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SOFTWAREUSER’SGUIDE*
*TheSoftwareUser’sGuidealsoappearsonthetextwebsite.
ThesoftwarethataccompaniesInternationalFinancialManagementconsistsoffourspreadsheetsprograms.AllarewrittenasExcelspreadsheets.ThespreadsheetprogramsareFXOPM.xls,CURSWAP.xls,MPTSolver.xls,andTRNSEXP.xls.
FXOPM.xls
FXOPM.xlscalculatesthecallandputpremiumsaccordingtotheBigerandHull,GarmanandKohlhagen,andGrabbeEuropeancurrencyoptionpricingmodel.SampleoutputfromFXOPM.xlsfollows.ThesampleoutputisfromExample7.6inChapter7.
FXOPM.xlscanbeusedtosolveProblem11inChapter7.
EUROPEANFXOPTIONPRICINGMODEL
SpotRate(D)=
122.00
ForwardRate(D)=
122.53
SpotRate(F)=
81.97
ForwardRate(F)=
81.61
U.S.InterestRate=
0.5375%
ForeignInterestRate=
-0.93%
ExercisePrice=
122.00
OptionVolatility=
15.985%
DaystoExpiration=
108
YearstoExpiration(T)=
0.2959
d1=
0.0933
N(d1)=
0.5372
d2=
0.0064
N(d2)=
0.5025
CallOptionPremium=
4.50
PutOptionPremium=
3.97
CURSWAP.xls
CURSWAP.xlssolvesfortheall-in-cost(AIC)ofafive-yearcurrencyswapfromtheperspectiveofacounterpartypayingtoaswapbankfixed-ratedU.S.dollarsandreceivingfromtheswapbankfixed-ratedforeigncurrency(FC).Thespreadsheetrequirestheusertoenterinformationintothecellshighlightedinblue.Theusermustinputseveraldataitems:thefaceamountoftheFCbondissue,thebondcouponrate,theofferingprice(OP)ofthebondexpressedasapercentageoffacevalue,theunderwritingfeeexpressedasapercentageoffacevalue,thecurrentspotbidandaskforeignexchangeratesinEuropeanterms,theFCbidandaskswaprates,andtheU.S.dollarbidandaskswaprates.CURSWAP.xlscalculatestheAICoftheFCbondafterunderwritingfees,determinestheFCcashflowsneededtomeettheFCdebtservice,calculatestheFCnotionalvalueattheFCswapbidrateandconvertsitintotheU.S.dollarequivalentnotionalvalueattheforeignexchangeaskrate.FromtheU.S.dollarnotionalvalue,thedollarpaymentstotheswapbankarecalculatedfromthedollarswapaskrate.Inthefarrightcolumn,theactualdollarcashflowsundertheswaptobereceivedandpaidundertheswaparesummarizedandtheAICisdetermined.TheexamplenumbersinCURSWAP.xlswhenitisfirstopenedsolvethecurrencyswapexampleinthe1991HarvardBusinessSchool“NoteonForeignCurrencySwaps”preparedbyWilliamB.Allen,Jr.,ScottP.Mason,andW.CarlKester.Theexampleanalyzesafive-yearSwissfranc-dollarcurrencyswapofaSF100,000,000,7.35%coupon,Eurobond.Theofferingpriceis100%ofpar,theunderwritingfeesare2.50%,thebid-askforeignexchangeratesare1.99950-2.00005,thebid-askSFswapratesare7.70-7.80%,andthedollarswapbid-askratesare16.25-16.35%.
CURSWAP.xlscanbeusedtosolveProblem5inChapter14.
CROSS-CURRENCYSWAPANALYZER
Year
FCBondCashFlow
FCReceived
$
Paid
Actual
$CashFlow
0
-97,500,000
-98,591,432
49,283,395
48,737,816
1
-7,350,000
7,350,000
-8,057,835
-8,057,835
2
-7,350,000
7,350,000
-8,057,835
-8,057,835
3
-7,350,000
7,350,000
-8,057,835
-8,057,835
4
-7,350,000
7,350,000
-8,057,835
-8,057,835
5
-107,350,000
107,350,000
-57,341,230
-57,341,230
AIC
7.98%
7.70%
16.35%
16.69%
FaceValue:
100,000,000
Bid
Ask
CouponRate:
7.350%
SpotFXRate:
1.99950
2.00050
OPas%ofPar:
100.000%
FCSwapRate:
7.70%
7.80%
UnderwritingFee:
2.500%
$SwapRate:
16.25%
15.35%
MPTSolver.xls
MPTSolver.xlsisanExcelspreadsheetbasedMarkowitzportfoliooptimizerthatallowstheusertoobtaintheoptimaltangencyportfolioontheefficientfrontierofasetofsecuritiesbyfindingtheportfolioitispossibletoconstructthathasthemaximumSharpemeasureofportfolioperformance.MPTSolver.xlsisbasedontheExcelSolvercapabilityfoundunderDataAnalysisapplications.Thus,itisveryversatileinsolvingavarietyofoptimizationproblems.Forexample,constraintscanbeestablishedtorestrictshortsellingorallowforunlimitedshortsellingintheconstructionofthetangencyportfolio.TouseMPTSolver.xls,theusermustinputtherisk-freerate,theexpectedreturns,thestandarddeviationsofreturns,andthepairwisecorrelationcoefficientsforamaximumofeightsecurities.Theuseralsoneedstoinputanarbitrarysetofinvestmentweightstoinitializetheoptimization.Itissuggestedthatequalweightsbeused.Theinputareasarehighlightedinblue.Iflessthaneightsecuritiescomprisetheinvestmentuniverse,saysixstocks,weightsofzeroshouldbeinputforAsset7andAsset8.Inthiscase,theoptimizationwouldbedonebyhavingSolvermaximizetheSharperatiobychangingthevaluesoftheinvestmentweightsofAssets1through6,ratherthanforeightsecurities.
SampleoutputfromMPTSolver.xlsispresentedbelow.TheinputdatausedinthesamplearefromTable1orCheol.S.EunandBruceG.Resnick,“InternationalDiversificationofInvestmentPortfolios:U.S.andJapanesePerspectives”,ManagementScience40,January1994,pp.140-161.TheoutputisconsistentwithTable2ofthearticle.
MPTSolver.xlscanbeusedtosolveProblem7inChapter15.
MARKOWITZPORTFOLIOOPTIMIZER
Asset
Return
StdDev
Weight
R(p)
1.726
Canada
1.390
6.140
-6.041%
Rf
0.000
France
2.060
7.730
5.639%
Germany
1.500
6.620
4.632%
Var(p)
17.721
Japan
2.130
6.440
39.504%
Switzerland
1.330
5.900
0.585%
StdDev(p)
4.210
U.K.
1.690
6.400
8.237%
U.S.
1.340
4.600
47.444%
Sharpe(p)
0.410
SumW(i)
100.000%
Canada
France
Germany
Japan
Switzerland
U.K.
U.S.
Canada
1.000
0.400
0.270
0.220
0.370
0.600
0.710
France
0.400
1.000
0.610
0.430
0.580
0.480
0.410
Germany
0.270
0.610
1.000
0.370
0.760
0.440
0.300
Japan
0.220
0.430
0.370
1.000
0.340
0.350
0.200
Switzerland
0.370
0.580
0.760
0.340
1.000
0.450
0.380
U.K.
0.600
0.480
0.440
0.350
0.450
1.000
0.530
U.S.
0.710
0.410
0.300
0.200
0.380
0.530
1.000
TRNSEXP.xls
TRNSEXP.xlsallowstheusertoobtainalternativehedgingsolutionsforaforeigncurrencyreceivableorpayable.Theusermustinputspot,expectedfuturespot,forwardand/orfuturesexchangerates,alongwithforeignanddomesticinterestratesandthecalloption(ifaFXreceivable)orputoption(ifaFXpayable)premiumandexerciseprice.OnemayenterhisownestimateoftheexpectedterminalspotexchangerateorusetheforwardorfuturesFXrateasthemarketdeterminedestimate.Theusershouldinputavalueofzeroforthevalueofavariablethathedoesnotknow.Theoutputsectionprovidesthealternativehedgingsolutionsto:anunhedgedalternative,forwardand/orfutureshedge,moneymarkethedge,andoptionshedge.Theunhedgedsolutionprovidesthe(uncertain)expectedreceiptorcost.Theoptionshedgealternativeexplicitlyrecognizestheopportunitycostoftheoptionpremiumatthedomesticinterestrate.ForaFXreceivable,theoptionshedgeyieldstheminimumreceipt;foraFXpayable,theoptionshedgeshowsthemaximumcost.SampleinputandoutputfromTRNSEXP.xlsfollows.
TRNSEXP.xlscanbeusedtosolveProblems2,3,4,and6inChapter
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