ASWER E ONLY
2. You have to make a 90,000,000 payment in Japanese Yen on close of business day, Friday, September 6th. You decide to hedge your risk with the futures contracts. Assume you that you enter into the futures position at a close of day on Tuesday, September 3d. Futures and spot data are provided in the file HW1 data.doc. Contract size is 12,500,000 yen. a. Describe the position you decide to enter (long or short). b. Describe the contract (what month, and what quantity). c. Document the gain or loss due to marking to market every day that your position is open. d. What is the total cost in US$ after you have closed out your futures positions, and made your payment? e. What would have been the total cost in US$, if you had not hedged? Did you benefit from hedging? f. Repeat steps a)-e) assuming that you expect a payment of 900,000 British pounds on close of business day, Friday, September 6th. Assume you that you enter into the futures position at a close of day on Tuesday, September 3d. Futures and spot data are provided in the file HW1 data.doc. Contract size is 62,500 British pounds. Japanese Yen Data British Pound Data Daily Settlements for Japanese Yen Future (FINAL)Trade Date: Wednesday, 09/04/2019 Month Open ...Estimated Prior Day High Low Last Change Settle Volume Open Interest SEP 19 944859457094015 94045 -335 94060 123,241 151,666 OCT 19 94700 94760B 94230A94260A -330 94265 322 2,417 NOV 19 - 94940B 94480A94490A -330 94480 122 409 DEC 19 9504595145B 94605494630B|-330 94645 12,278 3,037 JAN 20 - - - - -335 94845 MAR 20 9548095750B 95280A95280A 335 95265 52 247 Daily Settlements for British Pound Future (FINAL)Trade Date: Wednesday, 09/04/2019 Estimated Prior Day Month Open High Low Last Change Settle Open Volume Interest SEP 19 1.2089 1.2268 1.20891.22561,0130 1.2220 155,078 262,960 OCT 19 1.21231.2269B 1.2118A 1.2269B) +.0130 1.2235 914 1,516 NOV 19 1.2285B 1.2285B +.0131 1.2251 69 299 DEC 19 1.21371.23090 1.2132 1.2303A 4,0131 1.2263 3,509 7,036 JAN 20 - 1.2278B 1.2278B +.0131 1.2276 MAR 20 1.2208 1.2337B 1.2191A 1.2337B +.0130 1.2302 8 407 Daily Settlements for Japanese Yen Futures (FINAL)Trade Date: Friday, 09/062019 Month Open High Estimated Prior Day Low Last Change Settle " Volume Open Interest SEP 19 935659383593415 93575B 160 93605 130,280 146,829 OCT 19 9373594030B 93625A 93780 +65 93810 143 2,454 NOV 19 - 94210B 93875A 940154 +60 94020 79 761 DEC 19 94150 9441594000 94165A 160 94185 21,484 9,531 JAN 20 - - - - +55 94380 MAR 20 94880 94975B 94690A 94770B +50 94805 72 247 Daily Settlements for British Pound Futures (FINAL)Trade Date: Friday, 09/06/2019 Prior Day Estimated Month Open High Low Last Change Settle Volume Open Interest SEP 19 1.2338 1.2348 1.2284 1.2291 -0028 1.2298 124,966 260,145 OCT 19 1.2343 1.23621 1.2304A 1.2311A -0028 1.2313 184 1,037 NOV 19 . 1.2373B | 1.2321A (1.2329A -0028 1.2329 328 DEC 19 1.2385 1.2391 1.2327A 1.2335A -0028 1.2341 18.112 11,622 JAN 20 . 0029 1.2354 MAR 20 1.23791.2427B 1.2376 1.2378A -0030 1.2380 249 408 Spot data: Spot Data: Jul. Bax YYYY/MM/DD HY USD/JPY 2458730 2019/09/03 Tue 0.0094357 2458731 2019/09/04 Wed 0.0094096 2458732 2419/09/05 Thua.DD51514 2458733 2019/09/06 Fri 0.0093593 Jul. Rex YYYY/MM/DDWOX|USD/GBP 2458730 2019/09/03 Tue 1.2072 2458731 2019/09/04 Wed 1.2200 2458732 2419/09/05 Thu 1.2328 2458733 2019/09/06 Fri 1.2304
