国际财务管理课后习题答案chapter 7Word文档下载推荐.docx

国际财务管理课后习题答案chapter 7Word文档下载推荐.docx

《国际财务管理课后习题答案chapter 7Word文档下载推荐.docx》由会员分享，可在线阅读，更多相关《国际财务管理课后习题答案chapter 7Word文档下载推荐.docx（10页珍藏版）》请在冰豆网上搜索。

Answer:

TheforwardmarketisanOTCmarketwheretheforwardcontractforpurchaseorsaleofforeigncurrencyistailor-madebetweentheclientanditsinternationalbank.Nomoneychangeshandsuntilthematuritydateofthecontractwhendeliveryandreceiptaretypicallymade.Afuturescontractisanexchange-tradedinstrumentwithstandardizedfeaturesspecifyingcontractsizeanddeliverydate.Futurescontractsaremarked-to-marketdailytoreflectchangesinthesettlementprice.Deliveryisseldommadeinafuturesmarket.Ratherareversingtradeismadetocloseoutalongorshortposition.

2.Inorderforaderivativesmarkettofunctionmostefficiently,twotypesofeconomicagentsareneeded:

hedgersandspeculators.Explain.

Twotypesofmarketparticipantsarenecessaryfortheefficientoperationofaderivativesmarket:

speculatorsandhedgers.Aspeculatorattemptstoprofitfromachangeinthefuturesprice.Todothis,thespeculatorwilltakealongorshortpositioninafuturescontractdependinguponhisexpectationsoffuturepricemovement.Ahedger,on-the-other-hand,desirestoavoidpricevariationbylockinginapurchasepriceoftheunderlyingassetthroughalongpositioninafuturescontractorasalespricethroughashortposition.Ineffect,thehedgerpassesofftheriskofpricevariationtothespeculatorwhoisbetterable,oratleastmorewilling,tobearthisrisk.

3.Whyaremostfuturespositionsclosedoutthroughareversingtraderatherthanheldtodelivery?

Inforwardmarkets,approximately90percentofallcontractsthatareinitiallyestablishedresultintheshortmakingdeliverytothelongoftheassetunderlyingthecontract.Thisisnaturalbecausethetermsofforwardcontractsaretailor-madebetweenthelongandshort.Bycontrast,onlyaboutonepercentofcurrencyfuturescontractsresultindelivery.Whilefuturescontractsareusefulforspeculationandhedging,theirstandardizeddeliverydatesmakethemunlikelytocorrespondtotheactualfuturedateswhenforeignexchangetransactionswilloccur.Thus,theyaregenerallyclosedoutinareversingtrade.Infact,thecommissionthatbuyersandsellerspaytotransactinthefuturesmarketisasingleamountthatcoverstheround-triptransactionsofinitiatingandclosingouttheposition.

4.HowcantheFXfuturesmarketbeusedforpricediscovery?

TotheextentthatFXforwardpricesareanunbiasedpredictoroffuturespotexchangerates,themarketanticipateswhetheronecurrencywillappreciateordepreciateversusanother.BecauseFXfuturescontractstradeinanexpirationcycle,differentcontractsexpireatdifferentperiodicdatesintothefuture.Thepatternofthepricesofthesecontractsprovidesinformationastothemarket’scurrentbeliefabouttherelativefuturevalueofonecurrencyversusanotheratthescheduledexpirationdatesofthecontracts.Onewillgenerallyseeasteadilyappreciatingordepreciatingpattern;

however,itmaybemixedattimes.Thus,thefuturesmarketisusefulforpricediscovery,i.e.,obtainingthemarket’sforecastofthespotexchangerateatdifferentfuturedates.

5.Whatisthemajordifferenceintheobligationofonewithalongpositioninafutures（orforward）contractincomparisontoanoptionscontract?

Afutures（orforward）contractisavehicleforbuyingorsellingastatedamountofforeignexchangeatastatedpriceperunitataspecifiedtimeinthefuture.Ifthelongholdsthecontracttothedeliverydate,hepaystheeffectivecontractualfutures（orforward）price,regardlessofwhetheritisanadvantageouspriceincomparisontothespotpriceatthedeliverydate.Bycontrast,anoptionisacontractgivingthelongtherighttobuyorsellagivenquantityofanassetataspecifiedpriceatsometimeinthefuture,butnotenforcinganyobligationonhimifthespotpriceismorefavorablethantheexerciseprice.Becausetheoptionownerdoesnothavetoexercisetheoptionifitistohisdisadvantage,theoptionhasaprice,orpremium,whereasnopriceispaidatinceptiontoenterintoafutures（orforward）contract.

6.Whatismeantbytheterminologythatanoptionisin-,at-,orout-of-the-money?

Acall（put）optionwithSt>

E（E>

St）isreferredtoastradingin-the-money.IfStEtheoptionistradingat-the-money.IfSt<

E（E<

St）thecall（put）optionistradingout-of-the-money.

7.Listthearguments（variables）ofwhichanFXcallorputoptionmodelpriceisafunction.Howdoesthecallandputpremiumchangewithrespecttoachangeinthearguments?

Bothcallandputoptionsarefunctionsofonlysixvariables:

St,E,ri,r$,Tand.Whenallelseremainsthesame,thepriceofaEuropeanFXcall（put）optionwillincrease:

1.thelarger（smaller）isS,

2.thesmaller（larger）isE,

3.thesmaller（larger）isri,

4.thelarger（smaller）isr$,

5.thelarger（smaller）r$isrelativetori,and

6.thegreateris.

Whenr$andriarenottoomuchdifferentinsize,aEuropeanFXcallandputwillincreaseinpricewhentheoptionterm-to-maturityincreases.However,whenr$isverymuchlargerthanri,aEuropeanFXcallwillincreaseinprice,buttheputpremiumwilldecrease,whentheoptionterm-to-maturityincreases.Theoppositeistruewhenriisverymuchgreaterthanr$.ForAmericanFXoptionstheanalysisislesscomplicated.SincealongertermAmericanoptioncanbeexercisedonanydatethatashortertermoptioncanbeexercised,orasomelaterdate,itfollowsthattheallelseremainingthesame,thelongertermAmericanoptionwillsellatapriceatleastaslargeastheshortertermoption.

PROBLEMS

1.Assumetoday’ssettlementpriceonaCMEEURfuturescontractis$1.3140/EUR.Youhaveashortpositioninonecontract.Yourperformancebondaccountcurrentlyhasabalanceof$1,700.Thenextthreedays’settlementpricesare$1.3126,$1.3133,and$1.3049.Calculatethechangesintheperformancebondaccountfromdailymarking-to-marketandthebalanceoftheperformancebondaccountafterthethirdday.

Solution:

$1,700+[（$1.3140-$1.3126）+（$1.3126-$1.3133）

+（$1.3133-$1.3049）]xEUR125,000=$2,837.50,

whereEUR125,000isthecontractualsizeofoneEURcontract.

2.Doproblem1againassumingyouhavealongpositioninthefuturescontract.

$1,700+[（$1.3126-$1.3140）+（$1.3133-$1.3126）+（$1.3049-$1.3133）]xEUR125,000=$562.50,

Withonly$562.50inyourperformancebondaccount,youwouldexperienceamargincallrequestingthatadditionalfundsbeaddedtoyourperformancebondaccounttobringthebalancebackuptotheinitialperformancebondlevel.

3.UsingthequotationsinExhibit7.3,calculatethefacevalueoftheopeninterestintheJune2005Swissfrancfuturescontract.

2,101contractsxSF125,000=SF262,625,000.

whereSF125,000isthecontractualsizeofoneSFcontract.

4.UsingthequotationsinExhibit7.3,notethattheJune2005Mexicanpesofuturescontracthasapriceof$0.08845.YoubelievethespotpriceinJunewillbe$0.09500.Whatspeculativepositionwouldyouenterintotoattempttoprofitfromyourbeliefs?

Calculateyouranticipatedprofits,assumingyoutakeapositioninthreecontracts.Whatisthesizeofyourprofit（loss）ifthefuturespriceisindeedanunbiasedpredictorofthefuturespotpriceandthispricematerializes?

IfyouexpecttheMexicanpesotorisefrom$0.08845to$0.09500,youwouldtakealongpositioninfuturessincethefuturespriceof$0.08845islessthanyourexpectedspotprice.

Youranticipatedprofitfromalongpositioninthreecontractsis:

3x（$0.09500-$0.08845）xMP500,000=$9,825.00,whereMP500,000isthecontractualsizeofoneMPcontract.

Ifthefuturespriceisanunbiasedpredictoroftheexpectedspotprice,theexpectedspotpriceisthefuturespriceof$0.08845/MP.Ifthisspotpricematerializes,youwillnothaveanyprofitsorlossesfromyourshortpositioninthreefuturescontracts:

3x（$0.08845-$0.08845）xMP500,000=0.

5.Doproblem4againassumingyoubelievetheJune2005spotpricewillbe$0.08500.

IfyouexpecttheMexicanpesotodepreciatefrom$0.08845to$0.07500,youwouldtakeashortpositioninfuturessincethefuturespriceof$0.08845isgreaterthanyourexpectedspotprice.

Youranticipatedprofitfromashortpositioninthreecontractsis:

3x（$0.08845-$0.07500）xMP500,000=$20,175.00.

Ifthefuturespriceisanunbiasedpredictorofthefuturespotpriceandthispricematerializes,youwillnotprofitorlosefromyourlongfuturesposition.

6.GeorgeJohnsonisconsideringapossiblesix-month$100millionLIBOR-based,floating-ratebankloantofundaprojectattermsshowninthetablebelow.JohnsonfearsapossibleriseintheLIBORratebyDecemberandwantstousetheDecemberEurodollarfuturescontracttohedgethisrisk.ThecontractexpiresDecember20,1999,hasaUS$1millioncontractsize,andadiscountyieldof7.3percent.

Johnsonwillignorethecashflowimplicationsofmarkingtomarket,initialmarginrequirements,andanytimingmismatchbetweenexchange-tradedfuturescontractcashflowsandtheinterestpaymentsdueinMarch.

LoanTerms

September20,1999December20,1999March20,2000

Borrow$100millionatPayinterestforfirstthreePaybackprincipal

September20LIBOR+200monthsplusinter