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m ng th ba l nh gi vi ng tin ny nhng
li l yt gi vi ng tin kia
Dm Y /Z = Dm Y/ X * Dm X /Z =
* Dm X /Z =
Db X/Y
b
1
d
Db Y /Z = Db Y/ X * Db X /Z =
* Db X /Z =
Dm X/Y
a
c
a
Y/Z =
b
d
a
=> Z / Y =
d
b
c
V d 1:
Th trng thng bo
USD/CHF = 1,1807/74
USD/HKD = 7,7515/85
Tnh t gi CHF/HKD; HKD/CHF
CHF/HKD = 6,5281-6,5711
HKD/CHF = 1/6,5711-1/6,5281 = 0,1521-0,1531
CHF/USD = 1,1807/74
HKD/USD = 7,7515/85
Dm CHF / HKD = Dm CHF / USD * Dm USD / HKD
1
7 , 7515
=
=
= 6 , 5281
* Dm USD / HKD
Db USD / CHF
1 ,1874
Db CHF / HKD = Db CHF / USD * Db USD / HKD
1
7 , 7585
=
=
* Db USD / HKD
Dm USD / CHF
1 ,1807
6 , 5281 / 6 , 5711
1
6 , 5711
1
6 , 5281
= 6 , 5711
= 0 ,1521 / 0 ,1531
Db X / Y = Db X / Z * Db Z / Y = Db X / Z *
X /Y =
a
d
b
c
=> Y / X =
c
b
d
a
1
a
=
Db Y / Z
d
1
b
=
Dm Y / Z
c
V d 2
Th trng thng bo
GBP/USD = 2,0345/15
EUR/USD= 1,4052/40
Tnh t gi GBP/EUR; EUR/GBP
GBP/USD = 2,0345/15
EUR/USD= 1,4052/40
Dm GBP / EUR = Dm GBP / USD * Dm USD / EUR
2 , 0345
1
= Dm GBP / USD *
=
Db EUR / USD
1 , 4140
Db GBP / EUR = Db GBP / USD *
1
= Db GBP / USD *
Dm EUR / USD
=> GBP / USD =
=> USD / GBP
Db USD / EUR
2 , 0415
=
1 , 4052
1 , 4388 / 1 , 4528
1
= 1 , 4528
1
1 , 4388
= 1 , 4388
= 1 , 4528
= 0 , 6883 / 0 , 6950
1.3 ng th ba l nh gi vi ng tin ny v
l yt gi vi ng tin kia
Th trng thng bo
X/Y = a/b
Y/Z = c/d
Tnh t gi X/Z; Z/X
1.3 ng th ba l nh gi vi ng tin
ny, l yt gi vi ng tin kia
X/Y = a/b
Y/Z = c/d
Dm X / Z = Dm X / Y * Dm Y / Z = a * c
Db X / Z = Db X / Y * Db Y /Z = b * d
1
X / Z = ac / bd => Z / X = bd 1
ac
1.3 ng th ba l nh gi vi ng tin
ny, l yt gi vi ng tin kia
V d 3:
Th trng thng bo
EUR/USD = 1,4052/40
USD/HKD = 7,7515/85
Tnh t gi EUR/HKD; HKD/EUR
EUR/USD = 1,4052/40
USD/HKD = 7,7515/85
Dm EUR / HKD =
= 1 , 4052 * 7 , 7515
* Db USD / HKD
= 10 , 8924 / 10 , 9705
1
= 10 , 9705
= 0 , 0911 / 18
1
10 , 8924
Bi tp tnh t gi cho
USD/DKK = 5,2367/10
EUR/USD = 1,4052/40
USD/CHF = 1,1807/74
USD/HKD = 7,7515/85
Tnh cc t gi sau:
Ti th trng A:
GBP/USD = 2.0315/55
GBP/EUR = 1.4388/28
Ti th trng B:
USD/GBP = 0.4870/10
USD/EUR = 0.7072/16
Tm c hi thc hin nghip v Arbitrages vi: GBP/USD
1
0, 4870
= 2,0366 / 2,0533
C c hi
Phng n 1:
Phng n 2:
Ti th trng A:
GBP/USD = 2.0315/55
GBP/EUR = 1.4388/28
Ti th trng B:
USD/GBP = 0.4870/10
USD/EUR = 0.7072/16
Hy tm c hi v thc hin nghip v Arbitrages i vi GBP/EUR
GBP/CHF = 2,4021/2,4240
SEK/CHF = 0,1797/49
HKD/CHF = 0,1521/0,1531
= 0,1521
=> s HKD cn bn: 326.073,2317/0,1521 = 2.143.808,229 HKD
=> gi tr ti khon trong ngy giao dch: - 2.143.808,229 HKD
USD/CHF = 1,1035/80
USD/SEK = 7,6495/70
USD/CHF = 1,1035/80
GBP/USD = 1,4565/20
CAD/USD = 1,0456/11
EUR/USD = 1,4052/40
USD/CHF = 1,1035/80
USD/NOK = 5,3833/5,4889
GBP/USD = 1,4565/20
USD/CHF = 1,1035/80
USD/SEK = 7,6495/70
CAD/USD = 1,0456/11
GBP/USD = 1,4565/20
USD/CHF = 1,1035/80
CAD/USD = 1,0456/11
USD/NOK = 5,3833/5,4889
EUR/USD = 1,4052/40
GBP/USD = 1,4565/20
USD/CHF = 1,1035/80
CAD/USD = 1,0456/11
USD/NOK = 5,3833/5,4889
EUR/USD = 1,4052/40
GBP/USD = 1,4565/20
USD/CHF = 1,1035/50
USD/SEK = 7,6495/70
EUR/USD = 1,1255/75
GBP/USD = 1,4565/20
USD/CHF = 1,1035/80
USD/SEK = 7,6495/70
EUR/USD = 1,1255/75
Dng 3: NGHIP V K HN
3.1 Xc nh t gi k hn
3.2 Thc hin nghip v kinh doanh k hn
3.3 ng dng Arbitrages vo nghip v kinh doanh
k hn
3.4 Nghip v ng trc
NGHIP V K HN
3.1 Xc nh t gi k hn - Cch yt gi k hn
NGHIP V K HN
3.1 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
NGHIP V K HN
3.1 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
3.2 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
3.2 Kinh doanh k hn p n:
NGHIP V K HN
3.2 Kinh doanh k hn p n:
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp p dng 1:
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp vn dng 1:
Cho thng tin c nim yt trn th trng:
T gi giao ngay: USD/HKD = 7,7130/10
T gi k hn 6 thng
USD/HKD = 7,7820/50
Li sut k hn 6 thng (nim yt theo nm).
USD:31/8 31/2
HKD: 8 81/2
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp vn dng 2
Ti th trng Nht t gi giao ngay USD/JPY = 86,125/45
USD: 3 31/8
JPY: 5 51/2
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp vn dng 3
GBP: 9 91/2
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp vn dng 4
EUR: 4 41/2
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp vn dng 5
JPY: 5 51/2
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp vn dng 6
Ti th trng Nht t gi giao ngay USD/JPY = 86,125/45
USD: 3 31/8
JPY: 5 51/2
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp vn dng 7
GBP: 9 91/2
NGHIP V K HN
3.2 Kinh doanh k hn Bi tp vn dng 8
EUR: 4 41/2
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
HKD/CHF = 0,1521/0,1531
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)
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.
CAD/USD=0,8618/48
GBP/USD=1,7395/05
USD/SEK=7,8310/97
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
Hy ng dng Acbit trong thanh ton v d bo ti khon trong 3 thng ti cho cng
ty.
CAD/USD=0,8618/48
DKK/USD=0,1445/05
USD/SEK=7,8310/97
1/ T gi giao ngay
USD/NZD= 1,3515/59;USD/SEK= 6,9255/15; EUR/USD = 1,4425/75
1/ T gi giao ngay
USD/NZD= 1,3515/59;USD/SEK= 6,9255/15; EUR/USD = 1,4425/75
CE = C * (1 -
TN
)
36.000 + TN
Phng n 1:
CE = 64.075 * (1 -
5,375*90
36.000
+ 5,375*90
) = 63.225,408
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 1
) = 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)
Bi 3:
Bi 4:
Bi 5:
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)
4. Nghip v Swap
4. Nghip v Swap
4.1 ng dng nghip v Swap i vi ngn hng
4.1.1 Ngn hng ang d tha mt lng ngoi t v cn mt
lng c nh ngoi t khc
4.1.2 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
4. Nghip v Swap
4.2 ng dng nghip v Swap i vi khch hng
4.2.1: Khch hng ang d tha mt lng ngoi t v cn
mt lng c nh ngoi t khc
4.2.2: 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
TH2: USD/CAD = 1,2345 ng bng mc gi thc hin, do vy trong TH ny cng ty thc hin
=>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
4.000=160.000 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
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
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:
USD/CHF=1,4515/55
XS 20% GBP/CHF=2,4200
XS 70% GBP/CHF=2,4276
T gi giao ngay:GBP/USD=1,6725/75
Ph quyn 0,002 CHF, ph tr ngay thi im hin ti. Gi s cng ty c sn CHF thanh ton
USD/CHF=1,4515/55
XS 20% GBP/CHF=2,4416