huong dan + bai tap ve nha

Dng 1: TNH T GI CHO1.1 T gi cho gia hai ng tin cng da vo ngtin yt gi 1.2 T gi cho gia hai ng tin cng da vo ng tin nh gi 1.3 T gi cho gia hai ng tin da vo ng th ba

m ng th ba l nh gi vi ng tin ny nhngli l yt gi vi ng tin kia

1.1 Tnh t gi gia hai ng tin cng da vo ng tin yt giCng thc tng qut v t gi nghch oX/Y = a-b vy Y/X = ?-

DmX/Y=a ngha l ngn hng mun mua 1 n v X th cn bn a n v Y. Vy khi

NH bn 1 n v Y s mua c 1/a n v X => DbY/X = 1/a-

DbX/Y=b ngha l khi ngn hng bn 1 n v X th s mua c b n v Y. Vy khi NH mun mua 1 n v Y th phi bn 1/b n v X => DmY/X = 1/b

Vy nu X/Y = a-b th t gi nghch o Y/X s l Y/X = 1/b-1/a

1.1 Tnh t gi gia hai ng tin cng da vo ng tin yt giTh trng thng bo:X/Y = a/b X/Z = c/d Tnh t gi cho: Y/Z v Z/Y

1.1Tnh t gi gia hai ng tin cng da vo ng yt giTa c : - X/Y = a/b - X/Z = c/d Tnh t gi: - Y/Z - Z/Y

Dm Y /Z = Dm Y/ X * Dm X /Z =

1

* Dm X /Z =

c

Db X/Y b 1 d Db Y /Z = Db Y/ X * Db X /Z = * Db X /Z = Dm X/Y a c aY/Z =

bd a

=> Z / Y =

db c

1.1Tnh t gi gia hai ng tin cng da vo ng yt gi

V d 1: Th trng thng bo USD/CHF = 1,1807/74 USD/HKD = 7,7515/85 Tnh t gi CHF/HKD; HKD/CHF

1.1Tnh t gi gia hai ng tin cng da vo ng yt giDm CHF/HKD = Dm CHF/USD* Dm USD/HKD = Dm CHF/USD*Dm USD/HKD = (1/1,1874)*7,7515=6,5281

Db CHF/HKD = Db CHF/USD*Db USD/HKD= (1/1,1807)*7,7585= 6,5711

CHF/HKD = 6,5281-6,5711HKD/CHF = 1/6,5711-1/6,5281 = 0,1521-0,1531

CHF/USD = 1,1807/74 HKD/USD = 7,7515/85Dm 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 , 5711

=> CHF / HKD=> HKD / CHF

==

6 , 5281 / 6 , 5711 1 6 , 5711 1 6 , 5281

= 0 ,1521 / 0 ,1531

1.2 Tnh t gi gia hai ng tin cng da vo ng tin nh giTh trng thng bo X/Z = a/b Y/Z = c/d Tnh t gi X/Y; Y/X

1.2 Tnh t gi gia hai ng tin cng da vo ng nh giX/Z = a/b Y/Z = c/dDm X / Y = Dm X / Z * Dm Z / Y = Dm X / Z * 1 a = Db Y / Z d

Db X / Y = Db X / Z * Db Z / Y = Db X / Z * a d c b

1 b = Dm Y / Z c

X /Y =

b c

=> Y / X =

d a

1.2 Tnh t gi gia hai ng tin cng da vo ng nh gi

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= 1,4052/40Dm 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 , 4388 / 1 , 4528 1 = 1 , 4528 1 1 , 4388

= 0 , 6883 / 0 , 6950

1.3 ng th ba l nh gi vi ng tin ny v l yt gi vi ng tin kiaTh 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 kiaX/Y = a/b Y/Z = c/d

Dm X / Z = Dm X / Y * Dm Y / Z = a * cDb 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 = 7,7515/85Dm EUR / HKD = = 1 , 4052 * 7 , 7515 Dm EUR / USD * Dm USD / HKD = 10 , 8924 * Db USD / HKD

Db EUR / HKD = Db EUR / USD = 1 , 4140 * 7 , 7585 = 10 , 9705 => EUR / HKD => HKD / EUR

= 10 , 8924 / 10 , 9705 1 = 10 , 9705 = 0 , 0911 / 18 1 10 , 8924

Bi tp tnh t gi cho

Thng tin th trng: GBP/USD = 2,0345/15 USD/SEK = 6,4205/6,5678 USD/NOK = 5,3833/5,4889

USD/DKK = 5,2367/10EUR/USD = 1,4052/40 USD/CHF = 1,1807/74 USD/HKD = 7,7515/85

Tnh cc t gi sau:

GBP/NOK; GBP/EUR; EUR/HKD; HKD/SEK; HKD/CHF

Dng 2: NGHIP V KINH DOANH CHNH LCH GI - ARBITRAGES

Khi qut v nghip v kinh doanh chnh lch gi Arbitrages Tm kim c hi v thc hin nghip v Arbitrages ng dng Arbitrages trong thanh ton: Xc nh gi tr ti khon ca cng ty sau cc giao dch

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1 Tm kim c hi v thc hin nghip v Arbitrages

2.1.1 Arbitrages gin n

2.1.2 Arbitrages phc tp

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Tm kim c hi v thc hin nghip v Arbitrages gin n

Bc 1: Chuyn t gi yt gi theo mt th trng Bc 2: Xc nh chiu mua bn iu kin: Db (th trng X)< Dm (th trng Y) =>c c hi Acbit

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Tm kim c hi v thc hin nghip v Arbitrages gin n(tip) - V d 1:

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 = 0.7072/16Tm c hi thc hin nghip v Arbitrages vi: GBP/USD

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Tm kim c hi v thc hin nghip v Arbitrages ginn (tip) - p n:- Ti A: GBP / USD = 2,0315 / 551 - Ti B: GBP / USD = 0, 4910

1 0, 4870

= 2,0366 / 2,0533

Db GBP/ USD (Ti A ) = 20355 < Dm GBP/ USD (Ti B = 2,0366): ,

C c hi

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp

Vi mt s vn bng mt ng tin no , trn c s thng tin v t gi trn cc th trng, tin hnh mua v bn cc ng tin c nim yt trn th trng c li nhun - li nhun Arbitrages

Bc 1: La chn phng n kinh doanh: Tm c hiBc 2: Tin hnh mua v bn cc ng tin theo phng n kinh doanh chn thu c li nhun Arbitrages

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp - V d:

Ti th trng 1: EUR/USD = 1,4052/40 Ti th trng 2: USD/CHF = 1,1807/74 Ti th trng 3: EUR/CHF = 1,6375/49 ng X c s tin l 150.000 EUR. Hy thc hin nghip v Arbitrages v xc nh li nhun cho ng X khi tt c cc yu t chi ph u c b qua.

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp p n:

Phng n 1: ->Bn CHF/EUR (ti th trng 3)

Bn EUR/USD (ti th trng 1) -> Bn USD/CHF (ti th trng 2) Phng n 2: ->Bn USD/EUR (ti th trng 3)

Bn EUR/CHF (ti th trng 1) -> Bn CHF/USD (ti th trng 2)

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp p n:Phng n 1 Bn EUR/USD theo Dm = 1,4052 =>s USD mua c: 150.000 * 1,4052 = 210.780 USD

Bn USD/CHF theo Dm = 1,1807 =>s CHF mua c: 210.780 * 1,1807 = 248.867,946 CHF

Bn CHF/EUR theo Dm CHF/EUR = 1 /1,6449 = 0,6079 => s EUR mua c 248.867,946 * 0.6079 = 151.296,7025 EUR

Li nhun Arbitrages c xc nh theo phng n 1 l: 151.296,7025 150.000 = 1.296,7025 (EUR)

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp p n:Phng n 2Bn EUR/CHF (ti th trng 3) theo Dm = 1,6375 =>s CHF mua c:150.000 * 1,6375 = 245.625 CHF

Bn CHF/USD theo Dm CHF/USD = 1/1,1874 = 0,8421 =>s USD mua c: 245.625 * 0,8422 = 206.859,525 USD

Bn USD/EUR theo Dm USD/EUR = 1/Db (EUR/USD) = 1 /1,4140 = 0,7072 => s EUR mua c 206.859,525 * 0,7072 = 146.293,865 EUR

Li nhun Arbitrages c xc nh theo phng n 2: 146.293,865 150.000= - 3706,135 (EUR) => Phng n 2 thua l

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Tm kim c hi Arbitrages gin n - Bi tp p dng 1:

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

1

Hy tm c hi v thc hin nghip v Arbitrages i vi GBP/EUR

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Tm kim c hi Arbitrages gin n - Bi tp p dng 2:Th trng c bo t gi giao ngay EUR/USD = 1,1255/75 EUR/GBP = 0,7255/80 Th trng M bo t gi giao ngay: USD/EUR = 0,8915/35 USD/GBP = 0,6435/50 Tm c hi Acbit cho cp ng tin USD/GBP, gi thit loi tr mi yu t chi ph.

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp - Bi tp p dng 3ng M c khon tin 500.000 CHF, trn c s thng tin t gi trn cc th trng:

Th trng 1 bo gi: EUR/USD=1,1255/75Th trng 2 bo gi: USD/CHF=1,5642/42 Th trng 3 bo gi: EUR/CHF=1,7890/10 Hy thc hin kinh doanh v xc nh li nhun Arbitrages cho ng M khi khng tnh cc chi ph giao dch.

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp - Bi tp p dng 4

ng M c khon tin 200.000 EUR, trn c s thng tin t gi trn cc th trng: Th trng 1 bo gi: EUR/USD=1,1255/75 Th trng 2 bo gi: USD/CHF=1,5642/42 Th trng 3 bo gi: EUR/CHF=1,7890/10 Hy thc hin kinh doanh v xc nh li nhun Arbitrages cho ng M khi khng tnh cc chi ph giao dch.

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp - Bi tp p dng 5Cng ty Z c s vn ban u l 500.000 GBP, nhn c thng bo t gi trn cc th trng: Th trng 1 bo gi: EUR/USD = 1,4052/40 Th trng 2 bo gi: USD/GBP = 0,4895/10 Th trng 3 bo gi: EUR/CHF = 1,6495/15 Th trng 4 bo gi: GBP/CHF = 2,4021/90 Hy thc hin kinh doanh cho cng ty Z, tm li nhun Acbit cho cc giao dch.


ng Y c khon tin 700.000 USD, trn c s thng tin t gi trn cc th trng: Th trng 1 bo gi: EUR/USD=1,1255/75 Th trng 2 bo gi: USD/CHF=1,5642/42 Th trng 3 bo gi: EUR/CHF=1,7890/10 Hy thc hin kinh doanh v xc nh li nhun Arbitrages cho ng Y khi khng tnh cc chi ph giao dch.


ng M c khon tin 1.000.000 CHF, trn c s thng tin t gi trn cc th trng: Th trng 1 bo gi: EUR/USD=1,1255/75 Th trng 2 bo gi: USD/CHF=1,5642/42 Th trng 3 bo gi: EUR/CHF=1,7890/10 Hy thc hin kinh doanh v xc nh li nhun Arbitrages cho ng M khi khng tnh cc chi ph giao dch.

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp - Bi tp p dng 8Cng ty X c s vn ban u l 800.000 EUR, nhn c thng bo t gi trn cc th trng: Th trng 1 bo gi: EUR/USD = 1,4052/40 Th trng 2 bo gi: USD/GBP = 0,4895/10 Th trng 3 bo gi: EUR/CHF = 1,6495/15 Th trng 4 bo gi: GBP/CHF = 2,4021/90 Hy thc hin kinh doanh cho cng ty X, tm li nhun Acbit cho cc giao dch.

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp - Bi tp p dng 9Cng ty Z c s vn ban u l 400.000 USD, nhn c thng bo t gi trn cc th trng: Th trng 1 bo gi: EUR/USD = 1,4052/40 Th trng 2 bo gi: USD/GBP = 0,4895/10 Th trng 3 bo gi: EUR/CHF = 1,6495/15 Th trng 4 bo gi: GBP/CHF = 2,4021/90 Hy thc hin kinh doanh cho cng ty Z, tm li nhun Acbit cho cc giao dch.

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.1.1 Nghip v Arbitrages phc tp - Bi tp p dng 10Cng ty Z c s vn ban u l 600.000 CHF, nhn c thng bo t gi trn cc th trng: Th trng 1 bo gi: EUR/USD = 1,4052/40 Th trng 2 bo gi: USD/GBP = 0,4895/10 Th trng 3 bo gi: EUR/CHF = 1,6495/15 Th trng 4 bo gi: GBP/CHF = 2,4021/90 Hy thc hin kinh doanh cho cng ty Z, tm li nhun Acbit cho cc giao dch.

2- Nghip v kinh doanh chnh lch t gi ng dng Arbitrages trong thanh ton- ng dng Arbitrages trong thanh ton nhm xc nh gi tr ti khon ca doanh nghip trong trng hp thi im hin ti doanh nghip c khon thu bng ngoi t ng thi phi thanh ton khon chi bng ngoi t.-

Nguyn tc ng dng Arbitrages trong thanh ton:

+ Ly ngoi t thanh ton trc tip cho ngoi t + Nguyn tc MUA - BN

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.2 ng dng Arbitrages trong thanh ton V d 1:

Mt cng ty ca Hng Kng (HKD) trong cng mt ngy nhn c thng bo c thanh ton khon tin tr gi 50.000 GBP v 3.500.000 SEK ng thi h

phi chi tr 45.000 EUR v 1.000.000 CHF. Hy ng dng Arbitrages thanhton v xc nh thay i v gi tr ti khon trong ngy giao dch ca cng ty.

Thng tin trn th trng: GBP/EUR =1,4388/1,4528 SEK/CHF = 0,1797/49 GBP/CHF = 2,4021/2,4240 HKD/CHF = 0,1521/0,1531

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.2 ng dng Arbitrages trong thanh ton p n:

B1: Bn GBP/EUR theo Dm GBP/EUR = 1,4388

=> s GBP cn bn l: 45.000*(1/1,4388) = 31.276,0633 (GBP) => s GBP cn li l: 50.000 31.276,0633 = 18.723,9367 (GBP)

B2: Bn GBP/CHF theo Dm GBP/CHF = 2,4021

=> s CHF c thanh ton: 18.723,9367 * 2,4021 = 44.976,7683 => s CHF cn: 1.000.000 - 44.976,7683 = 955.023,2317

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.2 ng dng Arbitrages trong thanh ton p n:

B3: Bn SEK/CHF theo Dm SEK/CHF = 0,1797

=> s SEK c thanh ton l: 3.500.000 * 0,1797 = 628.950 (CHF) =>s CHF cn li: 955.023,2317 - 628.950 = 326.073,2317 (CHF)

B4: Bn HKD thanh ton cho s CHF cn li theo Dm HKD/CHF

= 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

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.2 ng dng Arbitrages trong thanh ton Bi tp p dng 1:

Cng ty c (s dng ng EUR) trong cng mt ngy nhn thng bo c thanh ton khon tin 150.000 CAD v 8.000.000 DKK, ng thi h

phi chi tr khon tin tr gi 200.000 CHF v 5.000.000 SEK. Hy ngdng Arbitrages thanh ton v xc nh thay i gi tr ti khon trong ngy ca cng ty.

EUR/USD = 1,1235/75 USD/CHF = 1,5642/42CAD/USD = 0,8618/48 USD/SEK = 7,8310/97 USD/DKK = 6,9255/55

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.2 ng dng Arbitrages trong thanh ton Bi tp vn dng 2:

Mt cng ty ca Thu in trong cng mt ngy nhn c thng bo c thanh ton khon tin tr gi 200.000 CHF ng thi h phi chi tr 85.000 GBP. C hai phng n thanh ton: - Chuyn ht sang ni t (SEK) - Bn CHF mua GBP Hy t vn cho doanh nghip phng n c hiu qu nht

Thng tin trn th trng: GBP/USD = 1,4565/20 USD/SEK = 7,6495/70 USD/CHF = 1,1035/80


Mt cng ty ca Thu S trong cng mt ngy nhn c thng bo c thanh ton khon tin tr gi 75.000 GBP ng thi h phi chi tr 800.000

SEK. C hai phng n thanh ton:- Chuyn ht sang ni t (CHF) - Bn GBP mua SEK

Hy t vn cho doanh nghip phng n c hiu qu nht

Thng tin trn th trng: GBP/USD = 1,4565/20 USD/CHF = 1,1035/80

USD/SEK = 7,6495/70


Cng ty Nauy (NOK) trong cng mt ngy nhn thng bo h c thanh ton khon tin hng tr gi 150.000 GBP v 500.00 EUR, ng thi h phi chi tr khon tin tr gi 200.000 CHF v 25.000 CAD. Hy ng dng Acbit trong thanh ton v tnh ti khon ca cng ty l bao nhiu NOK?Thng tin trn th trng:

GBP/USD = 1,4565/20

USD/CHF = 1,1035/80

CAD/USD = 1,0456/11 EUR/USD = 1,4052/40

USD/NOK = 5,3833/5,4889


Cng ty c (EUR) trong cng mt ngy nhn thng bo h c thanh ton khon tin tr gi 150.000 CAD v 8.000.000 CHF, ng thi h phi chi khon tin tr gi 5.000.000 SEK. Hy ng dng Acbit trong thanh ton v chuyn s ngoi t cn li sang GBP thanh ton cho i tc Anh. Thng tin trn th trng:

GBP/USD = 1,4565/20USD/SEK = 7,6495/70

USD/CHF = 1,1035/80CAD/USD = 1,0456/11

2- Nghip v kinh doanh chnh lch t gi Arbitrages2.2 ng dng Arbitrages trong thanh ton Bi tp p dng 6:

Cng ty c (s dng ng EUR) trong cng mt ngy nhn thng bo c thanh ton khon tin 150.000 CHF v 8.000.000 DKK, ng thi h

phi chi tr khon tin tr gi 100.000 CAD v 5.000.000 SEK. Hy ngdng Arbitrages thanh ton v xc nh thay i gi tr ti khon trong ngy ca cng ty.

EUR/USD = 1,1235/75 USD/CHF = 1,5642/42CAD/USD = 0,8618/48 USD/SEK = 7,8310/97 USD/DKK = 6,9255/55


Cng ty Nauy (NOK) trong cng mt ngy nhn thng bo h c thanh ton khon tin hng tr gi 150.000 EUR v 500.000 CAD, ng thi h phi chi tr khon tin tr gi 200.000 CHF v 25.000 GBP. Hy ng dng Acbit trong thanh ton v tnh ti khon ca cng ty l bao nhiu NOK?Thng tin trn th trng:

GBP/USD = 1,4565/20

USD/CHF = 1,1035/80

CAD/USD = 1,0456/11 EUR/USD = 1,4052/40

USD/NOK = 5,3833/5,4889


Cng ty Nauy (NOK) trong cng mt ngy nhn thng bo h c thanh ton khon tin hng tr gi 150.000 CAD v 500.000 CHF, ng thi h phi chi tr khon tin tr gi 200.000 EUR v 25.000 GBP. Hy ng dng Acbit trong thanh ton v tnh ti khon ca cng ty l bao nhiu NOK?Thng tin trn th trng:

GBP/USD = 1,4565/20

USD/CHF = 1,1035/80

CAD/USD = 1,0456/11 EUR/USD = 1,4052/40

USD/NOK = 5,3833/5,4889


Cng ty c (EUR) trong cng mt ngy nhn thng bo h c thanh ton khon tin tr gi 150.000 GBP v 2.000.000 CHF, ng thi h phi chi khon tin tr gi 5.000.000 SEK. Hy ng dng Acbit trong thanh ton v chuyn s ngoi t cn li sang GBP thanh ton cho i tc Anh. Thng tin trn th trng:

GBP/USD = 1,4565/20USD/SEK = 7,6495/70

USD/CHF = 1,1035/50EUR/USD = 1,1255/75


Cng ty c (EUR) trong cng mt ngy nhn thng bo h c thanh ton khon tin tr gi 150.000 GBP v 3.000.000 SEK, ng thi h phi chi khon tin tr gi 500.000 CHF. Hy ng dng Acbit trong thanh ton v chuyn s ngoi t cn li sang GBP thanh ton cho i tc Anh. Thng tin trn th trng:

GBP/USD = 1,4565/20USD/SEK = 7,6495/70

USD/CHF = 1,1035/80EUR/USD = 1,1255/75

Dng 3: NGHIP V K HN3.1 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 HN3.1 Xc nh t gi k hn - Cch yt gi k hn Thng bo trc tip t gi k hn

Yt gi theo kiu cng b theo im k hnT gi k hn = T gi giao ngay im k hn - Nu im bnim gi mua: T gi k hn = t gi giao ngay + im k hn - Nu im bn trong cng thc: mu s l 36500 - Chuyn ton b li sut cc ng tin khc v 365 ngy Th trng thng thng - 1 nm tnh 360 ngy

- Chuyn li sut ng GBP v 360 ngy

Phi tnh chnh xc s ngy ca k hn theo lch, thng 2 tnh 28 ngy Trng hp khng cho ngy c th, tnh trung bnh 1 thng c 30 ngy

NGHIP V K HN3.2 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 Ph ph NH: 1/8 (0.125%) ng X c s tin l 1.500.000 CHF, hy thc hin kinh doanh theo k hn cho ng X.

NGHIP V K HN3.2 Kinh doanh k hn p n: Bc 1: Mua USD/CHF theo Db giao ngay=1,5742

=>s USD mua c: 1.500.000/1,5742=952.864,9473 Bc 2: Gi USD trn th trng tin t 3 thng theo li sut:

41/8 - 1/8=4 (%/nm)=>s USD c gc v li sau 3 thng: 952.864,9473*(1+90*4/36000)=962.393,5968

NGHIP V K HN3.2 Kinh doanh k hn p n: Bc 3: K hp ng k hn bn USD/CHF 3 thng theo Dmkh =1,5856

S CHF nhn c sau 3 thng:962.393,5968*1,5856=1.525.971,287 CHF S CHF ban u nu em gi ngn hng vi ls (7-0.125 = 6,875), sau 3 thng thu c: 1.500.000*(1+6,875*90/36.000)=1.525.781,2500 Li nhun: 1.525.971,287 1.525.781,2500 = 190,0371 CHF

NGHIP V K HN3.2 Kinh doanh k hn Bi tp p dng 1: Ti th trng Anh t gi giao ngay GBP/USD = 2,0345/12

im k hn 3 thng GBP/USD c im gia tng 35/45GBP: 9 91/8 (tnh cho 365 ngy) USD: 4 41/2 (tnh cho 360 ngy) ng Y hin c 500.000 GBP. Hy thc hin kinh doanh k hn cho ng Y

NGHIP V K HN3.2 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 thngUSD/HKD = 7,7820/50 Li sut k hn 6 thng (nim yt theo nm). USD:31/8 31/2 HKD: 8 81/2 Ph ph NH: 1/4 (0.25%) Nh u t Q c s vn ban u l 1.000.000 HKD, hy thc hin kinh doanh theo k hn cho nh u t Q.

NGHIP V K HN3.2 Kinh doanh k hn Bi tp vn dng 2 Ti th trng Nht t gi giao ngay USD/JPY = 86,125/45

im k hn 9 thng USD/JPY c im gia tng 15/35Li sut theo nm tnh cho 360 ngy: USD: 3 31/8 JPY: 5 51/2

ng Z hin c 250.000 USD. Hy thc hin kinh doanh k hn cho ng Z

NGHIP V K HN3.2 Kinh doanh k hn Bi tp vn dng 3

T gi giao ngay GBP/USD = 2,0345/15; im k hn 3 thng GBP/USD c im gia tng 35/45, Li sut k hn 3 thng (nim yt theo nm). USD:31/8 31/2 GBP: 9 91/2

Ph ph NH: 1/4 (0.25%)Nh u t Q c s vn ban u l 500.000 GBP, hy thc hin kinh doanh theo k hn cho nh u t Q.


T gi giao ngay EUR/USD = 1,4052/40 im k hn 3 thng EUR/USD c im gia tng 73/78 Li sut k hn 3 thng (nim yt theo nm). USD:31/8 31/2 EUR: 4 41/2

Ph ph NH: 1/4 (0.25%)Nh u t Q c s vn ban u l 1.000.000 EUR, hy thc hin kinh doanh theo k hn cho nh u t Q.


T gi giao ngay USD/JPY = 116,85/58 im k hn 3 thng USD/JPY c im gia tng 99/95 Li sut k hn 3 thng (nim yt theo nm). USD:31/8 31/2 JPY: 5 51/2

Ph ph NH: 1/4 (0.25%)Nh u t Q c s vn ban u l 800.000 USD, hy thc hin kinh doanh theo k hn cho nh u t Q.

NGHIP V K HN3.2 Kinh doanh k hn Bi tp vn dng 6 Ti th trng Nht t gi giao ngay USD/JPY = 86,125/45

im k hn 9 thng USD/JPY c im gia tng 15/35Li sut theo nm tnh cho 360 ngy: USD: 3 31/8 JPY: 5 51/2

ng Z hin c 2.500.000 JPY. Hy thc hin kinh doanh k hn cho ng Z


T gi giao ngay GBP/USD = 2,0345/15; im k hn 3 thng GBP/USD c im gia tng 35/45, Li sut k hn 3 thng (nim yt theo nm). USD:31/8 31/2 GBP: 9 91/2

Ph ph NH: 1/4 (0.25%)Nh u t Q c s vn ban u l 500.000 USD, hy thc hin kinh doanh theo k hn cho nh u t Q.


T gi giao ngay EUR/USD = 1,4052/40 im k hn 3 thng EUR/USD c im gia tng 73/78 Li sut k hn 3 thng (nim yt theo nm). USD:31/8 31/2 EUR: 4 41/2

Ph ph NH: 1/4 (0.25%)Nh u t Q c s vn ban u l 1.000.000 USD, hy thc hin kinh doanh theo k hn cho nh u t Q.

3.3. ng dng Ac-bit trong thanh ton k hn- Thc hin giao dch cho cng ty theo t gi k hn - Cc trng hp xy ra: 1/ Khng tnh pht sinh qua s d ti khon

2/ Tnh pht sinh qua s d ti khon

3.3. ng dng Acbit trong thanh ton k hn V d

Mt cng ty ca Hng Kng(HKD) trong ngy 11.2 nhn c thng bo sau: - Trong cng ngy h c thanh ton khon tin hng tr gi 50.000 GBP v 3.500.000 SEK ng thi h phi chi tr 45.000 EUR v 1.000.000 CHF - 3 thng sau h nhn c 30.000 EUR v phi chi tr 15.000 GBP.

Hy ng dng Acbit trong thanh ton v d bo ti khon trong 3 thng ti cho cngty (gi thit mi s d khng sinh li)

Thng tin th trng:

GBP/EUR =1,4388/1,4528SEK/CHF = 0,1797/49

GBP/CHF = 2,4021/2,4240HKD/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

3.3. ng dng Ac-bit trong thanh ton k hn

B1: Ti thi im giao ngay ngy 11/2 thc hin giao dch cho

cng ty. Tng t v d phn Acbit giao ngay. Kt thc bc 1,tnh c s HKD cng ty phi bn l 2.143.808,229 HKD

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(T2m - T1b)89 0,6883 (9 - 4,5)89 = 0,6883 + = 0,6958 36.000 + T1b * 89 36 .000 + 4,5 * 89

Dm 3tEUR/GBP = Dm +

(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=8.442,0811Cng 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

:

=>s HKD mua c:8.442,0811*10,9955=92.824,9027

Trng hp 1: khng tnh pht sinh qua s d ti khon

B1: S HKD cng ty phi bn l 2.143.808,229 HKD B2: S HKD cng ty mua c sau 3 thng l 92.824,9027 HKD

=> Kt lun: gi tr ti khon cng ty sau 3 thng l: 92.824,9027 -

2.143.808,229 = - 2.050.983,326

Trng hp 2: Tnh pht sinh qua s d ti khona/ Kt thc bc 1: ti khon ca cng ty l m: cng ty phi vay ni t trn th trng

tin t thanh ton cho i tc=>tnh c gc v li phi tr sau N ngy.Ly kt qu bc 2 tr i tng gc v li phi tr

b/ Kt thc bc 1, ti khon ca cng ty d tha => cng ty gi trn th trng tin t =>tnh c gc v li nhn sau N ngy. Ly kt qu bc 2 cng vi tng gc v li nhn

3.3. ng dng Acbit trong thanh ton k hn Bi tp vn dng 1

Mt cng ty ca NaUy (NOK) trong ngy 10/4 nhn c thng bo sau: - Trong cng ngy h c thanh ton khon tin hng tr gi 500.000 EUR v 5.000.000 SEK ng thi h phi chi tr 1.000.000 CAD. - 2 thng sau h s nhn c 500.000 GBP v phi chi tr 800.000 AUD.

Hy ng dng Acbit trong thanh ton v d bo ti khon trong 2 thng ti cho cngty.

Thng tin th trng: EUR/USD=1,3437/67 USD/SEK=7,8310/97 Ph ph NH 1/8 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

3.3. ng dng Acbit trong thanh ton k hn Bi tp vn dng 2

Mt cng ty ca Thy in (SEK) trong ngy 5/3 nhn c thng bo sau: - Trong cng ngy h c thanh ton khon tin hng tr gi 1000.000 EUR v 2.000.000 DKK ng thi h phi chi tr 200.000 CAD. - 3 thng sau h s nhn c 200.000 EUR v phi chi tr 250.000 USD

Hy ng dng Acbit trong thanh ton v d bo ti khon trong 3 thng ti cho cngty.

Thng tin th trng: EUR/USD=1,3437/67 DKK/USD=0,1445/05 Ph ph NH 1/4 CAD/USD=0,8618/48 USD/SEK=7,8310/97

Li sut th trng 3 thng: EUR: 5 51/2; USD: 3 31/2

3.3. ng dng Acbit trong thanh ton k hn Bi tp vn dng 3Cng ty Dick Taylor ca Thy in ngy 19/2 c thng bo 3 thng ti s c khon thu 900.000 NZD v 50.000EUR ng thi phi chi tr 1.500.000JPY. Hy ng dng cc nghip v Acbit v giao dch k hn thc hin ngha v thanh ton v d bo ti khon sau giao dch ca cng ty khi c cc thng tin th trng nh sau: 1/ T gi giao ngay EUR/USD = 1,4425/75; USD/NZD= 1,3515/59; USD/JPY= 115,00/95; USD/SEK= 6,9255/15 2/ Li sut 3 thng ca cc ng tin: EUR: 21/8 21/4 NZD: 61/8 63/8 JPY: 71/8 71/2 SEK: 51/2 57/8

3.3. ng dng Acbit trong thanh ton k hn Bi tp vn dng 4Cng ty Baltimore ca Na Uy ngy 17/4 c thng bo 2 thng ti s c khon thu 750.000 SGD v 250.000GBP ng thi phi chi tr 5.000.000 JPY. Hy ng dng cc nghip v Acbit v giao dch k hn thc hin ngha v thanh ton v d bo ti khon sau giao dch ca cng ty khi c cc thng tin th trng nh sau: 1/ T gi giao ngay USD/SGD = 1,6945/10; USD/JPY= 115,00/95; GBP/USD= 1,7695/15; USD/NOK = 5,3724/05 2/ Li sut 2 thng ca cc ng tin: GBP : 91/16 91/4 NOK: 61/8 63/8 JPY: 71/8 71/4 SGD: 51/8 53/8 USD: 41/4 41/2

3.3. ng dng Acbit trong thanh ton k hn Bi tp vn dng 5Cng ty Kuhn Loeb ca H Lan (EUR) ngy 15/5 c thng bo 3 thng ti s c khon thu 750.000 NZD ng thi phi chi tr 2.000.000 SEK. Hy ng dng cc nghip v Acbit v giao dch k hn thc hin ngha v thanh ton v d bo ti khon sau giao dch ca cng ty khi c cc thng tin th trng nh sau: 1/ T gi giao ngay USD/NZD= 1,3515/59;USD/SEK= 6,9255/15; EUR/USD = 1,4425/75 2/ Li sut 3 thng ca cc ng tin: NZD: 51/8 51/4 SEK: 61/4 61/2 EUR: 21/8 21/4

3.3. ng dng Acbit trong thanh ton k hn Bi tp vn dng 6Cng ty Dick Taylor ca Thy in c thng bo 3 thng ti s c khon thu 900.000 NZD v 1.500.000JPY ng thi phi chi tr 50.000EUR. Hy ng dng cc nghip v Acbit v giao dch k hn thc hin ngha v thanh ton v d bo ti khon sau giao dch ca cng ty khi c cc thng tin th trng nh sau: 1/ T gi giao ngay EUR/USD = 1,4425/75; USD/NZD= 1,3515/59; USD/JPY= 115,00/95; USD/SEK= 6,9255/15 2/ Li sut 3 thng ca cc ng tin: EUR: 21/8 21/4 NZD: 61/8 63/8 JPY: 71/8 71/2 SEK: 51/2 57/8

3.3. ng dng Acbit trong thanh ton k hn Bi tp vn dng 7Cng ty Baltimore ca Na Uy c thng bo 2 thng ti s c khon thu 750.000 GBP v 550.000 SGD ng thi phi chi tr 3.000.000 JPY. Hy ng dng cc nghip v Acbit v giao dch k hn thc hin ngha v thanh ton v d bo ti khon sau giao dch ca cng ty khi c cc thng tin th trng nh sau: 1/ T gi giao ngay USD/SGD = 1,6945/10; USD/JPY= 115,00/95; GBP/USD= 1,7695/15; USD/NOK = 5,3724/05 2/ Li sut 2 thng ca cc ng tin: GBP : 91/16 91/4 NOK: 61/8 63/8 JPY: 71/8 71/4 SGD: 51/8 53/8 USD: 41/4 41/2

3.3. ng dng Acbit trong thanh ton k hn Bi tp vn dng 8Cng ty Kuhn Loeb ca H Lan (EUR) c thng bo 3 thng ti s c khon thu 7.500.000 SEK ng thi phi chi tr 200.000 NZD. Hy ng dng cc nghip v Acbit v giao dch k hn thc hin ngha v thanh ton v d bo ti khon sau giao dch ca cng ty khi c cc thng tin th trng nh sau: 1/ T gi giao ngay USD/NZD= 1,3515/59;USD/SEK= 6,9255/15; EUR/USD = 1,4425/75 2/ Li sut 3 thng ca cc ng tin: NZD: 51/8 51/4 SEK: 61/4 61/2 EUR: 21/8 21/4

3.4 Nghip v ng trc

p dng vi cc khon thu c k hn. Xin ng trc s tin s dng ngay p ng nhu cu vn trong kinh doanh cng nh phng nga c ri ro khi ngoi t c kh nng gim gi. C hai phng n: - Phng n 1: Bn k hn ngoi t ly ni t, sau xin ng trc. - Phng n 2: Xin ng trc ngoi t sau bn giao ngay ly ni t Cng thc: CE: s tin xin ng trc C : s tin s nhn c trong tng lai T : Li sut p dng (li sut vay) N: s ngy ca k hn

CE = C * (1 -

TN ) 36.000 + TN

3.4 Nghip v ng trc V d

Mt cng ty trong thi gian 3 thng ti c khon thu tr gi 50.000

GBP. Thi im hin ti c nhu cu s dng EUR.Hy t vn cho cng ty phng n hiu qu nht Thng tin th trng:

T gi giao ngay: GBP/EUR = 1,2916/1,3102Li sut 3 thng: GBP: 91/16 91/4 Ph ph NH: 1/8 EUR: 51/8 51/4


Phng n 1:

- Cng ty bn k hn 3 thng GBP/EUR theo DmkhDm(T2m - T1b)90 1,2916 1,2916 * (5,125 - 9,123)*90 = Dm + = + = 1,2789 + T1b * 90 36.000 36000 + 9,123*90

s EUR s thu c sau 3 thng= 50.000 * 1,2789 = 63.948,87 EUR

- Cng ty xin ng trc EUR, s EUR xin ng trc l

CE = 64.075 * (1 -

5,375*9036.000 + 5,375*90

) = 63.225,408


Phng n 2:

- Cng ty xin ng trc GBP. s GBP ng trc l:CE = 50.000 * (1 9,248*90 36.000

+ 9,248*90

) = 48.870,12

- Bn giao ngay GBP/EUR theo Dm = 1,2916

s EUR mua c l 48.870,12 * 1,2916 = 63.120,65 EUR Kt lun: cng ty nn la chn phng n 1

3.4 Nghip v ng trc Bi tp vn dng Bi 1: Cng ty ca Canada ngy 5/5 nhn c thng bo 3 thng ti cng ty s c khon thu tr gi 1.000.000 USD, ti thi im hin ti h cn s dng CAD. Hy t vn gip cng ty la chn phng n hiu qu nht? Vi thng tin th trng nh sau: - T gi giao ngay: USD/CAD = 1,0032/52 - Li sut 3 thng: CAD: 6 - 61/2; USD:41/4- 41/2 (%/nm) - Ph ph NH: 1/8

3.4 Nghip v ng trc Bi tp vn dng

Bi 2: Cng ty M trong ngy 9/9 nhn c thng bo 6 thng ti h

c thanh ton 100.000 EUR v 35.000 GBP. Thi im hin ti h c nhu cu s dng ngay USD. Hy t vn cho cng ty phng n c hiu qu nht.

Thng tin th trng- T gi giao ngay GBP/USD=1,7393/05 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:

Ngy 12/04, Cng ty Burlington ca H Lan nhn c thng bo 1 thng ti c khon thu tr gi 800.000 NZD. Trong thi im hin ti, h c nhu cu s dng SGD. Hy thc hin nghip v ng trc ngoi t c d phng b p ri ro li sut cho cng ty, xc nh s SGD cng ty nhn c. Bit thng tin th trng nh sau: T gi giao ngay: USD/NZD= 1,3515/59; USD/SGD = 1,6945/10 Li sut 1 thng: NZD: 61/8 61/2 ; SGD: 41/8 41/2


Bi 4:

Ngy 16/03, Cng ty Drexel ca an Mch nhn c thng bo 3 thng ti c khon thu tr gi 900.000 AUD. Trong thi im hin ti, h c nhu cu s dng SEK. Hy thc hin nghip v ng trc ngoi t c d phng b p ri ro li sut cho cng ty, xc nh s SEK cng ty nhn c. Bit thng tin th trng nh sau: T gi giao ngay: AUD/USD = 1,0621/62; USD/SEK = 6,9166/09 Li sut 3 thng: AUD: 41/4 41/2 ; SEK: 71/8 73/4


Bi 5:

Ngy 10/09, Cng ty Rockefeller ca Italy nhn c thng bo 6 thng ti c khon thu tr gi 1.000.000 SGD. Trong thi im hin ti, h c nhu cu s dng CHF. Hy thc hin nghip v ng trc ngoi t c d phng b p ri ro li sut cho cng ty, xc nh s CHF cng ty nhn c. Bit thng tin th trng nh sau: T gi giao ngay: USD/SGD = 1,6945/10;USD/CHF = 1,5642/42 Li sut 6 thng: CHF: 61/8 61/2 ; SGD: 41/8 41/2

3.4 Nghip v ng trc Bi tp vn dng 6 Bi 1: Cng ty ca Canada ngy 5/5 nhn c thng bo 3 thng ti cng ty s c khon thu tr gi 500.000 USD, ti thi im hin ti h cn s dng CAD. Hy t vn gip cng ty la chn phng n hiu qu nht? Vi thng tin th trng nh sau: - T gi giao ngay: USD/CAD = 1,0032/52 - Li sut 3 thng: CAD: 6 - 61/2; USD:41/4- 41/2 (%/nm) - Ph ph NH: 1/8

3.4 Nghip v ng trc Bi tp vn dng 7

Bi 2: Cng ty M trong ngy 9/9 nhn c thng bo 6 thng ti h

c thanh ton 70.000 EUR v 50.000 GBP. Thi im hin ti h c nhu cu s dng ngay USD. Hy t vn cho cng ty phng n c hiu qu nht.

Thng tin th trng- T gi giao ngay GBP/USD=1,7393/05 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)

Dng 4: NGHIP V SWAP-

Khi qut v nghip v Swap ng dng nghip v Swap i vi ngn hng

-

ng dng nghip v Swap i vi khch hng

4. Nghip v Swap

Swap l vic hon i mt lng c nh mt ng tin ny ly mt lng bin i ng tin khc trong mt thi gian xc nh bng cch k cng mt lc hai hp ng: hp ng mua bn giao

ngay v hp ng bn mua k hn tng ng phng nga riro t gi xy ra i vi mt ng tin no

Thng c thc hin khi cc ch th ang trong tnh trng d tha mt ng tin no ng thi li cn mt ng tin khc

4. Nghip v Swap4.1 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

4. Swap vi ngn hng Cng thc tng qutDm +Db

Mua giao ngay: Dbq= Bn k hn:

2 Dbq (T2m - T1b) N Dswap = Dbq + 36000 + T1b * N

Bn giao ngay: Dbq=

Dm +Db 2

Mua k hn:

Dswap = Dbq +

Dbq (T2b - T1m) N 36000 + T1m * N

4. Swap vi ngn hng4.1.1 Ngn hng cn mt lng c nh ngoi t khc - V d: 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.

Thng tin th trng:EUR/USD = 1,1235/75 Li sut 3 thng:

USD: 4,25 4,5 (%)EUR: 5,125 - 5,25 (%)

4. Swap vi ngn hng4.1.1 Ngn hng cn mt lng c nh ngoi t khc p n: Bc 1: Ti J+2, ngn hng nhn t i tc kinh doanh 1.000.000 EUR v bn giao ngay USD theo t gi bnh qun giao ngay EUR/USD. S USD bn l: 1.000.000 * 1,1255 = 1.125.500 USD Bc 2: Ti J+2+90, ngn hng tr 1.000.000 EUR cho i tc kinh doanh v nhn li s USD theo Dswap

4. Swap vi ngn hng4.1.1 Ngn hng cn mt lng c nh ngoi t khc p n: Dswap EUR/USD = Dbq + ph tn Swap

Dbq (T2m - T1b) *90 36000 + T1b * 90 1 ,1255 ( 4 , 25 - 5 , 25 ) 90 = 1 ,1255 + = 1 ,1234 36000 + 5 , 25 * 90 Dswap EUR/USD= Dbq +S USD ngn hng nhn li: 1.000.000*1,1234 = 1.123.400 (USD)

4. Swap vi ngn hng4.1.2 Ngn hng d tha mt lng c nh ngoi t - V d:

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:

USD: 4,25 4,5 (%)EUR: 5,125 - 5,25 (%)

4. Swap vi ngn hng4.1.2 Ngn hng d tha mt lng c nh ngoi t - V d: - Bc 1: Ti J+2, ngn hng bn giao ngay cho i tc 1.000.000 EUR theo t gi bnh qun:

1,1235 + 1,1275 = 1,1255 2Ngn 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. Swap vi ngn hng

S USD m ngn hng cn chi tr l: 1.000.000 * 1,1237 = 1.123.700USD

4. Nghip v Swap4.2 ng dng nghip v Swap i vi khch hng4.2.1: 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

4. Swap vi khch hng Cng thc tng qut

Mua giao ngay: Db Bn k hn:

Dswap = Db

+

Dm (T2m - T1b) N 36000 + T1b * N

Bn giao ngay: Dm

Mua k hn:

Dswap = Dm

+

Db (T2b - T1m) N 36000 + T1m * N

4. Swap vi khch hng4.2.1 Khch hng cn mt lng c nh ngoi t khc - V d:

Cng ty X cn 1.000.000 GBP trong 60 ngy, h tm d tha USD. Thc hin giao dch Swap cho cng ty.

Thng tin th trng: GBP/USD = 2,0345/15 Li sut 2 thng GBP: 9 91/8 ; USD: 4 41/4

4. Swap vi khch hng4.2.1 Khch hng cn mt lng c nh ngoi t khc p n: - Bc 1: Ti J+2, cng ty nhn t i tc 1.000.000 GBP v bn giao ngay USD

theo gi Db GBP/USD = 2,0415

s USD giao l: 1.000.000 * 2,0415 = 2.041.500

- Bc 2: Ti J+2+60, cng ty tr 1.000.000 GBP cho i tc v nhn li USD

theo Dswap

4. Swap vi khch hng4.2.1 Khch hng cn mt lng c nh ngoi t khc p n:

Dm(T 2m - T1b)60 DswapGBP / USD = Db + 36.000 + T1b * 60Dm = 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

S USD cng ty nhn li: 1.000.000 * 2,0247 = 2.024.700 (USD)

4. Swap vi khch hng4.2.2 Khch hng d tha mt lng c nh ngoi t - V d:

Cng ty X c tm thi d 1.000.000 GBP trong thi gian 60ngy, song li cn s dng USD. Thc hin giao dch Swap

GBP/USD cho cng ty

4. Swap vi khch hng4.2.2 Khch hng d tha mt lng c nh ngoi t - p n:- Bc 1: Ti J+2, cng ty bn giao ngay cho i tc 1.000.000 GBP nhn USD theo gi Dm GBP/USD=2,0345 S USD nhn c 1.000.000 * 2,0345 = 2.034.500 - Bc 2: Ti J+2+60 cng ty nhn li 1.000.000 GBP t i tc ng thi tr li s USD theo gi Dswap

4. Swap vi khch hng4.2.2 Khch hng d tha mt lng c nh ngoi t - p n:

Db (T 2 b - T 1m ) 60 DswapGBP / USD = Dm + 36 . 000 + T 1m * 60Dm = 2,0345; Db = 2,0415 T1m(GBP) = 9 * 360 / 365 = 8,8767 T2b (USD) = 4,25

2,0415 (4,25 - 8,8767 )60 Dswap = 2,0345 + = 2,0189 36000 + 8,8767 * 60S USD cng ty phi tr: 1.000.000 * 2,0189 = 2.018.900 USD

4. Nghip v Swap Bi tp vn dng

BT1: Ti th trng c, ngn hng X c nhu cu 800.000 SEK trong 90 ngy, tin i ng tm d l CAD. Hy thc hin giao dch Swap cho NH. BT2: Ti th trng Anh, ngn hng Y cn EUR trong 90 ngy, tin i ng h c l 500.000 CHF. Hy thc hin giao dch Swap cho NH. BT3: Ti th trng Php, cng ty M tm d 850.000 AUD, h cn s dng NOK trong 90 ngy. Hy thc hin giao dch Swap cho cng ty. BT4: Ti th trng Anh, cng ty N cn s dng 300.000 EUR trong 90 ngy, h c tin i ng l GBP. Hy thc hin giao dch Swap cho cng ty.

4. Nghip v Swap Bi tp vn dng

Thng tin t gi:GBP/USD=1,7395/15 EUR/USD=1,1225/45 USD/NOK=6,7370/25 USD/AUD=1,3437/67

USD/SEK=7,8310/97USD/CAD=1,1255/95

USD/CHF=1,5642/42

Li sut 3 thng (%/nm)

GBP:91/16-91/8AUD:3-31/2

NOK:61/4-61/2SEK:81/8-81/4 CAD:6 61/2

EUR:51/4-51/2CHF:7 71/2

DNG 5: NGHIP V QUYN CHN (OPTIONS) 5.1 Khi qut v nghip v quyn chn 5.2 Nghip v mua bn quyn chn mua

5.3 Nghip v mua bn quyn chn bn5.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu

5.1 Khi qut nghip v quyn chn

Trong nghip v quyn chn c hai i tng tham gia giao dch: ngi mua quyn v ngi bn quyn i vi ngi mua quyn: - Quyn chn tin t trao cho ngi mua n quyn ch khng phi ngha v mua hoc bn

mt ng tin xc nh theo mc gi xc nh c tho thun ngy hm nay (cn c gil gi thc hin hay gi giao dch) trong mt thi hn xc nh. - Ngi mua quyn c th la chn thc hin quyn vo thi im thanh ton hoc quyn ht hn tu thuc vo s chnh lch gia gi giao ngay trong tng lai v gi thc hin.

- Ngi mua quyn lun lun phi tr ph cho d c thc hin quyn hay khng. Mc ph nyc 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.

5.2 Nghip v mua bn quyn chn mua

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

Gi s gi giao ngay sau 1 thng c th xy ra cc tnh hung nh sau: 1. USD/CAD = 1,2821 2. USD/CAD = 1,2345 3. USD/CAD = 1,1904 Hi trng hp no cng ty thc hin quyn, trng hp no quyn ht hn. Xc nh s CAD phi bn trong mi trng hp

5.2 Nghip v mua bn quyn chn mua

p n

Ph quyn = 1.000.000*0,02=20.000 CAD

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 =>TH ny cng ty thc hin quyn vo thi im o hn v s CAD chi ra l 1.254.500

TH2: USD/CAD = 1,2345 ng bng mc gi thc hin, do vy trong TH ny cng ty thc hin TH3: USD/CAD=1,1904, tng s CAD phi chi ra (bao gm c ph) l: 1.000.000*1,1904+20.000=1.210.400 CAD TH ny cng ty khng thc hin quyn vo thi im o hn v s CAD chi ra l 1.210.400

5.3 Nghip v mua bn quyn chn bn v d

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

Gi s gi giao ngay sau 1 thng c th xy ra cc tnh hung nh sau: 1. GBP/USD = 1,58 2. GBP/USD = 1,60 3. GBP/USD = 1,64 Hi trng hp no cng ty thc hin quyn, trng hp no quyn ht hn. Xc nh s USD mua c trong mi trng hp

5.3 Nghip v mua bn quyn chn bn p n

Ph quyn = 100.000*0,04=4.000 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 USDTH ny cng ty thc hin quyn vo thi im o hn v s USD mua c l 156.000

TH2: GBP/USD=1,60 ng bng mc gi thc hin, do vy trong TH ny cng ty thc hin TH3: GBP/USD=1,64, tng s USD mua c (sau khi tr ph) l: 100.000*1,64 -

hp ng hay khng nh nhau v tng s USD mua c l 156.000USD

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

5.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khu

Bi 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 Gi thc hin H quyn chn 2,4276 CHF

USD/CHF=1,4515/55

im k hn 1 thng 79/52; Li sut CHF 1 thng 8-81/2(%/nm) 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


Bi 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 Gi thc hin H quyn chn 2,4416 CHF

USD/CHF=1,4515/55

im k hn 1 thng 32/59; Li sut CHF 1 thng 8-81/2(%/nm) 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


Bi tp 3: Cng ty Chase Manhattan ca Na Uy c khon thu 5.000.000CAD trong thi gian 1 thng ti, cng ty cn nhc 3 phng n phng nga ri ro: Phng n 1: Khng phng nga, bn CAD trn th trng giao ngay khi n thi im thanh ton. Phng n 2: K hp ng bn k hn 1 thng CAD/NOK. Phng n 3: K hp ng mua quyn chn bn CAD/NOK Hy t vn cho cng ty vi thng tin trn th trng nh sau: T gi giao ngay: USD/NOK = 5,3724/05; CAD/USD = 1,0456/11 T gi k hn 1 thng: 5,6378/49 T gi quyn chn 1 thng CAD/NOK = 5,6340 Ph quyn chn 140.000 NOK; Gi thit t gi giao ngay sau 1 thng: USD/NOK = 5,3812/88; CAD/USD = 1,0426/15


Bi tp 4: Cng ty Kangnam ca Trung Quc c khon phi tr 1.500.000EUR trong thi gian 6 thng ti, cng ty cn nhc 3 phng n phng nga ri ro: Phng n 1: Khng phng nga, mua EUR trn th trng giao ngay khi n thi im thanh ton. Phng n 2: K hp ng mua k hn 6 thng EUR/CNY. Phng n 3: K hp ng mua quyn chn mua EUR/CNY Hy t vn cho cng ty vi thng tin trn th trng nh sau: T gi giao ngay: EUR/CNY = 9,4526 im k hn 6 thng EUR/CNY: 15/45 T gi quyn chn 6 thng EUR/CNY = 9,4560 Ph quyn chn bng 2% tr gi hp ng (ph quyn tnh theo CNY v gi s cng ty c sn CNY thanh ton). Gi thit sau 6 thng CNY gim gi 2% so vi EUR

5.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuBi tp 5: Cng ty Faro ca H Lan c khon phi tr 2.500.000AUD trong thi gian 1 thng ti, cng ty cn nhc 3 phng n phng nga ri ro: Phng n 1: Khng phng nga, mua AUD trn th trng giao ngay khi n thi im thanh ton. Phng n 2: K hp ng mua k hn 1 thng AUD/EUR. Phng n 3: K hp ng mua quyn chn mua AUD/EUR Hy t vn cho cng ty vi thng tin trn th trng nh sau: T gi giao ngay: AUD/EUR = 0,7366 im k hn 1 thng AUD/EUR: 18/32 T gi quyn chn 1 thng AUD/EUR = 0,7360 Ph quyn chn bng 5% tr gi hp ng (ph quyn tnh theo EUR v gi s cng ty c sn EUR thanh ton). Gi thit sau 1 thng EUR gim gi 5% so vi AUD.


Bi tp 6: Cng ty J & H ca Na Uy c khon phi tr 1.000.000CAD trong thi gian 1 thng ti, cng ty cn nhc 3 phng n phng nga ri ro: Phng n 1: Khng phng nga, bn CAD trn th trng giao ngay khi n thi im thanh ton. Phng n 2: K hp ng mua k hn 1 thng CAD/NOK. Phng n 3: K hp ng mua quyn chn mua CAD/NOK Hy t vn cho cng ty vi thng tin trn th trng nh sau: T gi giao ngay: USD/NOK = 5,3724/05; CAD/USD = 1,0456/11 T gi k hn 1 thng: 5,6378/49 T gi quyn chn 1 thng CAD/NOK = 5,6340 Ph quyn chn 140.000 NOK; Gi thit t gi giao ngay sau 1 thng: USD/NOK = 5,3812/88; CAD/USD = 1,0426/15


Bi tp 7: Cng ty Kangnam ca Trung Quc c khon thu 2.000.000EUR trong thi gian 6 thng ti, cng ty cn nhc 3 phng n phng nga ri ro: Phng n 1: Khng phng nga, bn EUR trn th trng giao ngay khi n thi im thanh ton. Phng n 2: K hp ng bn k hn 6 thng EUR/CNY. Phng n 3: K hp ng mua quyn chn bn EUR/CNY Hy t vn cho cng ty vi thng tin trn th trng nh sau: T gi giao ngay: EUR/CNY = 9,4526 im k hn 6 thng EUR/CNY: 15/45 T gi quyn chn 6 thng EUR/CNY = 9,4560 Ph quyn chn bng 2% tr gi hp ng (ph quyn tnh theo CNY v gi s cng ty c sn CNY thanh ton). Gi thit sau 6 thng CNY gim gi 2% so vi EUR

5.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuBi tp 8: Cng ty Faro ca H Lan c khon thu 3.000.000AUD trong thi gian 1 thng ti, cng ty cn nhc 3 phng n phng nga ri ro: Phng n 1: Khng phng nga, bn AUD trn th trng giao ngay khi n thi im thanh ton. Phng n 2: K hp ng bn k hn 1 thng AUD/EUR. Phng n 3: K hp ng mua quyn chn bn AUD/EUR Hy t vn cho cng ty vi thng tin trn th trng nh sau: T gi giao ngay: AUD/EUR = 0,7366 im k hn 1 thng AUD/EUR: 18/32 T gi quyn chn 1 thng AUD/EUR = 0,7360 Ph quyn chn bng 5% tr gi hp ng (ph quyn tnh theo EUR v gi s cng ty c sn EUR thanh ton). Gi thit sau 1 thng EUR gim gi 5% so vi AUD.

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