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1、1.AEuroReceivableandBasisRiskLet'sreturntothesituationinwhichNancyFoodsiscontractingtosellquichesinGermany,therebygeneratinga€250.000receivable.Thistime,assumethatthecontractismadeinJanuary,andpaymentisscheduledforearlyMarch.Now,thedeliverydateforthequichesdoesnotco

2、incidewiththematuritydateofthefuturescontract,andNancyFoodsconsequentlyfacesbasisrisk.Weassumethatthefollowingexchangeratesareobserved:SpotRateFuturesRate(Marchcontract)January$1.21/€$1.22/€March$1.33/€$1325/€Toprotectitselffromeurodepreciation,NancyFoodssellstwofutu

3、rescontractsatthefuturesrateof$1.22/€

4、rket.Thetotalcashflowwouldbe[($1.22/€)一($1.325/€)]X€250,000=-$26.250So.ultimately,theeuroreceivablesplusthelossonthefuturescontractyields$332,500-$26.250=$306,250TheeffectiveexchangerateatwhichNancyFoodssoldtheeuroreceivablesis$3O6,25O/€25O,OOO=$1.225/€Thisdoesnotequ

5、althefuturesrateof$1.22/€becauseofbasisrisk.Thedifferenceof$0.005/€withthefuturesrateexactlyreflectsthebasis(Spotrate—Futuresrate=$1.33/€—S1.325/€)atthetimethatthefuturescontractwasclosedoutandthereceivablesoldfordollarsinthespotmarket.Inthiscase,basisriskhadapositiv

6、eeffectonNancyFoods'scashflow.Thatis,wehave,asinExhibit203,Effectiverate=Futuresrate+Basis$1.225/€=$1.22/€+($133/€一$1.325/€)Afterthefact,weseethatNancyFoodswouldhavebeenbetteroffnothedgingatallbecausetheeuroactuallyappreciated,andthecompanyhadaeuroreceivable.IfNancy

7、Foodswantedtohedgecompletely,though,thefuturesmarketworksprettywell一eveninthepresenceofbasisrisk-2.AEuroCallOptionAgainstDollarsAeurocalloptionagainstdollarsgivesthebuyertheright,butnottheobligation,topurchaseacertainamountofeuros,suchas€1million,withdollarsatapartic

8、ularexchangerate,suchas$1.20/€.Ifthespotexchangerateofdollarspereurointhefutureisgreaterthantheexercisepriceof$1.20/€,thebuyerofth