AMC Profitability Yen/$ Spot 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150
Put Payoff
(1,524,990) (1,524,990) (1,524,990) (1,524,990) (1,524,990) (1,524,990) (1,524,990) (847,829) (109,640) 617,104 1,332,668 2,037,307 2,731,269 3,414,796 4,088,122 4,751,431 5,405,066 6,049,118 6,683,839 7,308,425 7,926,075 8,533,977 9,133,318 9,724,276 10,307,027 10,881,740 11,448,579 12,007,707 12,569,279 13,103,448 13,640,360
Sales 100,000,000 99,173,664 98,360,656 97,560,976 96,774,194 96,000,000 95,238,095 94,488,189 93,750,000 93,023,256 92,307,692 91,603,053 90,909,091 90,225,664 89,552,239 88,888,889 88,235,294 87,591,241 86,966,522 86,330,936 85,714,286 85,106,383 84,507,042 83,916,084 83,333,333 82,758,621 82,191,781 81,632,653 81,081,081 80,536,913 80,000,000
Net Profit 98,475,010 97,648,564 96,835,666 86,035,986 95,249,204 94,475,010 93,713,105 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360 93,640,360
The parent has a DM payable, and Lira receivable. It has several ways to cover its exposure; forwards, options, or swaps.
The forward would be acceptable for the DM loan, because it has a known quantity and maturity, but the Lira exposure would retain some of its uncertainty because these factors are not assured.
The parent could buy DM calls and Lira puts. This would allow them to take advantage of favorable currency fluctuations, but would require paying for two premiums.
Finally, they could swap their Lira receivable into DM. This would leave a net DM exposure which would probably be smaller than the amount of the loan, which they could hedge using forwards or options, depending upon their risk outlook.
The company has Lira receivables, and is concerned about possible depreciation versus the dollar. Because of the high costs of Lira options, they instead buy DM puts, making the assumption that movement in the DM and Lira exchange rates versus the dollar correlate well.
A hedge of lira using DM options will depend on the relationship between lira FX rates and DM options. This relationship could be determined using a regression of historical data.
The hedged risk as a percent of the open risk can be estimated as: Square Root (var(error)/(b2var(lira FX rate) ) * 100
The “cost” of the risk of the DM hedge would have to be compared with the cost of the expensive lira options.
Whichever hedge is “cheaper” (i.e., lower cost for same risk or lower risk for same cost) should be selected. This hedge must be closely monitored, however, to make sure that this relationship holds true. If it does not, this “basis risk” can cause the ratio of DM versus Lira to change, so that the appropriate amount of cross-hedge is different. If that amount is not then adjusted, a net currency exposure could result, leaving the company open to additional currency losses.
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国际财务管理(英文版)课后习题答案9
