¥ interest rate1.00% p.a. (90/360)Implied forward rate108.

55cS Nd K NddSK r yttdytrt=-=+-+=--

ee()( )ln( / ) ()1211222ssln( / ) ()SK r yttdt+--=-1221sssUse theztables provided in the Appendix:stry=
́ ==+ ́==+0150 0751 0 01 1 0 009951 0 06514..ln( . ).ln( . )...ln( / ) ln( ́====--1 0 0629750 9975160
9843801eertytSK10 105 0 0465201 20 00995 0 062975 0 52/).(/)(. . .=-+=-+ryts(. ) ) ..(..)/.0150 25 0
0104440 046520 0 010444 0 0721 ́=-=-d5 0 48100 481017 0 075 0 40600 6844 0121==-==+ ́....() ..
(dNd0 6879 0 6844 0 684750 6554 0 6 0 6591 0 62..).(). .(. .-==+ ́-Nd554 0 65762110 0 984380 0
68475 105 0 997516 0)... ..== ́ ́ - ́ ć 657627415 68 8852
SADLA

the identical exposure as in Example 11.2 entersinto a participating collar to hedge euro
receivables. The exporterbuys a euro put/dollar call with the strike of 0.8762 for€1,000,000 at
apremium of 1.0% and writes a euro call/dollar put with the strike of0.9000 for€600,000 at a
premium of 1.84%.(a) Calculate the future value of the net premium payable in dollars.Net
premium payable = 1,000,000 × 0.01 – 600,000 × 0.0184=€1.040Note: premium received >
premium paidNet premium receivable =€1,040 = US$ 936FV(Net premium receivable) = 936 × (1+
0.03 × 90/360)= US$943.02

ADKA

A foreign currency borrower with the same exposure as in Example 11.3constructs a participating
option to hedge Swiss franc liabilities. Theborrower buys a US dollar put/Swiss franc call for SF
25,395,300 with astrike of 1.2300 at a premium of 3.0% and writes a US dollar call/Swissfranc put
for SF 12,697,650 with a strike 1.2300 at a premi

Effective borrowing cost=- ́US cost$,,,,20 000 00020 000 000200(i) 1.2000:=- ́=21 021 420 20 000
00020 000 000200 10 21,, ,,,,.%p.a.(ii) 1.2400:=- ́=20 938 167 63 20 000 00020 000 000200 9
38,,. ,,,,.%p.a.(iii) 1.300:=- ́=20 465 550 39 20 000 00020 000 00020