Overview
SummaryUnhedged
Forward
Option
Chart U,F,O
Collar
Chart U,F,O,C)
Prices of Options
Price of F.
Spots
Sheet 1: Summary
|
|||||||||
Sheet 2: Unhedged
| PROBLEM: Interest due of | $1 500 000,00 | in | 3 | months | |
| UNHEDED | |||||
| Payment due in US $ | Exchange rate in PL zl/$ US | Payment required in PL zl | |||
| $1 500 000,00 | 3,8000 zł | 5 700 000,00 zł | |||
| 1 500 000,00 | 3,8300 zł | 5 745 000,00 | |||
| 1 500 000,00 | 3,8600 zł | 5 790 000,00 | |||
| 1 500 000,00 | 3,8900 zł | 5 835 000,00 | |||
| 1 500 000,00 | 3,9200 zł | 5 880 000,00 | |||
| 1 500 000,00 | 3,9500 zł | 5 925 000,00 | |||
| 1 500 000,00 | 3,9800 zł | 5 970 000,00 | |||
| 1 500 000,00 | 4,0100 zł | 6 015 000,00 | |||
| 1 500 000,00 | 4,0400 zł | 6 060 000,00 | |||
| 1 500 000,00 | 4,0700 zł | 6 105 000,00 | |||
| 1 500 000,00 | 4,1000 zł | 6 150 000,00 | |||
| 1 500 000,00 | 4,1300 zł | 6 195 000,00 | |||
| 1 500 000,00 | 4,1600 zł | 6 240 000,00 | |||
| HEDGING TECHNIQUES CONSIDERED: | |||||
| 1. | Forward | ||||
| 2. | Option | ||||
| 3. | Collar |
Sheet 3: Forward
| HEDGING WITH FORWARD | |||||
| Exchange rate in PL zl/$ US | Payment due in US $ | Payment required in PL zl | |||
| Given (07-Jan-2002): | PL zl/$ US | 3,8000 | 1 500 000,00 | 5 979 750,00 | |
| (S0) Current Spot Rate | 3,9079 | 3,8300 | 1 500 000,00 | 5 979 750,00 | |
| 7 Day Forward | 3,9091 | 3,8600 | 1 500 000,00 | 5 979 750,00 | |
| 30 Day Forward | 3,9329 | 3,8900 | 1 500 000,00 | 5 979 750,00 | |
| 60 Day Forward | 3,9585 | 3,9200 | 1 500 000,00 | 5 979 750,00 | |
| (F90) 90 Day Forward | 3,9865 | 3,9500 | 1 500 000,00 | 5 979 750,00 | |
| 180 Day Forward | 4,0602 | 3,9800 | 1 500 000,00 | 5 979 750,00 | |
| 4,0100 | 1 500 000,00 | 5 979 750,00 | |||
| Hence payment with forward = | 4,0400 | 1 500 000,00 | 5 979 750,00 | ||
| $1 500 000,00 | 4,0700 | 1 500 000,00 | 5 979 750,00 | ||
| * | 3,9865 | 4,1000 | 1 500 000,00 | 5 979 750,00 | |
| 5 979 750,00 zł | 4,1300 | 1 500 000,00 | 5 979 750,00 | ||
| 4,1600 | 1 500 000,00 | 5 979 750,00 | |||
| Given (07-Jan-2002): | |||||
| % | |||||
| WIBOR (90 days) p.a. | 11,42% | ||||
| LIBOR (90 days) p.a. | 1,87% | ||||
| US inflation p.a. | 1,90% | ||||
| PL inflation p.a. | 3,60% | ||||
| Calculated: | |||||
| zloty / $ US | |||||
| Expected spot rate | |||||
| S90 (by International Fisher) | 3,9992 | (90 days) S90=S0*(1+WIBOR*90/36500)/(1+LIBOR*90/36000) | |||
| S90 (by Fisher Effect) | 3,9244 | ||||
| S360 (By Inetrnatinal Fisher) | 4,2683 | ||||
| S360 (By Fisher Effect) | 3,9731 |
Sheet 4: Option
| HEDGING WITH AN OPTION (CALL) | |||||||||
| Portfolio consists of: | |||||||||
| 1. Interest payment due of | $1 500 000,00 | in | 3 | months | |||||
| 2. An option | |||||||||
| Cash Flows: | (Time value of cash flows is taken into account) | ||||||||
| Cash flow if the option is exercised | 
|
||||||||
| Cash flow for the fee of the option | |||||||||
| Cash flow for the interest payment | |||||||||
| Interest rate | 11,42% | ||||||||
| Considered at | 3,9850 zł | , fee is | 0,0912 zł | ||||||
| Exchange | TOTAL | w/o future value | TOTAL | ||||||
| US$ due | rate | Option | Interest due | Including | the option | payment due | payment | payment due | |
| in PL zl | Exercised? | in PL zl | future value | in PL zl | in PL zl | in zl (for Chart) | |||
| 1 500 000,00 | 3,8000 | 0 | -5 700 000,00 | -140 705,64 | 0,00 | -5 840 705,64 | 5 836 800,00 | 5 836 800,00 | |
| 1 500 000,00 | 3,8300 | 0 | -5 745 000,00 | -140 705,64 | 0,00 | -5 885 705,64 | 5 881 800,00 | 5 881 800,00 | |
| 1 500 000,00 | 3,8600 | 0 | -5 790 000,00 | -140 705,64 | 0,00 | -5 930 705,64 | 5 926 800,00 | 5 926 800,00 | |
| 1 500 000,00 | 3,8900 | 0 | -5 835 000,00 | -140 705,64 | 0,00 | -5 975 705,64 | 5 971 800,00 | 5 971 800,00 | |
| 1 500 000,00 | 3,9200 | 0 | -5 880 000,00 | -140 705,64 | 0,00 | -6 020 705,64 | 6 016 800,00 | 6 016 800,00 | |
| 1 500 000,00 | 3,9500 | 0 | -5 925 000,00 | -140 705,64 | 0,00 | -6 065 705,64 | 6 061 800,00 | 6 061 800,00 | |
| 1 500 000,00 | 3,9800 | 0 | -5 970 000,00 | -140 705,64 | 0,00 | -6 110 705,64 | 6 106 800,00 | 6 106 800,00 | |
| 1 500 000,00 | 4,0100 | 1 | -6 015 000,00 | -140 705,64 | 37 500,00 | -6 118 205,64 | 6 114 300,00 | 6 114 300,00 | |
| 1 500 000,00 | 4,0400 | 1 | -6 060 000,00 | -140 705,64 | 82 500,00 | -6 118 205,64 | 6 114 300,00 | 6 114 300,00 | |
| 1 500 000,00 | 4,0700 | 1 | -6 105 000,00 | -140 705,64 | 127 500,00 | -6 118 205,64 | 6 114 300,00 | 6 114 300,00 | |
| 1 500 000,00 | 4,1000 | 1 | -6 150 000,00 | -140 705,64 | 172 500,00 | -6 118 205,64 | 6 114 300,00 | 6 114 300,00 | |
| 1 500 000,00 | 4,1300 | 1 | -6 195 000,00 | -140 705,64 | 217 500,00 | -6 118 205,64 | 6 114 300,00 | 6 114 300,00 | |
| 1 500 000,00 | 4,1600 | 1 | -6 240 000,00 | -140 705,64 | 262 500,00 | -6 118 205,64 | 6 114 300,00 | 6 114 300,00 | |
Sheet 5: Chart U,F,O
Sheet 6: Collar
| HEDGE WITH AN OPTIONS (COLLAR) | ||||||||
| Buy a call and sell a put. | ||||||||
| The portfolio consists of the following: | ||||||||
| Interest payment of | 1 500 000,00 | due in | 3 | months | ||||
| Call at | 4,0357 | : | ||||||
| for a fee of | 0,0911 | for the option | ||||||
| settlement if call is exercised | ||||||||
| Put written at | 3,9850 | : | ||||||
| receive a fee of | 0,0836 | |||||||
| cost of settlement if it is exercised | ||||||||
| Cash flows associated with this portfolio: | ||||||||
| 1. Interest payments | ||||||||
| 2. Fees - pay for the call, receive for the put | ||||||||
| 3. May have to pay for the put if it is exercised | ||||||||
| 4. Will receive cash for the call if it is exercised. | ||||||||
| Exchange | Cost of | Fee | Cost of | Gain from | TOTAL | |||
| US$ due | rate at | interest | Differential | put | call | cost | ||
| expiry | in PL zl | in PL zl | in PL zl | in PL zl | in PL zl | |||
| 1 500 000,00 | 3,8000 | 5 700 000,00 | 11 250,00 | 277 500,00 | 0,00 | 5 988 750,00 | ||
| 1 500 000,00 | 3,8300 | 5 745 000,00 | 11 250,00 | 232 500,00 | 0,00 | 5 988 750,00 | ||
| 1 500 000,00 | 3,8600 | 5 790 000,00 | 11 250,00 | 187 500,00 | 0,00 | 5 988 750,00 | ||
| 1 500 000,00 | 3,8900 | 5 835 000,00 | 11 250,00 | 142 500,00 | 0,00 | 5 988 750,00 | ||
| 1 500 000,00 | 3,9200 | 5 880 000,00 | 11 250,00 | 97 500,00 | 0,00 | 5 988 750,00 | ||
| 1 500 000,00 | 3,9500 | 5 925 000,00 | 11 250,00 | 52 500,00 | 0,00 | 5 988 750,00 | ||
| 1 500 000,00 | 3,9800 | 5 970 000,00 | 11 250,00 | 7 500,00 | 0,00 | 5 988 750,00 | ||
| 1 500 000,00 | 4,0100 | 6 015 000,00 | 11 250,00 | 0,00 | 0,00 | 6 026 250,00 | ||
| 1 500 000,00 | 4,0400 | 6 060 000,00 | 11 250,00 | 0,00 | 6 450,00 | 6 064 800,00 | ||
| 1 500 000,00 | 4,0700 | 6 105 000,00 | 11 250,00 | 0,00 | 51 450,00 | 6 064 800,00 | ||
| 1 500 000,00 | 4,1000 | 6 150 000,00 | 11 250,00 | 0,00 | 96 450,00 | 6 064 800,00 | ||
| 1 500 000,00 | 4,1300 | 6 195 000,00 | 11 250,00 | 0,00 | 141 450,00 | 6 064 800,00 | ||
| 1 500 000,00 | 4,1600 | 6 240 000,00 | 11 250,00 | 0,00 | 186 450,00 | 6 064 800,00 |
Sheet 7: Chart U,F,O,C)
Sheet 8: Prices of Options
| Kwotowania opcji walutowych 07.01.2002 | ||||
| USD | ||||
| Bank | 1 mies. | 2 m-ce | 3 m-ce | 6 m-cy |
| ING BSK | 3,9316 | 3,9572 | 3,9850 | 4,0582 |
| BRE | 3,9737 | 4,0037 | 4,0357 | 4,1273 |
| KB | 3,9613 | 3,9984 | 4,0355 | 4,1302 |
| Ceny kupna - call* | ||||
| ING BSK | 477 | 671 | 836 | 1226 |
| BRE | 451 | 644 | 833 | 1249 |
| KB | 468 | 677 | 850 | 1218 |
| Ceny sprzedaży - call | ||||
| ING BSK | 522 | 734 | 912 | 1335 |
| BRE | 499 | 709 | 911 | 1359 |
| KB | 515 | 742 | 932 | 1342 |
| Ceny kupna - put | ||||
| ING BSK | 477 | 671 | 836 | 1227 |
| BRE | 451 | 645 | 833 | 1250 |
| KB | 470 | 680 | 855 | 1227 |
| Ceny sprzedaży - put | ||||
| ING BSK | 522 | 734 | 912 | 1334 |
| BRE | 499 | 709 | 912 | 1360 |
| KB | 517 | 746 | 937 | 1353 |
| * W złotych za 10 000 jednostek waluty. Call - prawo do zakupu waluty, put - prawo do sprzedaży. Kwotowania informacyjne. | ||||
| 0,0522 | 0,0734 | 0,0912 | 0,1335 | |
Sheet 9: Price of F.
| Kursy terminowe walut 07.01.2002 | ||||||
| $ USD | ||||||
| Bank | termin | 1 tydzień | 1 miesiąc | 2 miesiące | 3 miesiące | 6 miesięcy |
| AmerBank | kupno | 3,9122 | 3,9445 | 3,982 | 4,0235 | 4,1429 |
| sprzedaż | 3,9172 | 3,9531 | 3,993 | 4,0378 | 4,1677 | |
| ING Bank Śląski | kupno | 3,9069 | 3,9302 | 3,9559 | 3,9835 | 4,0563 |
| sprzedaż | 3,9091 | 3,9329 | 3,9585 | 3,9865 | 4,0602 | |
| Bank Rozwoju | kupno | - | - | - | - | - |
| Eksportu | sprzedaż | - | - | - | - | - |
| Pekao SA | kupno | - | - | - | - | - |
| sprzedaż | - | - | - | - | - | |
| Raiffeisen | kupno | 3,921 | 3,9465 | 3,9759 | 4,0024 | 4,0739 |
| Bank Polska | sprzedaż | 3,924 | 3,9495 | 3,979 | 4,0055 | 4,077 |
| BPH PBK | kupno | - | - | - | - | - |
| sprzedaż | - | - | - | - | - | |
| BGŻ | kupno | 3,9229 | 3,9465 | 3,9794 | 4,0084 | 4,0871 |
| sprzedaż | 3,9282 | 3,9541 | 3,9857 | 4,0167 | 4,1017 | |
| Bank | kupno | - | - | - | - | - |
| Zachodni WBK | sprzedaż | - | - | - | - | - |
| Górnośląski Bank | kupno | 3,9224 | 3,9483 | 3,9771 | 4,0055 | - |
| Gospodarczy | sprzedaż | 3,926 | 3,9516 | 3,9833 | 4,0129 | - |
| Fortis Bank Polska | kupno | 3,9139 | 3,9414 | 3,9682 | 3,9958 | - |
| sprzedaż | 3,9159 | 3,9434 | 3,9702 | 3,9978 | - | |
| PKO BP | kupno | 3,9247 | 3,9496 | 3,9782 | 4,0056 | 4,0732 |
| sprzedaż | 3,9285 | 3,9547 | 3,9852 | 4,0146 | 4,0881 | |
| Societe Generale | kupno | - | - | - | - | - |
| sprzedaż | - | - | - | - | - | |
| Euro | ||||||
| Bank | termin | 1 tydzień | 1 miesiąc | 2 miesiące | 3 miesiące | 6 miesięcy |
| AmerBank | kupno | 3,5149 | 3,5403 | 3,57 | 3,603 | 3,6989 |
| sprzedaż | 3,5202 | 3,5489 | 3,5807 | 3,617 | 3,7232 | |
| ING Bank Śląski | kupno | 3,5061 | 3,5269 | 3,5458 | 3,5665 | 3,6207 |
| sprzedaż | 3,5083 | 3,5295 | 3,5484 | 3,5693 | 3,6244 | |
| Bank Rozwoju | kupno | - | - | - | - | - |
| Eksportu | sprzedaż | - | - | - | - | - |
| Pekao SA | kupno | - | - | - | - | - |
| sprzedaż | - | - | - | - | - | |
| Raiffeisen | kupno | 3,4906 | 3,5098 | 3,532 | 3,5515 | 3,604 |
| Bank Polska | sprzedaż | 3,4949 | 3,5141 | 3,5362 | 3,5558 | 3,6084 |
| BPH PBK | kupno | - | - | - | - | - |
| sprzedaż | - | - | - | - | - | |
| BGŻ | kupno | 3,4921 | 3,5097 | 3,5406 | 3,5562 | 3,6127 |
| sprzedaż | 3,4995 | 3,5191 | 3,5427 | 3,5662 | 3,6291 | |
| Bank | kupno | - | - | - | - | - |
| Zachodni WBK | sprzedaż | - | - | - | - | - |
| Górnośląski Bank | kupno | 3,4903 | 3,51 | 3,5318 | 3,5533 | - |
| Gospodarczy | sprzedaż | 3,4936 | 3,5129 | 3,5373 | 3,5598 | - |
| Fortis Bank Polska | kupno | 3,5075 | 3,5283 | 3,5484 | 3,5691 | - |
| sprzedaż | 3,5095 | 3,5303 | 3,5504 | 3,5711 | - | |
| PKO BP | kupno | 3,495 | 3,5136 | 3,5345 | 3,5544 | 3,6031 |
| sprzedaż | 3,4998 | 3,5194 | 3,542 | 3,5637 | 3,6176 | |
| Societe Generale | kupno | - | - | - | - | - |
| sprzedaż | - | - | - | - | - | |
| Kwotowania informacyjne. | ||||||
Sheet 10: Spots
| Notowania kursów średnich NBP - 07.01.2002 | ||||
| Australia | 781 | 1 | AUD | 2,0317 |
| Austria | 786 | 1 | ATS | 0,2546 |
| Belgia | 791 | 100 | BEF | 8,6842 |
| Czechy | 213 | 1 | CZK | 0,109 |
| Dania | 792 | 1 | DKK | 0,4708 |
| Estonia | 233 | 1 | EEK | 0,2238 |
| Finlandia | 780 | 1 | FIM | 0,5892 |
| Francja | 793 | 1 | FRF | 0,5341 |
| Grecja | 724 | 100 | GRD | 1,0281 |
| Hiszpania | 785 | 100 | ESP | 2,1055 |
| Holandia | 794 | 1 | NLG | 1,5897 |
| Irlandia | 782 | 1 | IEP | 4,4481 |
| Japonia | 784 | 100 | JPY | 2,9904 |
| Kanada | 788 | 1 | CAD | 2,451 |
| Luksemburg | 790 | 100 | LUF | 8,6842 |
| Norwegia | 796 | 1 | NOK | 0,4389 |
| Portugalia | 779 | 100 | PTE | 1,7474 |
| RFN | 795 | 1 | EUR | 3,5032 |
| USA | 787 | 1 | USD | 3,9079 |
| Szwajcaria | 797 | 1 | CHF | 2,3726 |
| Szwecja | 798 | 1 | SEK | 0,38 |
| Węgry | 207 | 100 | HUF | 1,4384 |
| W. Brytania | 789 | 1 | GBP | 5,6362 |
| Włochy | 799 | 100 | ITL | 0,1809 |
| UGW | 978 | 1 | EUR | 3,5032 |
| MFW (SDR) | 861 | 1 | XDR | 4,9318 |
| Narodowy Bank Polski Tabela kursów średnich nr 4/A/NBP/2002 waluty krajowej w stosunku do walut obcych ogłoszona w dn. 2002.01.07. Od 2 do 15 stycznia 2002 r. włącznie wartość celna i statystyczna towarów w obrocie towarowym z zagranicą jest ustalona wed ług tabeli kursów NBP nr 252/A/2001. | ||||
Wyszukiwarka
Podobne podstrony:
materialy na diagnoze, Wyklad VI diagnoza
wyklad VI
Wykład VI
wykład VI
M 5190 Long dress with a contrast finishing work
E Fundusze motywacyjne, Finanse Publiczne, Wykład VI
PiTP wykład VI
Dz wyklad VI
Wykład VI
15 11 201 WYKŁAD VI
filozofia wykład VI 11
Wykład VI - umiędzynarodowienie procesu studiowania, materiauy
Kopia Wykład 6 folie (word 97-2003), Studia - Gospodarka Przestrzenna UEP, I stopień, III semestr, F
WYKŁAD VI (5)
Kopia Wyklad 2 09 03 2012 dla studenta
prawo?ministracyjne Wyklad VI) 03 2011
więcej podobnych podstron