計算利率風(fēng)險期貨期權(quán)份數(shù)為何要乘借款期間除以合約期間
為什么有計算利率的風(fēng)險的期貨和期權(quán)合約數(shù)量,，需要*借款期間/合約期間
問題來源：
Steps in an Exchange-traded Options Hedge
Illustration 7:
Vinnick, a US company, purchases goods from Santos, a Spanish company, on 15 May on three months' credit for €600,000.
Vinnick is unsure in which direction exchange rates will move so has decided to buy options to hedge the transaction at a rate of €0.7700 = $1.
The details for €10,000 options at €0.7700 are as follows.
|
Calls |
Puts |
||||
|
July |
August |
September |
July |
August |
September |
|
2.55 |
3.57 |
4.01 |
1.25 |
2.31 |
2.90 |
The current spot rate is 0.7800.
Required
Calculate the dollar cost of the transaction assuming that the option is exercised.
Step 1 Set up the hedge
(a) Which contract date? August
(b) Put or call? Call - we need to buy euros (the contract currency)
(c) Which strike price? 0.7700 (given)
(d) How many contracts?
=60(no shortage or surplus)
Use August call figure of 3.57. Remember it has to be multiplied by 0.01 because it is in cents.
Premium = (3.57 × 0.01) × contract size × number of contracts
Premium = 0.0357 × 10,000 × 60 = $21,420
Step 2 Outcome
Options market outcome
60 contracts×€10,000
Outcome of options position €600,000
No surplus or shortfall
Step 3 Net outcome
|
|
$ |
|
Options position (600,000/0.77) |
(779,221) |
|
Premium |
(21,420) |
|
|
(800,641) |
李老師
2022-11-19 09:25:25 1186人瀏覽
不好意思，沒太理解您的問題,，麻煩在老師的課件中明確一下您有疑問的具體位置,，方便為您進行針對性的解答,。
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