS 10% CHF/SEK = 5,1976