回答国际金融answer to ch7.pdfVIP

Answertoch7

1.

$1,700+[($1.3140-$1.3126)+($1.3126-$1.3133)

+($1.3133-$1.3049)]xEUR125,000=$2,837.50,

whereEUR125,000isthecontractualsizeofoneEURcontract.

4.

IfyouexpecttheMexicanpesotorisefrom$0.90975to$0.97500per10MXN,youwould

takealongpositioninfuturessincethefuturespriceof$0.90975islessthanyourexpected

spotprice.

Youranticipatedprofitfromalongpositioninthreecontractsis:3x($0.097500-

$0.090975)xMP500,000=$9,787.50,whereMXN500,000isthecontractualsizeofone

MXNcontract.

Ifthefuturespriceisanunbiasedpredictoroftheexpectedspotprice,theexpectedspotprice

isthefuturespriceof$0.90975per10MXN.Ifthisspotpricematerializes,youwillnot

haveanyprofitsorlossesfromyourshortpositioninthreefuturescontracts:3x($0.090975

-$0.090975)xMP500,000=0.

5.

Youranticipatedprofitfromashortpositioninthreecontractsis:3x($0.090975-

$0.077500)xMP500,000=$20,212.50.

Ifthefuturespriceisanunbiasedpredictorofthefuturespotpriceandthispricematerializes,

youwillnotprofitorlosefromyourlongfuturesposition.

6.

a.Thebasispointvalue(BPV)ofaEurodollarfuturescontractcanbefoundbysubstituting

thecontractspecificationsintothefollowingmoneymarketrelationship:

BPVFUT=ChangeinValue=(facevalue)x(daystomaturity/360)in

yield)=($1million)x(90/360)x(.0001)=$25

Thenumberofcontract,N,canbefoundby:

N=(valueofspotposition)/(facevalueofeachfuturescontract)=($100million)/($1

million)=100

ThereforeonSeptember20,Johnsonwouldsell100(or102)DecemberEurodollarfutures

contractsatthe7.3perce