Assuming the CNY/USD exchange rate is 6.4 today. CNY Interest Rate is 3% USD Interest Rate is 0.5%Volatility of CNY/USD is 10% a year.Thus the 1 year forward is 6.56 (1USD = 6.56 CNY).Use the option calculator to calculate the value of a USD Call/CNY Put option with strike of 7.00 and a USD Put option/CNY Call option with strike of 6.3, this structure is called a collar. How is buying a call and selling a put with the strikes above compared to buying a USD forward strike at 6.56? How much money will a company save by doing the collar? If you are to construct a zero-cost collar, with USD call at 6.3, what will the USD put price be?Will you conclusion change if volatility is 20% instead of 10% a year?

Assuming the CNY/USD exchange rate is 6.4 today. CNY Interest Rate is 3% USD Interest Rate is 0.5% Volatility of CNY/USD is 10% a year. Thus the 1 year forward is 6.56 (1USD = 6.56 CNY). Use the option calculator to calculate the value of a USD Call/CNY Put option with strike of 7.00 and a USD Put option/CNY Call option with strike of 6.3, this structure is called a collar. How is buying a call and selling a put with the strikes above compared to buying a USD forward strike at 6.56? How much money will a company save by doing the collar? If you are to construct a zero-cost collar, with USD call at 6.3, what will the USD put price be? Will you conclusion change if volatility is 20% instead of 10% a year? 7.00 6.127 1 Assuming the CNY/USD exchange rate is 6.4 today. CNY Interest Rate is 3% USD Interest Rate is 0.5% Volatility of CNY/USD is 10% a year. Thus the 1 year forward is 6.56 (1USD = 6.56 CNY). Use the option calculator to calculate the value of a USD Call/CNY Put option with strike of 7.00 and a USD Put option/CNY Call option with strike of 6.3, this structure is called a collar. How is buying a call and selling a put with the strikes above compared to buying a USD forward strike at 6.56? How much money will a company save by doing the collar? If you are to construct a zero-cost collar, with USD call at 6.3, what will the USD put price be? Will you conclusion change if volatility is 20% instead of 10% a year? 7.00 6.127 1