AMIS624X33 - P Spot Rate Strike Price Fair Value 12/01/2001...

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P 12/01/2001 12/31/2001 03/01/2002 Option Value 12/01/2001 12/31/2001 03/01/2002 Spot Rate $1.20 $1.14 $1.15 Time Value $2,500 $1,000 $0 Strike Price $1.16 $1.16 $1.16 Intrinsic Valu 0 2,000 1,000 Fair Value $2,500 $3,000 $1,000 Total $2,500 $3,000 $1,000 Both Transactions Involve 100,000Euros 12/01/2001Accounts Rec 120,000 12/01/2001FX-Contract V 2,500 Sales 120,000 Cash 2,500 12/31/2001FX Loss 6,000 12/31/2001FX-Contract V 500 Accounts Receivable 6,000 FX Gain 500 03/01/2002Accounts Rec 1,000 03/01/2002FX Loss 2,000 FX Gain 1,000 FX-Contract Value 2,000 Cash 115,000 Cash 1,000 Accounts Receivable 115,000 FX-Contract Value 1,000
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Forward--Case to Sell Foreign Currency 10/17/2001 12/31/2001 01/15/2002 F'wd Value 10/17/2001 12/31/2001 01/15/2002 Spot Rate $1.10 $1.12 $1.03 Get $105,000 $105,000 $105,000 Forward Rate $1.05 $1.07 $1.03 Give 105,000 107,000 103,000 Effect/Discounting Net $0 ($2,000) $2,000 Discounting n/a 0n/a Both Transactions Involve 100,000Euros Value of FX $0 ($2,000) $2,000
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This note was uploaded on 08/06/2011 for the course AMIS 624 taught by Professor Wallin during the Summer '11 term at Ohio State.

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AMIS624X33 - P Spot Rate Strike Price Fair Value 12/01/2001...

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