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10. (10%) In March 21s', a Spain company is expected to pay 1,000,000 3 months later. It decides to hedge the transaction with currency option

10. (10%) In March 21s', a Spain company is expected to pay 1,000,000 3 months later. It decides to hedge the transaction with currency option markets. LIFFE June GBP/EUR call option: strike price: 1.0884/ ; option premium: 0.02/ a. Draw the P/L curve of its call option. b. Calculate the break-even rate. 1 c. On delivery date in June, if the spot rate is as following respectively, fill in the table. JUNE SPOT RATE BEST STRETAGE TOTAL E COSTS 1.0959/ 1.0819/ 1.1052/ 2 3

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