Your firm is an Italian exporter of bicycles. You have sold an order to a Swiss firm for SFr$.2,000,000$ worth of bicycles. Payment from the customer $($in Swiss francs$)$ is due in $12$ months. Detail a strategy using futures contracts that will hedge your exchange rate risk. Have an estimate of how many contracts of what type and maturity.

U$.$S$.$ $ equiv. Currency per U$.$S$.$ $

Contract Size Country Tuesday Monday Tuesday Monday

$10,000$ Britain $($pound$)$ $ $1\mathrm{.}9600$ $ $1\mathrm{.}94000\mathrm{.}51020\mathrm{.}5155$

$1$ month forward $ $1\mathrm{.}9700$ $ $1\mathrm{.}95000\mathrm{.}50760\mathrm{.}5128$

$3$ months forward $ $1\mathrm{.}9800$ $ $1\mathrm{.}96000\mathrm{.}50510\mathrm{.}5102$

$6$ months forward $ $1\mathrm{.}9900$ $ $1\mathrm{.}97000\mathrm{.}50250\mathrm{.}5076$

$12$ months forward $ $2\mathrm{.}0000$ $ $1\mathrm{.}98000\mathrm{.}50000\mathrm{.}5051$

$10,000$ Euro $ $1\mathrm{.}5600$ $ $1\mathrm{.}54000\mathrm{.}64100\mathrm{.}6494$

$1$ month forward $ $1\mathrm{.}5700$ $ $1\mathrm{.}55000\mathrm{.}63690\mathrm{.}6452$

$3$ months forward $ $1\mathrm{.}5800$ $ $1\mathrm{.}56000\mathrm{.}63290\mathrm{.}6410$

$6$ months forward $ $1\mathrm{.}5900$ $ $1\mathrm{.}57000\mathrm{.}62890\mathrm{.}6369$

$12$ months forward $ $1\mathrm{.}6000$ $ $1\mathrm{.}58000\mathrm{.}62500\mathrm{.}6329$

SFr$.10,000$ Swiss franc $ $0\mathrm{.}9200$ $ $0\mathrm{.}9000$ SFr$.1\mathrm{.}0870$ SFr$.1\mathrm{.}1111$

$1$ month forward $ $0\mathrm{.}9400$ $ $0\mathrm{.}9200$ SFr$.1\mathrm{.}0638$ SFr$.1\mathrm{.}0870$

$3$ months forward $ $0\mathrm{.}9600$ $ $0\mathrm{.}9400$ SFr$.1\mathrm{.}0417$ SFr$.1\mathrm{.}0638$

$6$ months forward $ $0\mathrm{.}9800$ $ $0\mathrm{.}9600$ SFr$.1\mathrm{.}0204$ SFr$.1\mathrm{.}0417$

$12$ months forward $ $1\mathrm{.}0000$ $ $0\mathrm{.}9800$ SFr$.1\mathrm{.}0000$ SFr$.1\mathrm{.}0204$

Multiple Choice

Go long $20012-$month Swiss franc futures contracts; and short $12512-$month euro futures contracts.

Go short $20012-$month Swiss franc futures contracts; and long $12512-$month euro futures contracts.

Go short $20012-$month Swiss franc futures contracts; and short $12512-$month euro futures contracts.

Go long $20012-$month Swiss franc futures contracts; and long $12512-$month euro futures contracts.

none of the options