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ACCA P4：外汇远期合同，期货和期权【上】
管理外汇风险(transaction risk)的external hedging approaches 在P4考试中常见有：forward contract，currency futures and currency options。和其相关的考题虽然大概率地出现在Section B作为optional question, 但是在2014年6月以及2016年6月的考试中，此类题目却出现在了Section A compulsory question 中。放弃此类题目的学习和复习是不可取的考试策略，因为此类题目的难度系数并不高。如果考生能够理解其中的对冲原理自当最好，如果不能理解，依靠本文中所总结的做题步骤也能够很顺利地拿到足够的pass分值！除此以外，考官还要求考生能够discuss 每种hedging方法的advantages and disadvantages!在第二篇文章中会以Lammer co 为例，展示相关答题技巧。
1 Forward contract （远期合同）
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Under a forward contract, a company agrees to buy and sell a currency, at a fixed future date for a predetermined rate, i.e. the forward rate of exchange. （即买卖外汇双方预先签订合同，约定在未来某指定日期买或卖外汇的汇率以及买或卖外汇的数量。到了规定的交割日期，双方按合同规定办理货币的收付）。
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举例：假设今天是2017年1月1日，位于英国的A公司将会在2017年4月30日（即4个月后）向其美国供应商支付$1,000。用Forward contract 的结果就是A公司会在今天把4个月后买美金的价格固定下来。
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假设今天的外汇现货市场上英镑兑美金的报价为：$/￡1.2500-1.2552，则意味者如果A公司要在2017年1月1日购买$1,000，则其需要支付=￡800；而如果A公司在2017年1月1日出售$1,000，却只能购得￡797。外汇卖价和买价是有差异的。在考试中如何记忆呢？最易记的口诀是：
the first rate is the rate to buy the first currency and the second rate is the rate to sell the first currency!(注意：此口诀中的买或者卖是站在企业的角度，而非银行的角度！)
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? 所以如果A公司打算用forward contract 来对冲其外汇风险，A公司会在2017年1月1日把在
2017
年
4
月
30
日买美金的汇率给固定下来（假设
four months forward rate:$/￡1.2400-1.2448,则意味着在2017年4月30日这天，无论在现货市场上买美金的汇率是高于还是低于$/￡1.2400，A公司都将花掉￡806而购得$1,000用以对供应商进行付款。
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假设在2017年4月30日的spot rate 为$/￡1.2302-1.2378，则不使用forward contract, A 公司在2017年4月30日需要支付￡813而购得$1,000，显然the use of forward contract hedges aginst downside risk.
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但如果在2017年4月30日的Spot rate为：$/￡1.2600-1.2678，则A公司在不用forward contract 下只需要支付￡794便得得到$1,000，比使用远期合同的成本更低，所以the use of forward contract eliminates also the upside benefit.
备注：synthetic foreign exchange agreements 是针对非主流货币的non-deliverable forwards，买卖双方最终结算币种为美金
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2 Currency futures(外汇期货合同）
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A futures contract is an exchange traded forward agreement to buy or sell an underlying asset at some future date for an agreed price.
? 使用外汇期货合同和外汇远期合同一样，会把未来某时点，买或卖某种外币的价格锁定（lock-in price），通过在合约到期之前进行相反方向交易对冲外汇风险。
? 和远期合同的区别是：为了便于在市场上流通，每份期货合同的交易单位，交割月份都是标准化的。
? 举例：假设今天是2017年2月1日，位于英国的B公司将会在5月31日从美国的客户处收到$5,000,000。今天的spot rate 是：$/￡=2.500，假设在5月31日，spot rate 为：$/￡=2.6000，应该如何搭建外货期货对冲？（请见下表）（假设期货市场和现货市场针对同一货币的价格没有basis价差存在）
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当然现货市场和期货市场对同一标的物的价差一般会存在，而且在考试中通常有个假设：价差会从今天到expiry date直线下降，在expiry date 会降为零。但企业通常会在expiry date 前结束futures position，所以在close-out date依旧会有unexpired basis存在，其计算在此类题目中分值较高，是考生’must’的examinable area.
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考试中还有可能遇到的文字题: 1.Drawbacks of currency futures
", Like the forward contracts, futures contracts fix the rate and are legally binding.
", Margin must be paid on futures contracts, both an initial margin payable immediately that the contract is taken out and a daily variation margin as the value of the contract fluctuates. A company with poor liquidity may therefore prefer a different method of hedging, such as a forward rate agreement on which no margin is payable.
", The size of the risk might not correspond to an exact number of futures contracts; the risk might need to be underhedged or overhedged.
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",Futures contracts expose the holder to basis risk.Basis risk is the risk that the basis reduces in a nonlinear manner, making our forecast of the unexpired basis on our transaction date inaccurate
2.Currency futures: margin system The initial margin
", When a futures position is opened the Clearing House requires that an initial
margin be placed on deposit in a margin account to act as a security against possible default.
", The objective of the initial margin is to cover any possible losses made from the first day's trading.
",The size of the initial margin depends on the future market, the level of volatility of the interest rates and the risk of default.For example, the initial margin on a ￡500,000 3 month sterling contract traded on LIFFE is ￡750, i.e. ￡750/￡500,000 = 0.0015%.Some investors use futures for speculation rather than hedging. The margin system allows for highly leveraged \
The variation margin
",At the end of each day the Clearing House calculates the daily profit or loss on the futures position. This is known as \s is added or subtracted to the margin account balance. The margin account balance is usually maintained at the initial margin.Therefore if a loss is made on the first day the losing party must deposit funds the following morning in the margin account to cover the loss. An inability to pay a daily loss causes default and the contract is closed, thus protecting the Clearing House from the possibility that the party might accumulate further losses without providing cash to cover them. A
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