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1、CHAPTERFIFTY-ONEINTRODUCTIONTOINTEREST-RATEFUTURESANDOPTIONSCONTRACTSFRANKJ.FABOZZI,PH.D.,CFA,CPAFrederickFrankAdjunctProfessorofFinanceSchoolofManagementYaleUniversitySTEVENV.MANN,PH.D.ProfessorofFinanceMooreSchoolofBusinessUniversityofSouthCarolinaMARKP
2、ITTS,PH.D.PrincipalWhiteOakCapitalManagementCorp.Withtheadventofoptions,futures,andforwardsoninterest-rateinstruments,proactivefixedincomeriskmanagement,initsbroadestsense,assumesanewdimension.Investmentmanagersandtraderscanachievenewdegreesoffreedom.Itisn
3、owpossibletoaltertheinterest-ratesensitivityofafixedincomeportfolioeconomicallyandquickly.Derivativecontracts,knownassuchbecausetheyderivetheirvaluefromanunderlyinginstrument,offerinvestmentmanagersandtradersriskandreturnpatternsthatwerepreviouslyeitheruna
4、vailableortoocostly.Thepurposeofthischapteristwofold.First,weexplainthebasiccharac-teristicsofoptions,futures,andforwardcontracts.Second,wereviewthemostactivelytradedandmostrepresentativeover-the-counter(OTC)andlistedcon-tracts.Weomitfromourdiscussiontheu
5、seoffuturesforhedging;thistopicwillbeexplainedinmoredetailinChapter57.BASICCHARACTERISTICSOFDERIVATIVECONTRACTSFuturesContractsAfuturescontractisanagreementbetweenabuyer(seller)andanestablishedfuturesexchangeoritsclearinghouseinwhichthebuyer(seller)agrees
6、totake1163Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.1164PART7DerivativesandTheirApplications(make)deliveryofaspecificamountofavalueditemsuchasacommodity,stock,orbondataspecifiedpriceatadesignatedtime.Fo
7、rsomefuturescontracts,set-tlementatexpirationisincashratherthanactualdelivery.Whenaninvestortakesapositioninthemarketbybuyingafuturescon-tract,theinvestorissaidtobelongthefuturesorhavealongpositioninthefutures.If,instead,theinvestor’sopeningpositionisthes
8、aleofafuturescontract,theinvestorissaidtobeshortthefuturesorhaveashortpositioninthefutures.Futurescontractsbasedonafinancialinstrumentorafinancialindexareknownasfinancialfutures.Financialfuturescanbeclassifiedasinterest
