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1、Page:213 MINICASE陈燕华2111207102房小雪2111207104李召凤2111207111祁媛媛2111207117邱卫2111207118Airbus’DollarExposureAirbussoldanA400aircrafttoDeltaAirlinesaUScompanyandbilled$30millionpayableinsixmonths.Airbusisconcernedexchangerisk.Thecurrentspotexchangerateis$1.05/€and
2、thesix-monthforwardexchangerateis$1.10/€.Airbuscanbuyasix-monthputoptiononUSdollarswithastrikepriceof€0.95/$forapremiumof€0.02perUSdollar.Currently,six-monthinterestrateis2.5percentintheeurozoneand3.0percentintheUnitedStates.Computetheguaranteedeuroproceeds
3、formtheAmericanSaleifAirbusdecidestohedgeusingaforwardcontractAnswer:$30000000/($1.10/€)=€27272727.273Sotheeuroproceedswillbe€27272727.2732.IfAirbusdecidestohedgeusingmoneymarketinstruments,whatactiondoesAirbusneedtotake?Whatwouldbetheguaranteedeuroproceeds
4、formtheAmericansaleinthiscase?Answer:Step1:borrow$29126213.592(=$30000000/(1+3%))Step2:convert$29126213.592into€27739251.04atthecurrentspotexchangerateof$1.05/€Step3:invest€27739251.04intheeurozoneStep4:collect$30000000fromDeltaAirlinesanduseittorepaythedol
5、larloanStep5:receivethematurityvalueofthepoundinvestment,thatis€28432732.316=€27739251.04*1.025Sotheeuroproceedswillbe€28432732.3163.IfAirbusdecidestohedgeusingputoptionsonUSdollars,whatwouldbethe“expected”europroceedsformtheAmericansale?AssumethatAirbusreg
6、ardsthecurrentforwardexchangerateasanunbiasedpredictorofthefuturespotexchangerate.Answer:Sincetheexpectedfuturespotrateislessthanthestrikepriceoftheputoption:$1.10/€=€0.909/$<€0.95/$SoAirbusexpectstoexercisetheoptionIncome:€28,500,000=($30,000,000)*(€0.95/$
7、)Optioncost:€615,000=€0.02*30000000*1.025Thustheneteuroproceeds:€27,885,000=€28,500,000—€615,0004.AtwhatfuturespotexchangedoyouthinkAirbuswillbeindifferentbetweentheoptionandmoneymarkethedge?Answer:Becauseattheindifferentfuturespotrate,so€28,432,732.316=ST(
8、30,000,000)-€615,000.ST=€0.9683/$or$1.0327/€谢谢观赏
