CNY NDFs

Peter G. Zhang
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Peter G. Zhang: Shanghai Futures Exchange, China

Chapter 18 in Chinese Yuan (Renminbi) Derivative Products, 2004, pp 235-265 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Brief History of CNY NDF MarketCNY NDF Contract SpecificationsSettlement Rates“Drop-Dead Date” for Unscheduled HolidaySpecified RateRelevant City for Business DayFrom Devaluation to RevaluationFactors and Events Affecting CNY NDFFirst Stage Arguments and Events (before May 2003)Second Stage Arguments and Events (June–September 2003)Third Stage Arguments and Events (October–December 2003)Fourth Stage Arguments and Events (January 2004–)Summarizing Arguments and EventsCNY NDF Market ParticipantsRISK SurveyEMTA MembersHong Kong SARChina-TaiwanSingaporeCNY NDF Volume EstimationEMTA Survey VolumeHong Kong Monetary Authority Survey VolumeReconciling Results of Two MethodsThe CNY Realignment ProbabilityPricing and Other Problems with the CNY NDFsExisting Theories Not ApplicableNo Universal Formula to Price All NDFsNo Reliable Formula to Price Domestic CNY ForwardsFundamental Data and NDF FluctuationsFuture DevelopmentSummary

Keywords: Chinese Yuan; CNY Revaluation; Non-Deliverable Forwards; CNY Forwards; CNY Non-Deliverable Options; CNY Non-Deliverable Swaps; CNY Structured Notes (search for similar items in EconPapers)
Date: 2004
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