EN: Anatomy of forwards, futures, swaps, and options. VN: Cấu tạo forward, future, swap, option.
1. Forward Contract Concept
About: Bilateral OTC agreement to buy/sell at future date for price set today. Long benefits if spot > delivery; short benefits otherwise. Initial value = 0.Tóm tắt: Hợp đồng OTC mua/bán tương lai ở giá định trước. Long lời nếu spot > price; short ngược lại. Giá trị đầu = 0.
Definition Bilateral OTC agreement to buy/sell an asset at a future date for a price set today.
Long Agrees to buy at delivery price; gains if spot > delivery price.
Short Agrees to sell; gains if spot < delivery price.
Initial value = 0 at inception; no cash exchanged at start.
2. Futures Contract Concept
About: Standardized exchange-traded forward with daily MTM. Margin posted; clearinghouse takes counterparty risk. Liquidity > forwards.Tóm tắt: Forward chuẩn hóa, MTM hàng ngày. Margin + clearinghouse loại bỏ counterparty risk.
Margin Initial margin posted; maintenance margin must be replenished.
CCP Clearinghouse acts as counterparty — eliminates default risk.
3. Swap Concept
About: Series of forward-like exchanges of CFs (e.g. fixed-for-floating IRS). Notional reference but never exchanged. Most common: plain-vanilla IRS.Tóm tắt: Chuỗi trao đổi CF như forward (fixed cho floating). Notional chỉ tham chiếu, không trao đổi.
Definition Series of forward-like exchanges of cash flows.
Plain-vanilla IRS Fixed-for-floating (e.g. fixed 4% vs SOFR).
Notional Reference amount used to compute payments — not exchanged.
4. Option Concept
About: Right (not obligation) to buy (call) or sell (put) at strike. Buyer pays premium; seller (writer) is obligated. European = expiry only; American = anytime.Tóm tắt: Quyền (không phải nghĩa vụ). Buyer trả premium; writer có nghĩa vụ. European/American.
Call Right (not obligation) to BUY at strike K.
Put Right to SELL at strike K.
Premium Buyer pays seller (writer) at inception.
European Exercise only at expiry.
American Exercise any time up to expiry.
Practice problem Practice
Practice problem
An investor pays a $3 premium for the right (but not obligation) to buy a stock at $100 in 3 months. What contract type and position?
Show solution
Right but not obligation = option (contingent claim).