国际财务课后习题答案chapter7.docx
- 文档编号:26877476
- 上传时间:2023-06-23
- 格式:DOCX
- 页数:13
- 大小:30.20KB
国际财务课后习题答案chapter7.docx
《国际财务课后习题答案chapter7.docx》由会员分享,可在线阅读,更多相关《国际财务课后习题答案chapter7.docx(13页珍藏版)》请在冰豆网上搜索。
国际财务课后习题答案chapter7
CHAPTER7FUTURESANDOPTIONSONFOREIGNEXCHANGE
SUGGESTEDANSWERSANDSCX.UTIONSTOEND-OF-CIIAPTER
QUESTIONSANDPROBLEMS
QUESTIONS
1・Explainthebasicdificrcncesbetweentheoperationofaciurcncyibrwardmarketandafiituresmarket.
Answer:
Tlieforwardmark巩isanOTCmarketwheretheforwardcontractforpurchaseorsaleofforeigncurrencyistailor-madebetweentheclientanditsinternationalbank・Nomoneycliangesshandsmitiltliematurityd^:
eofthecontractwhendeliveiyandreceiptaretypicallymade.Afijtiuescontractisailexchaiige-tiadedinstnimentwithstandaidizedfeatuiesspecifyingcontiactsizeanddeliveiydate.Futiuescoohactsaiemaiked-to-iiiarketdailytoreflectchaiigesintliesettlementpiice.Deliveryisseldommadeinafuturesmarket.Ratheral^versingtradeismadetocloseoutalongorshortposition.
2.InorderforaderivativesmarkettofimetionmostcfFiocntly,twotypesofeconomicagetitsareneeded:
hedgersatidspeculdtors・Explain・
Answer:
Twotypesofniarketpaiticipantsarcncccssaiyforthe巴尸五cientoperatonofaderivativesmarket:
speculatorsandhedgers.Aspeculatorattemptstoprofitfiomaijiangeinthefuturesprice・Todothis,thespeculatorwi11takealongorsliortpositionitiafuturescontractdependinguponhisexpectationsofiuturepricemovernent.Ahedger,on-tlie-otlier-hand,desirestoavoidpricevariationbylockinginapurchasepriceofdiewidedyingassetthiouglialongpositioninaliituresccutractciasalespricethroughashortposition.hieffect,thehedgerpassesofftheiiskofpricevaiiationtothespeculatorwhoisbetterable,oralIea?
tmorewilling,tobearthisrisk.
3.Wliyaremostfiitiuespositionsclosedoutthroughareversingtraderatherthanheldtodeliveiy?
Answer:
Inforwardmarkets,approximately90percentofallcont「勺ctsthat前einitiallyestablishuclresultintheshortmakingdeliveiytothelongoftheassetunderlyingthecontract.Thisisnaturalbecausetlietermsofforwardcontractsaietailor—niadebetweenthclongandshort・Bycontrast,onlyaboutonepercentofciutciicvfiitiwcscotitrootsresultindelivery・Whilefuturescontractsarcusefulforspeculationandhedging,theirstandardizeddeliverydatesmakethemunlikelytocorrespondtotheactualfuturedateswiictiforogiicxdiangetransactionswilloccur.Tlius,theyaregenet'alclosedoutinarcszei^ingtrade.Infact,thecommissionthatbuyersmidsellerspaytotransacthithefuturesmaketisssinglcamountthatcovei^theround-triptiTaisactionsofinitiatingandclosingouttheposition・
4.HowcantheFXfirtutesmaiketbeusedforpHccdiscovery?
Answer:
TotheextenttliatFXforwardprioesareailunbiasedpredictoroffiiturespotexchangerates,tliemarketanticipateswhetheronecuiyenoywillappreciateordepreciateversusanother・BecauseFXEitiiresconti-actstradeinanexpirationcycle,cliflerentcontoactsexpireatdiHeientpeiiDclicdatesintotlieiiiture・Tliepatteiriofthepricesofthesecontactsprovidesinformationastotliemaikefsciinentbeliefaboutth巴rdativefiiturevalueofoneciuiencyversusanotheiatthescheduledexpirationdatesofthecontracts.Onewillgeniallyseeasteadilyappreciatingordepreciatingpattern;howevei;itmaybemixedattimes.TTius,thefiituresmarketisusefillforpricedscovery.i.e.,obtainingthemarket'sforecastofthespotexchangerateatdifferentfuture:
d“tES・
5・WhatistliemajordifFerenoeintheobligationofonewithalongpositioninafijturcs(orfonvaid)contractincomparisontoanoptionsconfraot?
Answer:
Afutures(orforwaid)contractisavehicleforbuyingorseiingastaledamountofforeignexchangeatastatedpriceperunitataspecifiedtimeintliefiitiue・Ifthelongholdsthecontracttothedeliverydate,hepaystlieeffectivecontractualfiitures(orfoiwat'd)price,regardless;ofwhetheritisanadvantageouspticeinoompaiiscntotliespotpriceatthedelkeiydate.Byoontiasf,ailoptionisacontiactgivingtheloristlieriglittobuycisellagivenquantityofanassetataspecifiedpriceatsometimeinthefiihne?
butnotenforcinganyobligationonhimifthespotpticeismorefavorabletliaiitheexerciseprize.Becauseth巴optionownei*doesnothavetoexercisetheoptionifitistohisdisadvaiit^e,theoptionhasaprice,orpremium,whereasnopriceisp已idatinceptiontoenterintoafutures(orforward)contract
6.Wliatisnieaitbytheterminologythatanoptionisin-,at-,oroiit・of—the-money?
Answer:
Acall(put.)optionwithSt>E(E>S^)isrefetredtoastradingin-thc-monejr・IfEtlieoptionishadingat-tlic-money.IfSf 7Listthearguments(variables)ofwhichanFXcallorputoj^tionmodelpriceisafunction・Howdoestiiccallandputpreininmchangewithrespecttoschangeintheai'guments? Answer: Botiicallmidputoptionsarefiinctionsofonlysixvariables: £,E,r讣讣TandeWhenallelseremainstlicsame、thepriceofaEuicpcaiiFXcall(put)optionw11incressc: 1・tliclai'gei'(smaller)isS, 2.thesmall曰(largedisE、 3・tliesmaller(larger)isrn 4・tlieiaiger(smalleijisrt> 5.thelaiger(smaller)isrelativetorf,arid 6.thegjeaterisa Whenandarenottooniuclidifferentinsize,aEuropeanFXcallandputwillincreaseinpricewhentheoptionterm-to-matiirityincreases・Howe、曰;when飞isverymuchlaigeithanaEuropeanFXcalIwillincreaseinprice,buttheputpremiumwilIdecrease,whe厂itheoptiontenn-to-mincreascs.Theoppositeistmewhenisvetymuchgreaterthanr$.For American二XoptioilstlicanalysisisI傑scomplicatedSincealongertennAmericanoptioncanbeexercisedonanydatethatashortertennoptioncanbeexercisedor□somelaterdate,itfollowstliattlieallelseremainingthesarne.tlielongertennAmericenoptionwillsellatapriceatleastaslaigeastlieshortertennoption. PROBLEMS 1.Assiunctoda>r,ssettlementpriceonaCMEEURfuturescontractisS1.314O/EUR.Yonhaveashortpositioninonecontract.Yourperformaiiccbondaccoimtciurcntlyhasabalanceof$L700.Thenexttlii'ccdays,scttleincntpricesetc$1.3126,$1.3133,aridS1.3049.Calculatethechangesintlicperfonnaiiccbondaccountfromd已ilymarking-to-marketandthebalanceoftlieperfotTnancebondaccoiuitafterthethirdday. Solution: $1,700+[〔$1.314O・S1.3126)+($1.3126-Si.3133) +(Sl.3133-SI.3049)]XEUR125,000=$2,837.50, whereEUR125,000isthecontractualsizeofoneEURcontract. 2-Doproblem1againassumingyouhavealongpositioninthefuturescontiact・ Solution: $1,700+[($1.3126・$1.3140)+($1・3133・S1・3126)十($L3(Mg•$1.3133)]xEUR125,0OO=$562.50, whereEUR125,OOOistliecontrachialsizeufoneEURcontract. Withonly$562・50inyourpetfonnanccbondaccount,youwouldexperienceatnargiticallrequestingthatadditionalfijndsbeaddedtoyouipeiionnancebondaccounttobringtlicbalancebackuptotlieinitialpetdonnaiicebondlevel・ 3・UsingthequotationsinExlubit7.3、calculatethefacevalueoftheopeninterestintheJune2005Swissfrancfiiturescontiact・ Solution: 2401contractsxSF125Q00二SF262,625JD00. vvhei'eSF125,0C0istliecoutiactnalsizeofoneSFcontract・ 4.UsingtliequotationsinExliibit7.3,notethattheJune2005MexicanpesoMurescontracthasapriceofSO.08845.YoubelievetliespotpiiceinJunewilbe$0.09500.WhMspeculativepositionwouldyouenterintotoattempttoprofitfrotnyourbeliefs? Calculateyouranticipatedprofits,assumingyoutaP;eapositionintlweecontracts・Wliatisthesizeofyourprofit(loss)ifthefhturespriceisindeedanunbiasedpredictorofthefiitiirespotpriceandthispricematerializes? Solution: IfyouexpecttheMexicanpesotolisefromSO.08845toSO.09500,youwouldtakealongpositioninfiitiucssincethefiitiirespriceof$0.08845islessthanyourexpectedspotprice. YouranticipatedprofitfromaIongpositionintiireccontractsis: 3x($0.09500- $0・08845)xMP500.0C'0=$9,825.00.whereMP500.00C1isthecontractualsizeofoneMPcontrast. Ifthefiiturespriceissnunbiasedpredictoroftheexpectedspotprice,theexpectedspotpriceistliciutcacspriceof$0.08845///MP・Iftliisspotpricematerializes,youwillnothsrsreanyprofitsorlossesfromyourshortpositioninthreefuturescontracts: 3x($O・08845- $0.08845)XMP500.000=0. 5.Doproblem4againassumingyoubelievetheJiuie2005spotpricewillbe$0.08500.Solution: IfyouexpecttlieMexicanpssotodepieciatefi-oni$0.08&15to$0.07500,youwoudtakeashortpositioninfiituressincethefuturespriceof$0.08845isgreatertliaiiyourexpectedspotprice・ Yciuanticipatedpiofitfromashortpositioninthreecontractsis: 3xi,$0・08845・$0.07500)xXlP500,000=$20,175.00・ IftliefiitiuespriceisanunbiasedpredictoroftheFuturespotpriceandthispricematerializes? youwillnotprofitorlosefromyourlongfutwespzisition. 6.GeorgeJohnsonisconsideringapossibleax-motithSI00millionLJBClR-bascd,floating-rate bankloantoHindaproject址termsshowninthetabicbelow.JohnsonfearsapossibletissintheLIBORratebyDecembermidwantstousetheDecemberEurodollarfiiturescontrasttohedgethisrisk・TliecontractexpiresDecember20<1999.hasaUS$1miIlioncontractsize, andadiscountyieldof7.3peicent・ Jointsonwillignorethecashflowimplicationsofmarkingtomarket、initialmarginrequirements,andanytimingniisinatchbetweenexchange-ti'adedfiiturescontiactcashflowsandtlieinterestpaymentsdueinMarch. LoanTerms 、c
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 国际 财务 课后 习题 答案 chapter7
![提示](https://static.bdocx.com/images/bang_tan.gif)