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  • Herramienta Cobertura Cambiaria

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    Jenny Marcela Morales Riveros
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    This document analyzes hedging strategies for a $5 million foreign exchange exposure. It provides input data on current and expected spot exchange rates, forward rates, and option premiums and exercise prices. The outcomes section shows that for this exposure, remaining unhedged yields $1,785,500, while a forward hedge yields $1,786,500, a futures hedge $1,786,000, a money market hedge $1,786,481.60, and an options hedge $1,693,699.13.

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    Herramienta cobertura cambiaria.xls

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    This document analyzes hedging strategies for a $5 million foreign exchange exposure. It provides input data on current and expected spot exchange rates, forward rates, and option premiums and exercise prices. The outcomes section shows that for this exposure, remaining unhedged yields $1,785,500, while a forward hedge yields $1,786,500, a futures hedge $1,786,000, a money market hedge $1,786,481.60, and an options hedge $1,693,699.13.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    6 views2 pages

    Herramienta Cobertura Cambiaria

    Uploaded by

    Jenny Marcela Morales Riveros
    This document analyzes hedging strategies for a $5 million foreign exchange exposure. It provides input data on current and expected spot exchange rates, forward rates, and option premiums and exercise prices. The outcomes section shows that for this exposure, remaining unhedged yields $1,785,500, while a forward hedge yields $1,786,500, a futures hedge $1,786,000, a money market hedge $1,786,481.60, and an options hedge $1,693,699.13.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    TRANSACTION EXPOSURE HEDGING ANALYSIS

    INPUT DATA

    Amount of Exposure: 5,000,000  Receviable (1)/


    Payable (2):
    Current Spot Exchange Rate: $0.349800 
        (American Terms) Length of Exposure: 
    (Fraction of Year)
    Expected Spot Exchange Rate: $0.357100 
        (American Terms) U.S. Interest Rate:
      (Per Annum)
    Forward Exchage Rate: $0.357300 
        (American Terms) Foreign Interest Rate:
      (Per Annum)
    Call Option Premium: $0.011500 
    Exercise Price: $0.349800  Futures Price:
    Contract Size:
    Put Option Premium: $0.010500 
    Exercise Price: $0.349800 
    Pg Down for Hedging
    Alternatives Outcomes

    HEDGING OUTCOMES

    #1  Remain Unhedged: $1,785,500.00 

    #2  Forward Hedge: $1,786,500.00 

    #3  Futures Hedge: $1,786,000.00 

    #4  Money Market Hedge: $1,786,481.60 

    #5  Options Hedge: $1,693,699.13 
    1

    0.50 

    10.67%

    6.25%

    $0.357200 
    125,000 

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