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

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.

One of the main points that usually get overlooked is the basic idea that there are virtually no new ideas or events when it comes to trading markets in general. Sound odd? Well, consider, that even during the 1929 stock market crash, trading was remarkably similar to the crash of 1987. Shorts made money, longs got hurt, margin calls went out, new age interpretations as to valuations started appearing clearly, what changed? The answer of course is that nothing has.

Therefore, one of the greatest trading lessons that can be learned is the idea of how to distinguish the heightened discord in events, from something that is truly a changeable event.

Probably the best way to keep the perspective necessary for this type of viewpoint is to be constantly aware of a particular markets component parts, and understand that price is often made up of things that you really donU see.

One of the great stories, along these lines, has to do with when I was a silver trader (too many years ago to make me feel particularly good about things I might add) , working for one of the larger commodity houses on Wall Street in the early 1980* s. As with many markets, both then and now, the idea of trading “basis” or cash versus futures contracts was a big business. Basically, in onler to understand this dynamic, pic ture that you have a spot contract long position in anything currency, commodity, stock index, it doesn't matter. Against this position there is a simultaneous short position in the futures market, so that realistically it can be considered that the position is hedged. But the fact is this hedge has a certain degree of implied slippage associated with it This differential goes by many different names (swap, E.F.P., forward spread) but generically, it can be referred to as basis. Or the price difference between the spot position and the fbtures position， represeating the same commodity but for a forward or futures settlement date.

Although it sounds esoteric，there is a reason for understanding this relationship, and it does not uniquely have to do with my particular story.

Basis, as trading component, also moves. It actually trades on its own, meaning that the value of the difference between cash and futures prices, is itself considered its own trading commodity. One can, for example ask a dealer for a market on the spot to 1 month basis, and get a market price for the value of the swap. But not to digress，too much, the point is that the value of basis is actually constructed from multiple components. Most of the price is usually associated with the interest rates associated with the forward valuation of the currency, or commodity in question. However, there is also a subtler price component that has to do with expectations and can be generally referred to as a volatility type of measurement.

During the great silver run up in the early eighties, one month interest rates in the US were trading in the mid to low double digits (hard to believe but in fact there was a period where fed funds actually traded as high as 19 percent) . Conse quently，the basis between spot silver and the Comex futures price could be assumed to imply a positive cany cost of a similar rate. Or， more to the pointy if spot were trading at 10 dollars an ounce, than the nearest futures price, approximately 3months forward might be trading at 10.38 or 38 cents higher, which equates to an annualized carry of 15 %.