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1、TEXASTECHUNIVERSITYSECONDSUMMER2012RAWLSCOLLEGEOFBUSINESSAREAOFFINANCEFIN4328–001–62167–InternationalFinanceDr.DanışoğluHomework#3DueonTuesday,July31,20121.OnMondaymorning,aninvestortakesashortpositioninfourpoundfuturescontractsthatmatureonThursdayafternoon.T
2、heinitialpriceofthefuturescontractsis$1.780/£foracontractsizeof£62,500.ThefollowingaretheclosingpricesforMondaythroughThursday:DayClosingPriceMonday$1.790/£Tuesday$1.800/£Wednesday$1.785/£Thursday$1.780/£Theinitialmarginforthepositionis$1,200andthemaintenance
3、marginis$500.Attheendofanyday,ifthevalueofthemarginaccountisabove$1,200,theinvestorwillwithdrawthisexcessamount.Performmarking-to-markettotheinvestor’spositionandindicatewhethertherewillbeanymargincalls.DayBeginningClosingPricePriceGainorTotalGainorDepositedo
4、r(soldat)(boughtat)LossLossWithdrawnFinalAmountMonday$1.780/£$1.790/£-0.01-625+1,200575-625Tuesday$1.790/£$1.800/£-0.01-625-625Margincallof1,200+1,275Wednesday$1.800/£$1.785/£+0.015+937.5-937.51,200Thursday$1.785/£$1.780/£+0.005+312.5-312.51,200OnThursday,the
5、investorsdelivers£62,500andreceives£62,500x$1.780/£=$111,250.2.SupposethatCompanyAbuysaSwissfrancfuturescontractatapriceof$0.83/SFr.ThecontractsizeisSFr125,000.IfthespotratefortheSwissfrancatthedateofsettlementisSFr1=$0.8250,whatisCompanyA’sgainorlossonthisco
6、ntract?Boughtatavalueof$0.83/SFrxSFr125,000=$103,750Soldatavalueof$0.8250/SFrxSFr125,000=$103,125Lossof$103,125-$103,750=-$6253.Kayalar,aTurkishcompany,willbecollectinganaccountsreceivablenextmonthinthetotalamountof€1.25million.Itisinterestedinprotectingthese
7、receiptsagainstadropinthevalueofthepound.ThefollowingarethehedgingalternativesthatKayalarcanuse:1)Protectthevalueofthereceivablesbyselling30-dayeurofuturesatapriceofTL1.6513pereuroandacontractsizeof€62,500.2)Protectthevalueofthereceivablesbybuyingeuroputoptio
8、nswithastrikepriceofTL1.6612/€atapremiumof2.0centspereuroandacontractsizeof€31,250.IfthecurrentspotpriceoftheeuroisTL1.6560/€,andtheeuroisexpectedtotradeintherangeofTL1.6250/€toTL1.7010/€
