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

So, the obvious question then is that by knowing that the measurement of interest rates as a component part in a currency pair is an imperfect pricing tool, does the concept even matter? The answer, of course, is an unequivocal yes. The reason has to do with the question of comparative value. Or, should a currency be measured as either being of higher or lower value in relation to any other at any given point in time. As a basic tenet of foreign exchange pricing, using the concept of dollar parity will enable a person to view interest rates and their forward values in multi currency, so that they equate back to US dollar terms. Or, more specifically, by using a dollar parity measurement, one can generally translate everything back to equal terms so that they can be measured. To illustrate the point, it will be necessary to have certain assumptions:

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。