Which of the following is closest to the net realized value in Euro of Fedsmoker

Protocolss receivable if the firm had used futures contracts to hedge it?

a. EUR24,793,776

b. EUR23,945,227

c. EUR32,705,502

d. EUR28,744,591

e. EUR32,682,099

f. EUR31,512,040

g. EUR24,802,965

h. EUR24,803,981

i. EUR40,348,734

j. EUR34,388,839

answer g

The following information is used for the next SIX questions Fedsmoker Protocols is a firm that is headquartered in France. Resulting from the recent sale of some Featherin' It pillows, the firm has a CHF32.142 million receivable that will be paid by a customer based in Switzerland exactly 300 days from today (at (= 300). As the Chid Financial Officer (CFO) of Fedsmoker Protocols, you have requested quotes from your deaker, FGT RTD Group, to assist you with your bedging dedi- sion. Your client relationship manager at the bank, Sue Wu, has in turn provided you with the following foreign exchange, derivative, and eurocurrency rate quotes (all based on a 360-day year) a - Bid Ask Spot rate EUR0.7896/CHF EURO.7902/CHF Forward rate (300 days) EURO.7687/CHF EURO.7710/CHF 300-day put at EURO.8000/CHF strike: EURO.0400/CHF EURO.0428/CHF 300-day call at EURO.7500/CHF strike EURO.0348/CHF EURO.0376/CHE 300-day CHF interest rate 4.00% p. 4.10% p.a. 300-day EUR interest rate 1.17% pa 1.31% pa. % In addition, futures contracts on the Swiss franc that expire in 305 days (i.e. at I=305) currently trade on the market at a rate of EURO.7717/CHF. When using futures, you must follow proto by closing out any open contracts on the payment date of the underlying receivable or payable being bedged. Each futures contract on the Swiss frane has a size of CHF125,000, an initial margin of EUR2.700, and a maintenance margin of EUR1.650. Fedsmoker Protocols's broker requires La a fee of EUR6.00 per contract for each trade made, which includes all exchange regulatory, and other fees. Assume that Festoker Protocols funds any up-front hedging costs (eg. brokerage fees or option premiums) lwy borrowing the required amount in their domestic currency. However, the opportunity cost of any futures margin requirements can be ignored as the firm carns a rate of return on the margin balance commensurate with what the they would have camed on those same funds elsewlere. Although not known by you at the time you take any hedging decision (ie, at 1=0), the below table shows what the prices of the above futures contract and the spot rates eventually turn out to be in the period around the payment of your receivable. All values are the closing prices for that day and are the prices at which you would execute any trades. Day t=300 = 0 302 t=309 Z=304 =305 Spot Bid Spot Ask Futures Price EUR0.8913/CHF EURO.8919/CHF EURO.8943/CHF EUR0.9007/CHF EURO.9013/CHF EUR0.9007/CHE EUR0.9131/CHF EUR0.9137/CHF EURO.9132/CHF EUR0.9066/CHF EURO.9072/CHF EUR0.9068/CHE EUR0.9107/CHF EUR0.9113/CHF EUR0.9109/CHF EURO.9207/CHF EURO.9213/CHF EURO.9210/CHF The following information is used for the next SIX questions Fedsmoker Protocols is a firm that is headquartered in France. Resulting from the recent sale of some Featherin' It pillows, the firm has a CHF32.142 million receivable that will be paid by a customer based in Switzerland exactly 300 days from today (at (= 300). As the Chid Financial Officer (CFO) of Fedsmoker Protocols, you have requested quotes from your deaker, FGT RTD Group, to assist you with your bedging dedi- sion. Your client relationship manager at the bank, Sue Wu, has in turn provided you with the following foreign exchange, derivative, and eurocurrency rate quotes (all based on a 360-day year) a - Bid Ask Spot rate EUR0.7896/CHF EURO.7902/CHF Forward rate (300 days) EURO.7687/CHF EURO.7710/CHF 300-day put at EURO.8000/CHF strike: EURO.0400/CHF EURO.0428/CHF 300-day call at EURO.7500/CHF strike EURO.0348/CHF EURO.0376/CHE 300-day CHF interest rate 4.00% p. 4.10% p.a. 300-day EUR interest rate 1.17% pa 1.31% pa. % In addition, futures contracts on the Swiss franc that expire in 305 days (i.e. at I=305) currently trade on the market at a rate of EURO.7717/CHF. When using futures, you must follow proto by closing out any open contracts on the payment date of the underlying receivable or payable being bedged. Each futures contract on the Swiss frane has a size of CHF125,000, an initial margin of EUR2.700, and a maintenance margin of EUR1.650. Fedsmoker Protocols's broker requires La a fee of EUR6.00 per contract for each trade made, which includes all exchange regulatory, and other fees. Assume that Festoker Protocols funds any up-front hedging costs (eg. brokerage fees or option premiums) lwy borrowing the required amount in their domestic currency. However, the opportunity cost of any futures margin requirements can be ignored as the firm carns a rate of return on the margin balance commensurate with what the they would have camed on those same funds elsewlere. Although not known by you at the time you take any hedging decision (ie, at 1=0), the below table shows what the prices of the above futures contract and the spot rates eventually turn out to be in the period around the payment of your receivable. All values are the closing prices for that day and are the prices at which you would execute any trades. Day t=300 = 0 302 t=309 Z=304 =305 Spot Bid Spot Ask Futures Price EUR0.8913/CHF EURO.8919/CHF EURO.8943/CHF EUR0.9007/CHF EURO.9013/CHF EUR0.9007/CHE EUR0.9131/CHF EUR0.9137/CHF EURO.9132/CHF EUR0.9066/CHF EURO.9072/CHF EUR0.9068/CHE EUR0.9107/CHF EUR0.9113/CHF EUR0.9109/CHF EURO.9207/CHF EURO.9213/CHF EURO.9210/CHF