《外汇交易实战图表与交易心理》 作 者：(新加坡)许强 (美国)Gary Weiss

The current Euro/US dollar rate is 1.3050 for spot.Forward swap rates for Euro/US dollar are:

1 month               3 month               6 month

458473 points        1765〜1795 points     47234783 pts

Forward deposit rates for Euro are:

1 month               3 month               6 month

2.06%〜2.10%        2.08% 〜2.13%        2.19% 〜2‘23%

Forward deposit rates in US dollars are:

1 month               3 month               6 month

2.47%〜2.52%        2.67% 〜2.73%        2.90%2.94%

Further, the assumption is for a position to be for 1,000,000 Euro long versus short 1,305,000 US dollars for spot settlement.

If one were to carry this position for a one month period, the effective mechanics would equate to a Euro deposit at 2.06% (using the offer side of the interest rate market) , e qualing interest income of 1716 Euro for 30 days and a simultaneous US dollar loan of US 1,305,000 at 2.52% (using the bid side of the interest rate market) equaling an interest expense of US 2740 for 30 days.

By converting the US dollars to euro at the forward equivalent rate (2740/ 1.305473= 2098 euro) , one can see that the net loss in carrying this long euro position for one month forward would be 382 euro (i.e. 2098 euro cost on the loan plus 1716 euro gain on the deposit) or US dollars 498 (again converting the euro to US dollars at 1.305478).

Therefore, in order for the spot rate to reflect the one month cost of carry in terms of points, one would have to add the equivalent amount of points that would reflect the loss incurred by carrying the position forward for that one month period. This should equal the one month swap rate of somewhere between 4.58 and 4.73 points (as reflected in our initial assumptions) .

So lets see if this works euro spot of 1 million at 1.3050= US dollars 1,305,OOO.Euro forward of 1 million 1.305458= USdollars 1,305,458.

Notice that by using interest rates the cost seems to be 498 dollars, while using swap point equivalents, the loss seems ,to be 458 dollars. So why, if we're speaking about parity, is this not equal? The answer is that in the arcane world of money market rates, there is never a perfect world. In fact it is these opportunities for arbitrage that make for dealing desks staffed by literally hundreds of traders all day just looking for opportunities like the one just demonstrated.

Even though as a practical matter, the average trader will never have the opportunity to capture the type of arbitrage that * s just been demonstrated, the issue is not so much looking to trade in this manner, but rather to understand the dynamics of what it implies.

Interest rates drive swap points. Swap points indicate the forward value of a currency pair. The movement of these underlying components impacts the relative valuations of all currency relationships. Understanding all of the parts in the over all currency equation allows a trader to examine movements not only in outright price, but also in relationships. Interest rate changes, anticipated or otherwise can sometimes be reflected in swap points as opposed to deposit and loan rates. Carefully watching these factors on an ongoing basis will always indicate when potential price movements in the outright currency are imminent.

名词解释

Arbitrage:套利。在金融市场从事交易时，利用市场的 失衡状况来进行交易，以获取利润的操作方式。其主要操 作方法有两种：一为利用同一产品，在不同市场的价格差 异；一为利用在同一市场中各种产品的价格差异来操作。 不论是采用何种方法来进行套利交易，其产品或市场的风 险程度必须是相等的。

Swap:换汇交易。在外汇市场中，买卖双方约定以A 货币换B货币，并于未来某一特定日期，再以B货币换回 A货币。

Swap Rate:换汇汇率。在外汇交易中，由于两种货币 的利率并不相同，把这种汇率差异转换成以汇率形态表示， 这种汇率形态便是swap point或swap rate。

Swap Rate=Spot Ratex(报价币的利率被报价币的利率） x (天数/360)

Basis story

Throughout this book certain themes keep arising. Some of them are technical, but more seem to do with the idea of examining ones behavior, as it relates to trading. This makes sense, assuming that the idea is to face off towards a rational market using as rational an outlook as possible. Over the years however, I have found that sometimes things are not at all this straightforward. In fact the idea of rationality is tossed aside for particular moments of chaos, usually during extreme circumstances that often result in unlikely market moves. We've all seen these periods: 1981 silver trading over fifty dollars an ounce. 1987 the first of the huge stock market crashes in the late 20th century. 1992 Sterling being held at an artificial cross rate against the German mark only to crash under selling pressure by large hedge funds. The question is were these rational events? And if so, how does one recognize them as they happen, from being outside the norm that will eventually come back and prevail in the market.