midtermtest复习计算题tostudent.docx

1. Your firm is a Swiss exporter of bicycles. You have sold an order to a French firm for €1,000,000 worth of bicycles. Payment from the French firm (in euro) is due in 6 months. Detail a strategy using futures contracts that will hedge your exchange rate risk. Have an estimate of how many contracts of what type and maturity. ???A.?Go short 100 6-month euro futures contracts; and short 1626-month SFr. futures contracts.B.?Go long 100 6-month € futures contracts; and long 1626-month SFr futures contracts.C.?Go short 100 6-month euro futures contracts; and long 1626-month Swiss Franc futures contracts.D.?Go long 100 6-month euro futures contracts; and short 1626-month Swiss Franc futures contracts.E.?None of the aboveSell €1m (a short position) forward using futures contracts, at the 6-month forward rate of $1.59 per €1 receive $1,590,000 = €1,000,000 $1.59/€1. At the 6-month forward rate of $0.98/SFr. this is worth SFr. 1,622,448.98. Go long 162≈SFr.1,622,448.98/SFr. 10,000 Swiss Franc futures contracts.?2. ?Your firm is a U.K.-based exporter of bicycles. You have sold an order to a French firm for €1,000,000 worth of bicycles. Payment from the French firm (in euro) is due in 12 months. Use a money market hedge to redenominate this one-year receivable into a pound-denominated receivable with a one-year maturity.??The following were computed without rounding. Select the answer closest to yours.?A.?￡800,000B.?￡803,721.49C.?￡780,312.13D.?￡72,352.94Borrow the present value of €1million; receive Sell for Buy To redenominate a 1-year receivable, you need to calculate the future value = ￡803,721.49 = ￡780,312.13 1.03?3. A Japanese EXPORTER has a €1,000,000 receivable due in one year. Estimate the cost today of an options strategy that will eliminate exchange rate risk.Listed OptionsStrikePutsCallsEuro€50,000$1.5 = €1.00$0.005 per €$0.01 per €Yen￥30，000，000$1 = ￥1.00$0.005 per ￥100$0.01 per ￥100A.?Buy 20 put options on euro, buy 5 call options on yen.B.?Buy 20 put options