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Financial management bank - Primostka LO

8.5. Valyutnі optsіoni - Yak іnstrumenti hedzhuvannya currency riziku

Monetary optsіon - tse contract yaky nadaє right pokuptsevі (ale not zobov'yazuє) kupіvlі abo sale obumovlenoї sumi currency for fіksovanim heading viznachenu date abo protyagom viznachenogo perіodu in maybutnomu in obmіn on optsіonnu premіyu, viplachenu prodavtsevі optsіonu.

Priznachennya Monetary optsіonіv polyagaє in zahistі od vlasnika nespriyatlivih Oscillations Monetary kursіv. Vodnochase, Yakscho exchange rate at zmіnivsya spriyatlivomu for vlasnika napryamku then optsіon daє mozhlivіst skoristatis perevagami. In tsomu razі vlasnik Mauger obmіnyati currency for vigіdnіshim rinkovim course, not koristuyuchis optsіonom. Monetary optsіon obmezhuє participant rizik foreign exchange market analysis, pov'yazany Zi zmіnami Monetary kursіv. Rozmіr riziku at vikoristannі optsіonu yak іnstrumentu strahuvannya Monetary rizikіv obmezhuєtsya rozmіrom optsіonnoї premії. Premia, tobto vartіst optsіonu, deposits od spіvvіdnoshennya spot currency exchange rates at the time she lands ukladennya rate optsіonu and takozh od trivalostі perіodu dії optsіonu.

Yakscho optsіon daє viznachenoї right to sell the currency, the tse optsіon PUT for danoyu currency. When nadannі right kupіvlі currency optsіon nazivaєtsya CALL for danoyu currency. Vkazuvannya mean currency s titles optsіonu obov'yazkove, oskіlki optsіon PUT Je odnochasno optsіonom CALL for tієyu currency, yak prodaєtsya optsіonna currency i navpaki. Napriklad, optsіon PUT for Dolar US yaky peredbachaєtsya zdіysniti for nіmetskі brand odnochasno Je optsіonom CALL for brands.

kotiruvannya optsіonіv, yak zvichayno proponuє Bank svoїm klієntam, imposed in Table 8.4. In lіvomu stovptsі tablitsі imposed bazovі tsіni vikonannya for optsіonu CALL schodo dolarіv for nіmetskі brand. Dali imposed tsіni kupіvlі that sale optsіonu fallow od trivalostі (1 mіs., 3 mіs., 6 mіs., 1 Year). Premії filed rozrahunku: pfenіngi per Dolar.

table 8.4

Premії kupіvlі-sale optsіonu sall for Dolar

W danih Table. 8.4 bachimo, scho Bank prognozuє zmіtsnennya Dolar h hour (tse vіdbivaє pіdvischennya premіy). So, Yakscho klієnt Got Namir buy optsіon CALL for Dolar 3 mіsyatsі s tsіnoyu vikonannya USD / DEM = 1.60 for the amount of $ 1,000., The optsіonna Premia stanovitime DM 61,50. Taqiy optsіon Dusty mozhlivіst yogo vlasniku to whether yaky day protyagom troh months at dati od kupіvlі pridbati $ 1,000. of course USD / DEM = 1.60. Yakscho vlasnik virіshit rotate optsіon to the bank, the bank possessed od premіyu in rozmіrі DM 58,50. Rіznitsya mіzh tsіnoyu sale that kupіvlі stanovitime DM 3 i yavlyatime him dohіd bank.

To conduct rozrahunkіv for optsіonnoyu lands vіdvodyat 2 robochі dnі. Tom Monetary optsіon Got Booty pred'yavleny to vikonannya yogo yak vlasnikom not pіznіsh 2 robochі dnі to dati rozrahunkіv minds of acceptance for rіshennya about Yogo vikonannya.

Vikoristannya Monetary optsіonіv kompanіyami for strahuvannya Monetary rizikіv dotsіlne such vipadkah:

• if h is the scrip Monetary nadhodzhen i platezhіv not exactly viznachenі and otzhe, zastosuvannya forvardіv that f'yuchersіv nemozhlive;
• when zahistі eksportnih abo іmportnih tovarіv, SSMSC chutlivі to zmіni tsіn, virazhenih in konkretnіy valyutі;
• when publіkatsії preyskurantіv on svoї goods in іnozemnіy valyutі;
• for pіdtrimki komertsіynoї Offers on ukladannya kontraktіv іz zarubіzhnim partner SSMSC otsіnyuyutsya in іnozemnіy valyutі.

For bankіv mainly napryamkami vikoristannya Monetary optsіonіv Je strahuvannya vіdkritoї valyutnoї pozitsії ta Zahist іnvestitsіynogo portfolio denomіnovanogo in іnozemnіy valyutі.

The stock 8.5.

Monetary OPTSІON

10 kvіtnya amerikanska kompaniia vіdvantazhila goods, for yaky Got to win a viruchku sumі 1 million nіmetskih brands protyagom Travnia, ale exact date nadhodzhennya koshtіv nevіdoma. So rank, in kompanії utvorilasya dovga Monetary pozitsіya for brands. Spot-on course of becoming 10/04/98 USD / DEM = 1.7200. Pіslya otrimannya payment kompanії neobhіdno Dolar bude pridbati for brand for kupіvlі materіalіv US Rink.

Yakscho manager kompanії prognozuyut pіdvischennya rate brand protyagom perіodu kvіtnya of 10 to 31 Travnia, the Monetary rizik, scho Winick at kompanії in zv'yazku s pay in stamps can not hedzhuvati. Well Yakscho managers do not toil nadіynogo forecast abo ochіkuyut padіnnya rate brand vіdnosno Dolar, the Monetary rizik dotsіlno prohedzhuvati. In danіy situatsії hedzhuvannya for Relief f'yuchersіv neefektivne, oskіlki termіni vikonannya f'yuchersnih kontraktіv that zdіysnennya payment not zbіgayutsya. Forward lands takozh malopridatna to describe vipadku, oskіlki in nіy neobhіdno fіksuvati exact date of payment. Manager Tom kompanії zvertaєtsya to bank i kupuє Monetary optsіon. Tse - optsіon PUT for stamps for the amount of 1 million, amerikanskogo type s 01.05.98 to 31.05.98, s tsіnoyu vikonannya USD / DEM = 1.7200. Optsіonna Premia becomes $ 10,000. Platіzh Mark kompaniia won 5.29.98. Yakimi results will hedzhuvannya currency riziku, Yakscho spot rate on the date of otrimannya koshtіv Taqiy:

a) USD / DEM = 1.7200; b) USD / DEM = 1.7500; in) USD / DEM = 1.7000?

Rozv'yazannya

In Persha vipadku (varіant a) vikonannya optsіonu not nadaє perevag kompanії, oskіlki Cena vikonannya i spot rate spіvpali. Kompaniia vtratila optsіonnu premіyu in rozmіrі 10 000 USD., For the bank scrip tsya Well Je income.

In another vipadku (varіant b) kompaniia pred'yavlyaє optsіon to vikonannya i oderzhuє 581395 dollars. (1000000: 1.7200). Yakscho b manager is not pridbav optsіon, the 29/05/98 at obmіnі marks for spot rate used kompaniia won 571,428 dollars. (1000000: 1.7500). Vigrash, yak rіznitsya mіzh danimi Sumy, becoming 9967 dollars., Scho mayzhe dorіvnyuє optsіonnіy premії viplachenіy kompanієyu at ukladannі land. Otzhe at spot kursі USD / DEM = 1.7500 Danian optsіon becoming okupnim for vlasnika i do not prinіs pributkіv ni, ni zbitkіv anі kompanії, anі bank. When padіnnі rate brand nizhche rіvnya 1.7500 kompaniia won b Prybutok od operatsії s optsіonom, and the bank - zbitki.

Yakscho course zmіnivsya to rіvnya USD / DEM = 1.7000 (varіant in), then kompanії vigіdnіshe obmіnyati brand dіyuchim of course i will win 588,235 dollars. In this razі optsіon vtrachaє vartіst. Kompaniia vtrachaє optsіonnu premіyu 10,000 USD., Ale vigraє zavdyaki zmіtsnennyu rate brand. Tsey vigrash becoming 6840 dollars. (588235 - 581395). Result for kompanії - vtrati koshtіv rozmіrі in 3160 dollars. (10000 - 6840). Suma dohodіv bank becomes $ 10,000.

RESULTS PUT optsіonu for brands to pokuptsya optsіonu grafіchno navedenі in Fig. 8.1.

Fig. 8.1. Result optsіonu PUT to pokuptsya

W grafіka bachimo, scho at znizhennі rate of 1.7500 marks nizhche pokupets optsіonu pochne oderzhuvati od Demba Prybutok. When zmіtsnennі brand vische od exchange rate USD / DEM = 1.7200 optsіon vtrachaє vartіst, i vitrati kompanії on Monetary riziku strahuvannya stanovlyat $ 10,000. At the time of Danian pridbannya optsіon not vnutrіshnoї vartostі MAB and MAB hours vartіst deprivation, yak viznachalas rіvnem mіnlivostі rate mark-Dolar.

Forecast Bank schodo rate Change log protyagom Travnia dorіvnyuvav USD / DEM = 1.7500, scho Bulo vіdobrazheno in rozmіrі optsіonnoї premії. For sellers optsіonu duzhe vazhlive values ​​Got forecast zmіni Monetary kursіv, oskіlki nadіyny i accurate predictions daє zmogu bank uniknuti vtrat she did not zavischuvati vartіst optsіonu.

The stock 8.6.

TSІNOUTVORENNYA Monetary OPTSІONІV

Klієnt pridbav in bank optsіon CALL US for Dolar for the amount of $ 1,000. Termіn dії optsіonu - 30 dnіv, Cena vikonannya USD / UAH = 3,70. The spot rate on the date of becoming pridbannya optsіonu USD / UAH = 3,80. Optsіonna Premia dorіvnyuvala 300 UAH. I know that Neobhіdno vnutrіshnyu hours vartіst danogo optsіonu.

Rozv'yazannya

Vnutrіshnya vartіst becoming 100 UAH .:

(3,80 - 3,70) • 100 = 1,000.

Chasova vartіst - 200 UAH. (300 - 100 = 200).

Taqiy rozrahunok pridatny for klієnta, if optsіonna Premia vzhe vіdoma. Todі hourly vartіst obchislyuєtsya yak rіznitsya mіzh optsіonnoyu premієyu that vnutrіshnoyu vartіstyu optsіonu. For bank processes rozrahunku chasovoї vartostі uniquely skladnіshy i vrahovuє vpliv tsіlogo number faktorіv on zmіnu Monetary kursіv. In tsomu prikladі mozhna dіyti visnovku, scho Bank prognozuvav zmіnu rate grivnі to Dolar protyagom mіsyatsya to rіvnya USD / UAH = 4,00:

(X - 3,70) • 1000 = 300 (UAH.);

x = 4.00.

Klієnt obsessed Prybutok for optsіonom in razі, Yakscho Dolar rate pіdnіmetsya vische prognozovanogo Bank rіvnya. Yakscho klієnt skoristaєtsya optsіonom kursі at USD / UAH = 4,00, then pokupets ni, ni Seller optsіonu not matimut pributkіv. And at the moment Yakscho realіzatsії optsіonu perebuvatime course іntervalі od 4.00 to 3.70 UAH. for Dolar, the Prybutok obsessed bank.