國際財務(wù)管理課后習(xí)題答案2【實用文檔】doc文檔可直接使用可編輯，歡迎下載

CHAPTＥR5THEMＡＲKETＦＯRFＯＲEIGNEXCHＡＮGＥ國際財務(wù)管理課后習(xí)題答案2【實用文檔】doc文檔可直接使用可編輯，歡迎下載SＵGＧESTＥDANＳWERＳＡＮDＳOLUＴIONSTOＥND—OF—CHAＰTＥR?QＵESTＩＯNＳAＮＤPROＢＬＥMSQUＥSＴIＯＮS1．Ｇivｅafulldefiｎiｔｉonoftheｍarketforforeiｇnｅxchange.2.Ｗhａt(yī)isthedifferencebeｔwｅenｔhereｔailorclientmarkｅｔａｎｄthewｈｏlesaleoｒiｎｔerｂankmarkeｔｆｏrforｅigｎexchangｅ?Answｅr:Ｔhｅmaｒketｆｏｒｆorｅigneｘchaｎgｅｃａnｂevｉeｗeｄasatwo-tiermarｋｅt．Ｏnetｉerｉｓtｈeｗhｏｌｅsaleｏrｉnterbankｍａrketaｎｄtｈeoｔhｅrtｉerisｔhｅretailoｒcliｅntｍａrkｅt.InｔｅrnatｉonalbankspｒovｉdeｔheｃorｅｏfｔheFXmarket．Theystａndwiｌlingtobuｙｏrｓｅlｌfoｒｅigｎcurreｎcyｆortheirowｎaccount。Thｅseiｎteｒnatioｎａｌbａnksservetheiｒｒｅtａilclients，corporaｔionsｏｒinｄiｖｉduaｌs,inｃoｎductiｎgforeｉgｎcｏｍmeｒceｏrmａｋｉngiｎternatiｏnａliｎvｅstｍｅntｉｎfinanciaｌassｅtｓtｈatrｅｑuiresforeｉgneｘchange.Retaｉltransacｔionsaｃｃountｆoronｌyabｏuｔ14peｒcenｔofFXtrades。Theother86percｅntｉｓinｔｅrbanktradesｂetｗeenｉｎtｅrnatiｏnalbankｓ,ornon－bankdｅaleｒsｌａｒｇeenoughtｏtransａctintheinｔerbanｋｍaｒkｅｔ.３.Wｈoａretｈemarketpａrtｉcｉｐaｎｔsinｔhefoｒeiｇneｘcｈａngemarｋet？Aｎswｅr:ThemａrkｅｔpａrｔｉcｉpantsthatcoｍｐｒiｓetheＦＸmarkeｔｃａｎbeｃatｅgorｉzｅｄinｔｏｆiｖegｒoups：inｔernatiｏnａｌｂanｋs,ｂａnｋcusｔｏmers，ｎｏn-bａｎkdeaｌers，F(xiàn)Xｂｒokers,ａndｃeｎtralbaｎks.ＩnterｎatiｏnalbanksprｏvidｅｔhecoreoｆthｅFXmarkｅt．Ａpproxｉmaｔeｌy1０0tｏ200ｂａｎkｓｗoｒldwideｍakeａmarkｅtinfｏreｉgnexchange,i。e。，theystandwｉllingｔｏbuyｏrselｌｆｏrｅiｇncurrｅｎｃyfortheｉｒownaccｏunt.Thｅsｅinternaｔionalbａｎksseｒveｔhｅｉrretailcliｅntｓ，ｔhebankcustｏmers，iｎconduｃtingforeigncoｍmerceｏrmakｉngｉnternａt(yī)ionalinｖesｔmeｎtｉnfinancｉａlassｅtｓthatreｑuiresfoｒeiｇnｅｘcｈangｅ。Non—banｋｄeaｌersarelaｒｇeｎon-bａｎkfiｎａncｉalinstiｔｕｔions，suｃhaｓiｎvestｍenｔｂanｋｓ，mutuaｌfunｄs，ｐensiｏｎfｕnｄs，anｄhedｇefundｓ,whosｅsizeａnｄfｒｅqｕeｎcｙｏfｔradｅsmaｋeitｃｏｓt—efｆectｉveｔｏestａblishtheｉrowｎｄealｉngroomｓtotradedirectlyiｎｔheinteｒｂankmarkｅｔfortheｉrｆoｒeignexchａｎgｅneedｓ.Ｍosｔinterbａｎｋtradesａrｅsｐecｕlａt(yī)ｉveorarbｉtraｇｅtransａctionsｗhereｍarkeｔparticipanｔsaｔteｍpttocorrectlyjｕｄgetheｆutｕｒedｉrectioｎoｆpricemoveｍentｓinoｎｅｃurrencyverｓuｓaｎotｈeｒorａｔｔemｐtｔoprofiｔfromtｅｍporarypｒicｅdiｓcrepaｎciesiｎcurrencieｓbetweｅnｃomｐeｔingｄeａlers。FXbｒoｋｅrｓmaｔｃｈｄeaｌｅｒorｄeｒｓtobuｙａnｄselｌcurｒencｉesforaｆｅe,bｕｔｄonｏttakeaｐｏsitiｏｎｔｈemｓelｖes。Interｂaｎktraｄersuseabrｏkerｐｒimａrilytodisseｍinateasquｉｃklyaspoｓsｉbleacｕｒｒｅｎｃyqｕoｔeｔomanyotｈｅrdealerｓ．Cｅｎtｒａlｂａｎkssomeｔimeｓｉnｔerveneinｔheforeiｇｎexcｈanｇｅmaｒketiｎａnattｅmｐttoinfｌuencetｈeｐｒiceofitｓcurreｎcyagaｉnstthａｔｏfaｍａjoｒｔｒadiｎｇｐａrtner，oracoｕntrythatit“fiｘes”oｒ“pegs”iｔscurrencyaｇaiｎｓt。Intｅrｖentionisｔheｐｒoceｓsｏfｕsingfｏreigncurｒｅnｃyｒeservｅsｔobuｙoｎe'soｗncｕrｒencyinｏrdｅrtodｅcrｅaseiｔssupplｙandthusincreａseｉtsｖalueinｔhefｏreiｇｎexchangeｍａrket，oraｌternａt(yī)iveｌy,sellingone’ｓｏwncurｒenｃyfｏrforｅigncurreｎcｙinordeｒtoincｒeａseitsｓuｐｐｌyａndlowｅｒｉｔｓprice。4.Howareforeｉgnexｃhａngｅtrａnsａctioｎｓbｅｔweeｎiｎteｒnatioｎalbaｎkｓsettlｅd?Answer：Tｈｅinterbankmarkeｔisanetｗorkofｃorrespoｎdｅｎtbankingreｌaｔioｎsｈiｐs,wｉthlａrgｅcomｍercｉalbａnksmainｔaｉningdemaｎddｅpositacｃｏｕnｔswｉｔhonｅａnｏther，caｌleｄｃorreｓponｄentbankacｃountｓ.Theｃorreｓpondentbanｋａｃcｏuntnetｗoｒkallowsｆortｈeeffiｃｉentｆuｎctiｏｎinｇｏftheｆoreigneｘchangemarket。Ａsａnexamplｅofhowthenｅtworｋoｆcorｒespｏｎｄｅｎtbａnkaｃｃoｕntsfaciliｔｉesinｔｅrnａt(yī)ionａlfｏreigｎｅxｃhanｇeｔraｎsａctions，ｃｏnsideraＵ。S.imｐｏｒterdesiriｎgtopurchasemerchandiseｉnｖoicedｉnｇuiｌdersｆｒomaDｕtchｅxｐorｔｅr．TheU.S.ｉmporteｒwillcoｎtacthｉsbａnkaｎdｉnqｕirｅａｂoｕttｈeexchangeｒaｔe.ＩfthｅU.S。impｏrteraｃｃｅｐtsｔheoｆferedｅxchangeraｔe,ｔhebankｗiｌlｄebiｔthｅU.S.imｐorter’sａccountforthｅpｕrcｈａseoftheＤutｃhguilders。ThebaｎkwillinｓtｒucｔiｔｓcoｒrｅspondentbanｋｉnｔｈeＮeｔheｒlandstodebiｔitｓcoｒrespoｎdeｎtｂaｎkacｃｏunｔｔheapproｐrｉateａmｏuntofｇｕilderｓanｄｔoｃrｅditｔhｅDutchexporter’sbanｋａccount.Ｔheiｍpoｒter’sbaｎｋｗillthendebｉtitｓbooｋstoofｆｓｅtthｅdｅbitofU．Ｓ．impoｒteｒ’saｃcｏuｎｔ，reｆlectingthedｅcrｅaseinｉtscorrespondｅｎtbankaccouｎtbａｌａｎcｅ.5．Wｈatｉsmｅaｎｔｂyacurrencytradingatａｄｉscounｔorａt(yī)apｒemｉｕmintheforwardmarket？Anｓｗer：Tｈefｏrｗａｒdmarketinvolｖesｃontractingtoｄａyｆoｒｔhefutuｒepurchａｓeｏrsaleofforeignｅxchａｎge.Tｈeforwaｒdpricｅmayｂetheｓaｍeasthespotpｒice，ｂutusｕallyitishｉgher（aｔapremｉｕm)ｏrｌower（aｔａdiｓcｏｕnｔ）thanｔhespotprice．

6.WｈydoesmoｓｔinｔerｂａnkcuｒrｅncytradingｗorｌdwｉdeinvolveｔheU.Ｓ。dolｌar？Answer:Tradｉngincurｒencieｓworldwiｄeisａgainｓｔacomｍonｃurrｅｎcyｔhatｈasinｔeｒnａｔionａlapｐｅａl.ThatcurrｅnｃyhasbｅｅnthｅＵ.S。dollａrsincetｈeendofWｏrldWarII。However，ｔheeｕroanｄJapanｅseyenhavｅstａrtedtoｂｅusｅｄmｕcｈmoreasinｔｅｒnationalcｕrreｎciesinreceｎtyeａrｓ。Moｒeｉmpoｒｔanｔly,ｔradiｎgwouｌdbｅexceedｉnglyｃumbｅrsomeａｎddｉfficulttｏmａnageｉfeaｃhtradeｒmadｅaｍarkｅtagaiｎstalｌoｔhercurrencieｓ.7.Bａｎksfinｄitnecessarｙtoaccomｍｏdaｔetheｉrclients’nｅeｄstobuyｏrsｅllＦXｆｏrwaｒd，ｉnmaｎyｉnsｔancｅsforhedgiｎgｐurpoｓes。Ｈowｃａnｔheｂaｎｋeliminａt(yī)ethecｕｒrencyexpｏsureｉthascreaｔedfｏritselｆbyaｃcommｏｄaｔinｇaｃliｅnｔ'sforｗardtraｎｓaｃｔion？Answeｒ:Swapｔｒaｎsactｉｏｎsprｏviｄｅａmeansfortｈebaｎkｔoｍiｔiｇatethecurreｎcｙｅxｐosｕreinaforｗaｒdtｒade.Aswaｐtｒaｎsaｃｔiｏｎisthesimuｌｔaneousｓalｅ（ｏｒpurｃｈase)ｏfspotfoｒｅiｇnexcｈangeaｇａｉnsｔａforｗaｒｄpｕrｃｈase(orｓale)ofａnapproxiｍateｌyｅqｕalａmouｎtofｔhefｏｒeigncurrｅｎcy.Toiｌlｕｓtrａt(yī)e，suｐｐｏsｅabankcustｏmerwaｎtstobｕｙdollarstｈreeｍontｈsforwarｄagaｉnsｔBritishｐｏｕnｄsterｌing.Thebａnkｃanｈandｌｅtｈｉｓtradeｆｏriｔscustomｅｒａndsimuｌtaｎeｏuｓlyneutralizetheｅxchａnｇｅrateｒｉsｋｉnｔheｔradｅｂyselｌing（ｂｏrｒowｅｄ）Briｔishpouｎdstｅrlinｇｓpｏｔａgainstdollarｓ。Thebanｋwｉｌlleｎdthedolｌarsｆorthreｅmontｈｓuｎｔｉlthｅyareneededtｏdelivｅｒagａinsttｈedolｌarsithassｏldｆｏrｗard．TheBriｔishpｏundsreｃｅiｖｅdwilｌｂｅｕsｅdtoliｑuidatｅtheｓｔerｌingloａn。８.AＣD/＄ｂaｎktradｅrｉｓｃｕｒｒenｔlyqｕotiｎgaｓmallfigurebid—ａｓkｏf35－40,ｗhentherｅstoｆｔhemａrketｉｓtraｄiｎｇatCＤ１。3４36-CD1．3441.Ｗhａt(yī)isimpｌｉｅdaboｕttｈetraｄer'ｓbeｌieｆsbyｈｉsprices？Anｓwｅｒ:TｈetrａｄermuｓtthinｋthｅCaｎadｉanｄollaｒiｓgoingtoappreciａｔｅagainsｔtheU。Ｓ.dolｌａｒandｔherｅforeheｉsｔｒyingtｏincreaｓeｈｉsiｎventoｒｙofＣａnａｄiandoｌlarsbydisｃｏuragingｐuｒcｈaｓｅsofU．Ｓ.dolｌarsｂyｓtanｄingwiｌlingｔｏbuy$atoｎlyCＤ１。3435/＄1.0０ａndoffｅrｉnｇtosellfｒomiｎｖenｔoｒyａt(yī)thesliｇhｔlyｌowerｔｈanmarketｐｒiceoｆCＤ1.344０/$1.0０。9．Wｈａｔisｔrｉaｎguｌａｒarbitrage?Whatiｓacｏndiｔiｏnthatwｉllgivｅriｓetoａt(yī)riaｎgulararbiｔragｅopporｔuniｔy？Anｓｗer：ＴrianｇulａrａrbｉtrageｉstｈepｒocessoftradｉngｏｕtoｆtheU.S.dolｌarintoaｓeconｄcurｒenｃｙ,tｈeｎtraｄingitfｏrathirｄcｕrreｎｃｙ，wｈiｃhｉｓinturｎtｒadedfoｒＵ.S。ｄｏllaｒs。Thepurposeistoearｎanarｂｉtraｇeprofitvｉatradingfｒｏmthesｅcｏndtotheｔhｉrdcｕｒrenｃywheｎtｈｅｄirecteｘchaｎgebetweentｈetwoisnotinalｉgｎmentｗiththeｃrossｅxchaｎgerａｔe.Ｍost，butnｏtａll,currencytraｎsaｃtionsgothｒoughtｈedollar.Ｃertａiｎｂａnkｓspeｃiaｌizeinmakingadｉｒecｔmarkｅtbeｔｗｅennｏn-dollarcurrenciｅs,prｉciｎgatanaｒroｗerbiｄ—asksprｅaｄtｈantｈｅｃｒoss-ratespｒeaｄ．Nevertｈeｌeｓs，thｅimｐｌiedcross—ｒaｔebid-askquotatioｎsｉｍpｏｓeadisｃiｐｌineoｎthenon－dollarmarketmakeｒｓ.Ｉftｈeirdireｃｔquｏtesarｅnoｔcｏnsistentwiththecrossｅxchangｅrａt(yī)es,atｒｉａnｇuｌararｂitrageｐroｆitｉsｐossiblｅ.?PＲＯＢLEMS1。ＵｓiｎgExhｉbit5.4,calculａt(yī)ｅacrｏss－raｔemaｔｒixfｏrｔheｅuro，Swissfranｃ，Jaｐanｅｓｅyen，andtheBrｉｔisｈpouｎd．ＵｓetheｍoｓtcｕｒｒentAmerｉcaｎtermqｕotestocalcuｌaｔethecross—ratessｏthatthetriaｎgｕlarmatriｘｒeｓuｌtingｉssimilａｒｔoｔhepoｒtｉonabｏvethｅdiagｏnａlinExhibit５。６．Solｕｔion：Thecｒoｓs－rａｔｅformulawewａｎttousｅis:S(j/ｋ）=S($/k)/S(＄/j）．Thetｒiａｎgulａrmatrixwillcontaiｎ4x（4+１）/2＝１0elemenｔs．￥SF￡$Eurｏ１38.0５１.5481.687３1.3１1２Jａｐａｎ（1００)１.12１4。4979.949８Swｉtzｅrland．4440。84７0U。K1．9０772。UsingＥxhibiｔ5.４,ｃａlｃulaｔetｈｅｏne-，thrｅe-，andｓix—mｏntｈfｏrｗardcroｓｓ—eｘｃhaｎgerａt(yī)esbetweentｈeCaｎadiａndollaranｄthｅＳwissfrancｕsingthｅmｏstcｕrrentquoｔａt(yī)iｏｎｓ.Sｔatetheｆorwaｒdｃrｏss-ratesin“Ｃａnａdian”tｅrms。Ｓolutiｏn:Tｈｅｆoｒmuｌａｓweｗaｎｔtoｕsｅarｅ:FN（CＤ／SF)=FN（＄／SＦ）/FN(＄／CD）orFN（ＣＤ/SF)=FN（CＤ/$）／FN（SＦ／＄)。WｅｗｉlｌｕsｅｔheｔｏｐformulatｈaｔusesＡmｅｒicａntermforｗardｅxchanｇeｒates。F１(CD/ＳF）=.８485／．803７=１．０557F3（CD／SF)＝。8517／。8０43＝1．0589F６（ＣD/SF）=．8５7３/。８05７=1.06４0

3．Restatethｅｆｏllowinｇoｎe—,ｔｈree-，andｓix—monthoutｒigｈtforwaｒｄＥurｏｐeanteｒmｂid－askquoteｓinｆorwaｒdpoｉnts．Spot? ?１.3431—１.3４36Onｅ—Monｔh??1．3432—1.3442Tｈrｅe-Mｏnth 1.３４４8—1.3463Sｉx-Montｈ ?1．3４８8—1.3508Sｏlution：Onｅ－Month??01－06Thｒｅe-Ｍonth? １７-２７Six－Montｈ ５7—724.Usｉnｇthespotandoｕtｒightfｏrｗaｒdｑuotesiｎｐroｂlｅｍ3，dｅｔerｍinethｅｃｏrreｓponｄiｎgbiｄ－aｓkspreaｄｓinpoinｔs。Solution:Spoｔ???５One-Moｎth ?10Three—Monｔh? １5Sｉx—Mｏｎtｈ??2０5．UsingＥxhibit５．４，ｃalculatｅtｈeone-,thｒee—,anｄsｉx－monthforwａrｄpremiｕmｏｒdiｓcountｆortheCanadiａnｄollaｒversｕｓtheU．S.dollａrｕsinｇAｍeriｃaｎtermquoｔaｔions。Forｓimｐlicity,assuｍeeaｃhmonthhａｓ３0daｙs.Ｗｈatisｔｈeinｔerpretationoｆｙｏurｒｅｓuｌtｓ？Ｓolｕtｉon:Theｆormｕｌawｅwａnttouｓeiｓ：fN，CＤ=［(ＦN(＄/CD)-S($／CD/$)／Ｓ（$/ＣＤ)］ｘ３60/Nf1,CD=[（．8０3７—。８０３7）／。8０37]x360/30=。０000f3，CD＝［（。8043-．8０37）/.8037］x36０/90=。00３0f６，CD=[（.8057-。８０３7）／。8０３７］x360/1８0=.0０50Thepａt(yī)teｒnｏfforwardprｅmiｕmｓｉｎｄicaｔestｈatｔhｅCanadiａndoｌlariｓtradｉngataｎincreａｓｉngpremｉumversustｈeU.S.ｄollar。Thatｉs，itbecoｍesｍorｅexpensive(iｎbothabsolutｅandｐercenｔageterms）tｏbuyaCanadianｄollａｒforｗａrｄfoｒU．S.dollａrstheｆurｔherintothefｕｔureoneｃonｔrａctｓ。?６。UsingExｈｉbｉt5．4,calculatｅtheoｎｅ－,tｈｒee-，andｓix—moｎthforｗardｐremiumorｄiscouｎtfoｒｔheU．S。dolｌａrｖerｓusｔheＢrｉtiｓhpｏｕndusｉｎｇＥｕropeantermquotationｓ。Ｆorsiｍpliｃｉtｙ，assｕmｅeachmonｔｈhａs3０ｄａys.Ｗhatiｓtheinterpretatiｏnｏｆｙourresuｌtｓ？Sｏlutｉｏn：Thｅformulawewanttouseis:fＮ,$=[（FN（￡／$）—S(￡/$））/S（￡/＄）］x360／Ｎf1,＄=[（。5２５1-.５242)/。5242]x3６0/３0＝-。０0２3ｆ３,＄=[（．526８—.5２４2)/.5242]ｘ36０/９0=—.0198f6,＄=［(.52９0-。5２42）/.5242]x３６0／180=-。0183ThepatｔernoffoｒwardｐremiumｓinｄｉcatestｈaｔtｈｅＢｒitisｈpｏundｉsｔradingaｔadiscｏuntvｅｒsustｈeU。S。ｄolｌar.Ｔhａt(yī)is,ｉｔｂecｏmesmoreｅｘｐenｓｉvetobuｙaU。S。ｄoｌlarｆoｒwardforBritｉｓｈpoｕnｄs（inabsolutebｕtnotpeｒcｅntaｇeｔerms）tｈｅｆuｒtherintothefutureonecｏnｔracts.7.Giｖenthｅfolｌowｉngiｎfｏrmatｉon,whataｒetheＮZD／ＳGDｃuｒrｅｎcyagaｉnstcurrenｃybid—askquotations？? ??AｍeriｃａnTｅrmｓ EuropeanＴerms BａnkQｕotations? Ｂｉd?Ask ?Bid?AskNewZealanddollar?.7２65 。７272 1.3751 １.3765Ｓinｇaporedolｌａr .6１3５ 。6140? 1.6287 1．6300Sｏｌution：Equaｔｉon５.1２frｏmｔheｔextimplieｓSb(ＮＺD/SGD）=Sb($/SGＤ)xSｂ（ＮZD/＄）=。６1３5x1．3765=.8445．Tｈｅreciprocａｌ，1/Ｓb（ＮZD／SGD）=Ｓａ（ＳＧD/ＮZD)=1．184１．Anaｌogously，ｉtisimpliedthatＳa（NZD/ＳＧＤ)=Sa($/SＧD)ｘSa（ＮＺD／＄)=.6１40x１．３765=。8４52.Thereciｐｒocaｌ，1/Sa(ＮZD／SＧD)＝Sb(SGD/NＺＤ）＝1。183２.Thus，ｔhｅNＺD／SGDbid—asｋsprｅadisNZD0。844５—ＮZD0.8452anｄtheSＧD／ＮZＤsｐｒeadisSGＤ１。1８３２-SGＤ1.１841.８。 ＡssumeyoｕareａｔradｅｒwithDeutscheBaｎk.Fromｔｈeqｕoｔｅscｒeｅnonyoｕrｃomputｅrteｒminal，ｙounｏticethatDresdnerBanｋisquotｉng€0。7627／＄1。00ａndCreditＳuｉsｓｅisofferiｎgＳＦ1。1806／＄1。00.YouleａｒnthatUBSismakinｇaｄiｒectｍarkｅｔbetweentheSｗｉssfrａnｃandthｅeuｒo，ｗiｔhaｃurreｎt€/SＦquoｔeof．6395．Sｈowhｏwyｏucanｍaｋeatｒiaｎgularａｒbｉｔragｅprｏfitbytradingaｔtheｓeｐriｃes．（Iｇnｏｒebid—asｋspreadsfoｒthisproblｅm.）Assumｅyouhave＄5,00０,000wiｔｈwhichtｏconductthｅarbiｔrａge。WhathappeｎsifyouinｉtiaｌｌyseｌｌｄollarｓfｏrＳwisｓfｒaｎcs?Wｈat€/ＳFｐricewilleliminａt(yī)ｅtrｉanguｌaraｒbitragｅ?Soluｔioｎ：TomａｋeaｔriaｎgｕlararbiｔrａgｅpｒoｆitthｅDeutscｈeBanｋtｒaderwｏuｌdｓｅll＄5，000,000ｔoDresdｎeｒＢankat€0.7627/$1。00．Thｉstradewouldyiｅld€３，81３,500=＄5,00０,000x.7６27.ThｅDｅuｔscheBanktradeｒwoｕlｄthenselltｈeeurosforSwissfrａncｓtoUniｏｎＢankofSwｉtｚerlａndａt(yī)aｐｒicｅof€0。６395/ＳF1。00，yｉeｌdingＳF5,963,２53=€3，８13，500/.6395。TheＤｅuｔsｃheBankｔrａderwｉｌlrｅｓelｌｔｈeSwissfranｃstoCreｄｉtSuisｓefor＄５,051,036=SF5,9６３，２53/１.18０6,ｙielｄｉngaｔriaｎｇulararbiｔｒａgeprofｉtｏｆ$５1，０36。IｆtheDｅutsｃhｅＢaｎktraderinitialｌysolｄ$5，００0,０00foｒSwｉｓｓｆｒaｎcs，ｉnsteａdｏfeｕｒoｓ，thetｒａdeｗoulｄyieldSＦ5,903,0０0=＄5，0０0，00０ｘ1.180６．ＴheSwiｓsfｒａncswouｌdinturnbeｔｒadeｄforeurｏstoUＢSfor€３，７７4，969=ＳF5,903，００0x．63９5．TheeuｒoｓwoulｄｂeｒesｏｌｄtoDreｓdnerBaｎkｆor$4，９49，481=€3，７７4，９６9/。76２７,oｒaloｓsof＄50,519。Tｈus,iｔiｓneｃeｓsaｒytｏconductthｅtriａnｇｕlararbｉtrageiｎthecｏrrectorder．ＴhｅS(€/SF)crｏssｅxchanｇｅｒateshｏuｌdbe．762７/1．１８０６＝．64６0．Thiｓisａｎeqｕｉlibriｕmraｔeatwhｉｃhatrianguｌaｒarbitｒageｐrｏfitwilｌnotexiｓt.（Tｈｅstuｄentcａｎdｅtermiｎeｔｈisforhimｓelf.)ＡproｆitresｕltsfromthｅtｒｉａngulａrａrbｉｔｒagewheｎdoｌlａrsareｆirstsｏlｄfoｒeuｒosｂecａuseＳwissfrancsarepurchasｅdfoｒeurｏsaｔtooｌowaratｅincoｍpaｒiｓontotｈeeｑuilｉbriumcｒoｓs-rate，i.ｅ．，Swissfrancsarｅpurchａseｄforonly€0。6３95／SF1。０0insteadoｆthｅｎo—arｂitrageｒateｏf€0．64６0／ＳF１。00．Simｉlarｌy，ｗhendoｌlａrｓａrefiｒstsoldforSwissfｒancs,aｎarbitragelossreｓuｌtsbｅcauseSｗisｓｆrancsarｅｓｏldforeuｒosattｏolowarate，resulｔiｎgｉｎtｏofeweurｏs．Thatis，eａchＳｗiｓsｆraｎｃisｓｏｌdfor€0.６３9５／SF1．0０inｓteadofthｅhigherｎo—arbｉtｒaｇｅratｅｏf€０。64６0/ＳF１．00.9．?Tｈｅｃurrenｔｓpｏteｘchanｇeratｅis＄1．9５/￡anｄｔhｅthree-monthforwaｒdrateis$１．90/￡。Basedｏnｙｏuｒａnalysiｓoftheeｘchanｇeｒaｔe，yｏｕaｒeprettｙcｏnfidenｔthatｔｈespｏtexchangeratewillbe$1.９2/￡ｉnthｒｅemonths．Assumetｈatyｏuwoｕlｄｌiketoｂuyorsell￡１，0０0，000．a(chǎn)．?Whatａctionsdｏｙｏｕｎｅedtotaｋetｏspeculaｔeｉntｈｅｆoｒwaｒdｍａrket？Whatiｓtheexpecteddoｌlａrprｏｆｉtfromｓpeculaｔion?b。 Ｗhaｔwouldｂeｙourspｅcuｌａt(yī)ivｅproｆitindｏllaｒtｅｒmsifthespotｅxchaｎgerａｔeactuaｌｌyturnsｏｕttobe＄1．86/￡.Solutiｏn：a．?Ifyｏｕbeliｅｖetｈesｐotexchangeratｅwｉｌｌbe$１.92/￡inthreｅｍｏnthｓ，youｓｈouldbｕy￡1，000，００0forwarｄfor＄1.90/￡。Youｒｅｘpectedprｏfｉtwilｌbe:＄20，000=￡１,000，0０0x(＄１。92—＄１。９０)。ｂ.?Ｉfｔｈeｓpｏteｘchaｎgeraｔeactuallｙｔｕrnｓｏuｔtｏbe$1。86／￡inthreemoｎtｈs，yourｌｏsｓfromｔheloｎgposｉｔionｗiｌlbe:—＄40,000＝￡1,000,0０0x（$1。８6-$1.90）。１0。?OmniAｄvｉsoｒs，ａｎｉnｔeｒｎationalpensioｎｆunｄmaｎageｒ，ｐlanｓｔoｓeｌlequitｉesｄeｎoｍinatedinSwissＦｒancｓ（ＣHF)ａndpurcｈaseanequｉvaleｎtamountｏｆeqｕitｉｅsdeｎominａｔedinＳoutｈAｆｒicanRands(ZAR）. ? Ｏmｎiwｉlｌrealizｅneｔproceｅdｓoｆ3millioｎＣＨFａt(yī)ｔhｅendof３0daysandwantsｔoelｉmiｎatetherｉｓｋthaｔtheZＡRwillａpｐreｃｉateｒｅlatｉvetotheCＨFdurinｇtｈis30-daypeｒioｄ。ＴhefollowiｎgexhibiｔshowｓcurrentｅｘcｈangeraｔeｓbetｗeentheZAR,CHF，anｄtheＵ。Ｓ．dｏllａr（UＳＤ）．CuｒreｎｃｙExchanｇeRatesZＡＲ／USDZAR／ＵSDＣHF／USDCHF/ＵSDMaｔuriｔyBｉｄＡskBidAskＳpｏt６。２68１６。27891.５２821。534330-ｄaｙ6。２538６。2641１．５２２61。52８５9０-day6.21046.２2001。50５81.511５DescribethecｕrｒencyｔransactiｏnthatOmniｓhoｕldｕndeｒtakeｔｏeliminaｔecurrencyriｓｋｏvｅｒtｈe30—dayperｉoｄ。Cａlcｕlatetheｆolｌowinｇ:?ＴhｅCHF/ZＡRｃross-ｃuｒrencyraｔeOmniwoulduseinvaluiｎｇthｅSwｉssequiｔypoｒtfｏlio。? ??ThecurrenｔvalueoｆOｍni’sＳｗissequityportfoｌioinＺAR.?TheaｎｎuaｌｉzedforwaｒdpｒemiumordiscoｕnｔatwhicｈtheZARiｓｔｒaｄinｇｖｅrsustｈeCHF。CFAＧuｉdelineAnｓｗer：ＴoｅliminａｔetｈecuｒｒeｎcｙrisｋarｉｓinｇfrｏmtｈｅposｓibｉliｔythaｔZARｗiｌlapｐｒeciateagaｉｎstｔheＣＨＦoverthｅnｅxｔ30—dayperioｄ,Omnisｈｏｕｌdselｌ3０-dayfｏrwardCHFagaｉｎsｔ30-dayfoｒｗardZARｄelｉvery（seｌｌ３0—ｄaｙfoｒwaｒdCＨFａgainsｔUSＤaｎｄｂｕy30-daｙforwarｄZARａgainsｔUSＤ）．Thecalculatｉonｓareaｓfolloｗs： ?Usingthecuｒrenｃyｃroｓsｒatesoftwoforｗardforeigncｕrｒencｉeｓanｄthrｅecurrencieｓ? ?（CHF，ZAR,USD)，theexcｈangeｗouｌdbeasｆoｌlows：?? --30dａｙforwardCHＦaｒｅｓoｌdｆｏrUＳＤ.Ｄollａｒｓａrebｏughtａt(yī)theｆoｒｗardｓellinｇ? ?ｐricｅofCＨF1.528５=$1（doneatasｋsideｂecａusegoingfｒomcurrｅncｙｉntｏ ? ｄoｌlars）? ?－-3０ｄayfoｒwardＺARareｐurｃhasedforUＳＤ.Dｏllarsaresimuｌｔaｎｅoｕslysｏldto ? ｐurchaｓeＺARattheｒaｔeof6.253８＝＄1(doneatｔｈebidsiｄebecausｅgoingｆｒom ?doｌlaｒsiｎtoｃurrency） —-Foreverｙ1.52８5ＣHFhelｄ，６.2538ZARarｅreｃeiｖｅd;ｔｈuｓｔｈecroｓｓcurrencyｒaｔｅiｓ ? １．52８5CHF/6.2538ZAR＝0.2４4４１１398.? ??Attheｔｉｍeｏfｅｘecutionofｔｈefoｒｗardｃｏｎtracts，thevalueｏｆｔhｅ3ｍillionＣHＦ ? ?equitypoｒtfoliowouｌdｂe3,0００，000CHF/0.244411398=1２,2７4，38６.６5ZAR. ? ?TｏcaｌｃulateｔheannuａｌizedprｅmiumordiscountofthｅZARagaiｎsttheCHFreｑuirｅｓ??? compaｒisonoｆthespoｔｓｅｌｌｉngｅｘｃｈanｇeｒａt(yī)eｔoｔhefoｒｗarｄｓelｌｉngpriceoｆCＨFfｏr ZAR。 Spotrate＝1．５343CHＦ/６．2681ZAR=0.２４４779120? ? 30dayｆｏrwardaｓkrａt(yī)e1.5285ＣＨF/6.25３8ZＡR=０.244411398? ? Tｈeｐｒeｍium/disｃｏuntformulaｉs：? ? ［（forwａrdrate–sｐoｔrａｔe)/spotrate]ｘ(３60/#dayconｔract）= ? ?［（０.2444１1３9８–０。244７７９12)/0.2４477912］x(360/30)=?? ?—1.8027126%=-1．8０%disｃouｎtZARｔoＣＨF

MIＮICAＳE：SHREWSBURYHERBＡLＰRODUＣＴＳ，ＬTD．ＳhｒeｗsburyHerbalＰroducｔs，lｏcatedｉnceｎtraｌEnｇlａndclosetｏthｅWelsｈｂordｅｒ，iｓanｏld—ｌineprｏducerofherbalteas,ｓeａｓonings，aｎdmedicines．ItsｐrodｕctｓａｒemarｋeｔeｄaｌloｖertｈeUnitedKingdoｍaｎdinmanypartsofcｏｎtｉnentaｌEuｒopeａsｗｅll．ＳhrewsbｕryHeｒbalgeneｒaｌｌyiｎvoicesｉnBritｉshpoｕndsterlｉngｗhenitsellstoforeigncustomersiｎoｒdeｒｔogｕａrdaｇainstadverseｅｘｃhanｇｅratechaｎges．Nevertheless,iｔhasjusｔｒeceｉｖedaｎordｅrfromalａrgｅwhoｌesａleｒinｃentralFｒancefｏr￡320,00０ofitsproducｔs，conditionａluponｄeliｖerybeingmaｄeinthreeｍoｎths’timeandtheoｒｄeriｎｖoｉcediｎｅuｒos.Shrewsbｕry’scｏｎtroｌｌｅr,EltoｎPeｔｅrｓ,iｓｃoncｅrnedwｉthｗhetheｒｔhepoundｗiｌｌapｐreｃiaｔeveｒsuｓtｈｅeurooverthｅnｅxttｈｒｅemoｎtｈｓ,tｈｕseliminａt(yī)ingallormosｔoftｈｅprｏfitwｈentｈeｅuｒoｒecｅivaｂｌeｉspaｉd。Hethinksthisｉsanuｎlikeｌyｐossiｂility,ｂuthｅdeｃideｓtoｃｏntactｔｈefirｍ’sｂankeｒforsｕggesｔioｎsaboutheｄgｉngtheeｘｃhanｇeratｅexpｏｓure.Mr.Petｅｒｓｌearnsfｒomthebankeｒthattｈｅｃｕrrenｔspotexcｈanｇerａｔeｉs€/￡is€１。45３7，ｔhustｈeinvoiceamountｓｈｏuｌdbe€４65，184．Ｍr。Ｐetｅrsalsolearｎｓthａt(yī)ｔhｅｔｈｒeｅ-ｍonｔhｆorwardratesfｏrthepoundａｎdｔhｅeuroｖｅrｓustheＵ。Ｓ.dollａraｒe＄1。89９0/￡1。00ａnd$1.3154/€1。００，ｒespecｔivelｙ．Ｔｈebａnkerofferｓtｏsetupａforwarｄheｄgeforsｅllｉnｇtheeｕrｏrｅceivaｂｌeｆorpｏundsterlｉnｇbａｓedｏnｔhe€/￡forwａrdｃｒosｓ—exchａngeｒateｉmplicitintｈefｏｒwarｄｒateｓagａiｎstthedｏlｌaｒ。WｈatwouldyouｄｏifyoｕｗeｒeMr。Ｐeｔeｒs?SuggｅsｔedSoｌｕｔiｏnｔoＳhreｗｓbｕrｙHerｂａlPｒｏduｃts,Ltｄ.ＮｏteｔｏInstructor：Ｔhｉselｅｍeｎｔaｒｙcａsｅproｖidesanintuｉtｉvelooｋathedgiｎｇｅxchanｇeraｔeｅｘpｏsｕｒe。ＳtｕｄｅｎｔｓshoulｄnotｈaｖｅdifficuｌtywｉthｉtｅｖｅｎtｈoｕgｈhedgｉngｗiｌlnｏtbefｏｒmallyｄiｓcｕssｅｄuｎｔｉlCｈaptｅr8.ThecasｅiｓcｏnsiｓｔｅntwiththediscuｓｓiｏnｔｈａｔacｃompａniesExhiｂit5.9ｏfthｅtext。ProfｅssoroｆＦｉnaｎce，BａnｉkantaＭiｓhrａ，oｆXavieｒInstituteofＭanaｇｅmenｔ–Bhubａｎｅｓwａr，SupｐｏsｅShrewsbuｒyｓｅllsatａｔwｅntypｅrceｎtｍaｒkup．Ｔhustｈｅcoｓttotheｆｉｒmofｔhe￡３20，000ordｅris￡2５6，000。Ｔhus，thepounｄcouldapprｅciaｔeｔo€4６5,184／￡２5６，０0０＝€１．8１71/1。０0ｂeforｅallprofｉtwaｓeliｍiｎateｄ．Thisseｅmsraｔｈｅｒunlｉkｅly.Nevertheｌｅss，atenpeｒｃｅntapprｅciaｔｉonoｆthｅpound（€1.４53７x１.10）tｏ€１．５991/￡１．００woｕldonｌyyｉeldaprofitｏf￡３4,９０4(=€465,184/1。５991－￡２5６,000）．ＳhrｅｗsburycaｎhｅdgeｔheexｐosurebyｓellｉngtheｅｕrosｆorｗａrdｆorBritishpouｎdsaｔF3(€／￡）=F3（$／￡)÷F3（$/€)=1.8990÷1。3154＝1。44３７.Atｔhiｓfｏrwaｒdexchａngeｒate，Shｒewｓburycａn“l(fā)ｏcｋ-in”aprｉceoｆ￡３2２，217(=€465,1８4/1.443７）fortheｓalｅ.Theｆｏrwａrｄeｘchangeｒａt(yī)eindicａｔesthattheeuroistｒadingatapreｍiumtotｈeBriｔｉshpoundｉnｔheforｗarｄmａrkｅt.Thus,ｔｈeｆorwarｄｈｅdgｅallｏwsSｈｒewsburyｔolｏck－iｎaｇrｅａt(yī)eｒamｏunt（￡2，21７)tｈanifｔheeｕｒoreｃｅｉvａblewasｃonverｔｅdｉｎtopouｎdsaｔthｅcuｒｒｅｎtsｐotIｆthｅeurｏwaｓtrａdinｇａt(yī)ａｆorwaｒdｄiscount,Shｒewsburywouldｅｎdｕｐlockｉｎg—iｎａnamouｎtｌｅsｓthan￡32０,000。Ｗhetheｒthatwouldｌeadtｏalossforthｅcomｐａnywｏulddｅｐeｎｄuｐontheeｘteｎtoftｈediｓcoｕntａndtheamountｏfｐroｆitbuｉlｔintｏthepricｅｏf￡320，０00.Onlyiｆthｅforwardexｃhaｎgeｒａt(yī)eiｓｅｖｅnｗｉththespotraｔeｗiｌｌShrｅｗsbｕryreceiveｅｘactly￡320，０0０.Obviously，Sｈrewsbｕrｙｃoulｄensｕrｅｔｈａt(yī)ｉtｒeceiｖeｓｅxaｃtly￡320，００0atｔhｅeｎdoｆtｈree－montｈaccoｕntsrｅｃeivａblepeｒiodiｆｉtｃouｌdinvoicein￡。That,hｏwever，isnｏtacceptablｅtｏtｈeFrenｃｈwhoｌｅsａler。Ｗhｅniｎvoiｃingineuｒos，Shrewｓｂuryｃouldestａbｌishtｈeeuｒoiｎvｏiｃeamｏｕntbyｕｓｅoｆthｅforwarｄｅxchａｎgeratｅｉnsteaｄofｔhecurrentsｐotｒaｔe.Ｔｈeinvoiceamｏunｔinｔhatcａsｅwoｕldbｅ€４61,984=￡320,00０x1。44３7.Shｒewsburycannoｗｌoｃk-inareceｉptoｆ￡３20,000ifitsimuｌtａｎeoｕｓlyｈedｇeｓitseｕroｅxｐｏsｕｒｅｂyselliｎｇ€46１,９8４atthｅforwardraｔｅof１.４437．Tｈatｉs，￡３2０，０00=€４６1，９84／1．44３７．CHAPTＥＲ８MＡNAGEMENTOFＴRANSACTＩＯNEXＰOSＵＲESUGGESＴEDAＮSＷERSANＤSＯLUＴIONSTOENＤ－OF-ＣＨAPTERＱUESTＩＯNSANDPＲOBLEMSQUＥSTIＯNS1。Hｏwwouldyoudｅfｉnetranｓａctionｅxposｕre?Howｉsｉtdifferenｔfｒomｅcoｎomicexｐosuｒｅ？Answｅｒ：Trａnsaｃtioｎexpｏsｕrｅistｈｅsｅｎsitｉvｉtyofrealizedｄoｍｅsｔiccurreｎｃyｖaluesofｔｈefiｒm’ｓｃonｔraｃtuａlcaｓｈfloｗsdenｏminatediｎfoｒeｉｇｎcuｒrenｃｉestouneｘpeｃtedchａngesinｅxcｈangerates.Unlikeecｏnomiｃeｘｐosure，ｔransacｔionexposuｒｅisｗｅlｌ－ｄeｆｉnedaｎdshort—ｔｅrm.2.Disｃussａnｄcompaｒeheｄｇｉngtｒａnsactiｏｎexposurｅusｉnｇthefｏrｗaｒdconｔｒaｃtｖs。moｎeyｍarｋetｉnstｒｕmenｔs。Wｈeｎdoｔｈｅalｔeｒnaｔivehedgｉngapproacｈｅｓｐｒoducethesａmeｒｅsulｔ?Answer：Hedgｉnｇtrａnsactionexpｏｓurebyaforwａrdcoｎtractｉsaｃhｉeｖedbysｅllingorbuyｉｎgforeｉgncurｒencyreceivabｌesorpayablｅsｆｏrｗard。Onthｅotｈerhanｄ,moｎeｙmarketheｄgｅisachieｖｅdｂyboｒrｏｗiｎｇorlendiｎgtheｐｒｅsenｔvalｕeofｆｏreiｇnｃurｒencｙｒeceivableｓorpayａbｌｅｓ,therebycreaｔingoffsｅttinｇforeigｎcuｒrencypoｓｉtions.Iｆtｈeｉnｔｅrestratｅpａｒitｙｉｓhｏldinｇ，theｔｗoheｄgiｎgmethodsaｒeeqｕiｖａｌｅnｔ。3.Disｃussandcoｍparｅtheｃoｓtsoｆhedgｉngｖiatｈｅｆｏrｗａrdcｏntraｃtandtheｏptｉoｎscｏｎtrａcｔ。Ansｗeｒ:Thereｉsｎｏｕp-fｒontｃostofhｅdgingｂyforｗａrdcｏnｔrａｃts.Iｎthｅcａｓeｏfopｔiｏｎｓhｅdｇinｇ，hｏｗeveｒ，heｄｇｅｒsshouldｐayｔhｅpｒemｉumsforthｅcｏntractsuｐ－front.Tｈecoｓｔofｆｏrwａｒdhedgｉng，howevｅr,mａyｂerealｉzedexpｏｓｔwｈｅntｈehｅdgｅrrｅgrｅtshis/ｈerhｅｄgingdecision．4.Whataretheadvaｎｔaｇeｓoｆacurrｅｎｃyopｔionｓcoｎtｒａctasaｈedgiｎｇtoolcompａｒedｗiththeｆoｒwardｃontraｃt?Answer：Ｔhemａinaｄvantageｏfｕsinｇoptionｓｃｏnｔrａctsfoｒｈedginｇiｓtｈatｔhehｅdgercandeciｄeｗhethｅrtoexerciｓeoｐtｉoｎsｕponobsｅrviｎgtheｒeａlｉzedfutｕreｅxｃhanｇerate．Ｏpｔioｎsｔhusｐｒovideahｅdgeaｇainｓｔexpoｓtregｒetthatfｏｒｗardｈedgｅrmighｔhaveｔosuffeｒ。Heｄgersｃａｎonlyｅlｉmｉｎatｅｔhｅdｏｗｎsideriskｗhｉlereｔａiningtheuｐsidepotｅntiａl。5．SupｐoseｙourcｏmpanyhaspurcｈasｅｄａpｕtopｔionｏntｈeGeｒmａnmarkｔomanageｅｘｃｈaｎgeｅｘpｏsuｒｅassociateｄwiｔhanaccouｎｔrｅceivabｌeｄeｎomｉnａt(yī)ｅdｉnｔhａｔcurrencｙ.Inｔhiscａse,yoｕｒcompａnyｃａnｂｅsaidtｏhaveａｎ‘inｓuranｃe’pｏlｉcｙonｉｔsｒｅcｅｉvａbｌe.Eｘｐｌainｉｎwhatseｎsetｈisisso.Aｎsｗｅr:Ｙourｃoｍpaｎyiｎthisｃaseknowsinaｄvanｃeｔhａｔiｔwｉllreceiveaｃertaｉnminimumdollarａmountｎoｍatterwhatｍigｈｔhappｅｎtｏthe＄/€ｅxchaｎgｅｒate。Fuｒthｅrｍorｅ，iｆtheＧermaｎｍａrｋａppreciates,yoｕrｃomｐａｎｙｗｉｌlbenefｉtfｒoｍthｅrisｉngｅuro.６．Reｃeｎtｓurveysｏｆcoｒｐｏraｔｅｅxchaｎgeｒｉskmanaｇeｍentpracticeｓｉｎdicatethａt(yī)maｎｙU．S。ｆirmsｓimplｙdonothedｇe。Hｏwwoulｄｙouｅｘplaｉnthisreｓult？Ａｎswer:Therecanｂｅｍａnｙpossｉｂｌereasonsｆoｒｔhis。First，maｎyfｉrmsmayfｅeｌtｈattheyaｒeｎoｔrｅaｌｌyexposｅｄｔoexchanｇeriskdueｔopｒｏdｕｃtdｉｖerｓiｆication，diｖersiｆiedｍarketsｆortｈeirpｒｏducts,ｅｔc。Seｃoｎｄ，fｉrｍsmaybeｕsinｇsｅｌf—inｓurａncｅaｇainsｔeｘchaｎgｅrｉsk.Tｈirｄ，fiｒmｓmaｙfeelｔｈａｔshareｈolderｓｃanｄiveｒsifyｅxcｈａngｅｒｉskｔhemselｖes，rendeｒiｎgcｏrporatｅrｉｓkｍaｎagｅmeｎｔuｎneｃessａry．7.Shｏuldaｆirmhedge?Ｗhyｏrwhyｎot?Aｎswer：Inaperfｅctｃapｉｔａlｍarket,firmsmaynotneedtoheｄgeeｘchａngerisｋ．Butfirmscanaddtｏtheirvａlｕebyｈedgingifｍarkｅtsａｒeｉｍperfect．Fｉｒst,iｆmanａｇｅmｅntknｏｗsａboutthefｉrm’sｅxpｏsuｒebettｅrthanshareｈｏlｄｅrs，thｅfiｒｍ，notｉｔｓsharehoｌｄers，shouldhedｇe。Ｓｅcond，firmsmaybｅableｔｏhｅdgeaｔaloｗｅrcｏst.Tｈirｄ,ｉfdefaｕltcｏｓtsaresiｇｎificａnt，coｒporateｈedgingｃａｎbejuｓtiｆiablｅbeｃａuｓｅiｔｒeduｃeｓｔheproｂabilityofdefaｕｌt。Ｆｏurth，ifｔheｆｉrmfaｃesproｇressｉvetaxｅs,ｉtcaｎredｕcetaｘoblｉgationｓbyheｄgiｎgwhichsｔabilizｅscorpｏrateearｎiｎgs．8。Ｕsinganｅxaｍpｌe,discusstｈｅｐosｓｉbleｅffｅctｏfheｄｇingonａfiｒｍ’sｔaxobｌigaｔions.Answeｒ：Oｎeｃａnuseａｎｅxampleｓimｉlａrtothｅoｎeprｅsｅｎteｄiｎtheｃｈapteｒ.?9。Explaincontingｅntｅxｐosuｒeanddisｃｕssthｅadvaｎｔagesｏfuｓingcurｒｅncｙoｐtｉoｎstoｍaｎageｔhｉsｔｙpｅｏfcuｒrencyｅxｐosure．Ａnswer：Compａniesｍayencounterasiｔuationwｈeretheｙｍayormａynotfacecurrencｙeｘposｕrｅ。Intｈｉｓｓｉtuａt(yī)ｉon，ｃomｐanｉeｓneedoptiｏns，ｎｏｔoｂligatｉons，toｂuｙorselｌａgiｖｅnaｍoｕｎtｏfforeigneｘcｈanｇetｈeymayｏrmaｙｎotｒｅceｉveorhavetopay。Ifcoｍｐａnieseitheｒheｄｇeusｉngforｗarｄcoｎtractｓorｄonothｅdgeaｔaｌｌ,thｅymayｆacｅｄｅfｉnitecｕrrｅｎcyｅxposｕｒe。1０。Eｘplaｉncroｓs-heｄgingａnddisｃｕsｓthefactorsdetｅｒminingitｓｅｆｆｅcｔiveｎesｓ。Ａnswer：Crosｓ－h(huán)edgｉngｉnvolvesｈedgingapｏｓitioｎinoneａｓｓetbytａkｉngapositｉonｉnanotherassｅt。Theefｆectｉvenｅｓsofcross—hedgｉｎgwoｕlddｅpeｎdontheｓｔrengthａnｄsｔaｂiｌｉtｙoｆtｈｅｒelatiｏnshiｐbｅtｗeenthetwoasseｔｓ。

PＲOBLEMS（a)Whatistheeｘpecｔedgain/lossfｒｏmｔhefｏrwaｒdhedging？(b）IfyoｕwerethefinaｎciaｌmａｎaｇerofCrayＲeｓearcｈ，woｕldyourecommendhedgingtｈiseuroreceivａｂle?Ｗhyorwhynoｔ？（c)Supｐosｅtheｆoreｉgｎexchanｇeａｄvisoｒｐredictｓthatthefｕｔuｒesｐotraｔeｗillｂethesameaｓthｅfｏrwarｄｅxchａngｅrateqｕoｔｅdtodaｙ.Wｏuｌdyoｕｒecommendｈeｄgingiｎthiscａse?Whyorwhynot？Solｕｔion:(a）Expectedｇａｉn($)=１0,0００，０00（1．1０–1。０５)=１0，0００,００0(。0５）＝$５00，000。（b)IwouldｒecommｅndhｅdgingbeｃausｅCraｙＲｅｓeａrchｃａnｉｎcreasetheexpecｔeddollaｒｒｅceipｔby$5００，００0ａｎdaｌsｏｅliminatetｈeｅxｃhａnｇerｉsｋ。(c)SｉnceIeｌimｉnａt(yī)ｅriskwithouｔｓacｒificｉｎｇdｏｌlａrrｅcｅiｐt,Isｔillwｏulｄｒecommeｎｄｈｅdging。（a)Eｘplaintｈeproceｓsofamｏnｅymarketheｄgeandcｏmputｅthｅdoｌｌａrｃｏsｔoｆmeetｉngtｈeyenoｂligaｔioｎ。(b)Conｄｕctthecaｓｈｆlｏｗanaｌyｓｉｓｏｆtｈemoneymａrketｈedge。Ｓoluｔion:(a)。Ｌet’sfirｓtcｏmputethePVof￥250million，ｉ。ｅ。，２5０ｍ/1.0175=￥２４5，７0０，2４5。7SｏiftｈeabovｅyenａmounｔisｉnvｅstedtodayattheＪapaｎｅｓeinterestrａt(yī)eforthreemonths，themａt(yī)uｒiｔｙvaluｅwiｌlbeexactｌyequａlｔo￥25ｍｉllionｗhichisｔheamountoｆpa