Question
27) A European exporter has a receivable of 1.240.000 USD. The current spot rate (SRt0) is 1,22 / 1,23. He wants to hedge his position
27) A European exporter has a receivable of 1.240.000 USD. The current spot rate (SRt0) is 1,22 / 1,23. He
wants to hedge his position with a forward rate agreement. The forward rate is 1,24 / 1,25. Calculate the
profit/loss for both positions and the overall payoff for the scenarios 1,1 and 1.4.
Answer table: | Scenario 1,1 | Scenario 1,4 |
Underlying transaction | ||
Forward rate agreement | ||
Overall payoff |
EXAMPLE FROM ANOTHER QUESTION:
Scenario SRt0=1,19, FR=1,21 SRt1=1,3
VolumeEURSRt0 =2000 000 USD/SRt0= 2000000/1,19= 1 680 672,27
VolumeEURFRt0=2000 000 USD/ FR= 2000000/1,21= 1 652 892,56
Base transaction: (SRt0-SRt1) *VolumeEURSRt0/SRt1= ((1,19-1,3) * 1 680 672,27)/1,3= -142210,73
Hedging transaction:(SRt1FR) *VolumeEURFRt0/SRt1= ((1,3-1,21) * 1 652 892,56)/1,3= 114431,02
Overall payoff: Hedging transaction+ Base transaction= 114431,02 + (-142210,73)= -27779,71
My question is how do you calculate when there are 2 of everything . Do you add them up?
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