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Payables Borrow at Home Call options I p S 32% 0.3045 54% 0.3065 14% 0.3156 $ E [CF] 2,081,749.34 SD 239 36.40 II F 0.3099 A 6,777,984 $ CF...

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Company Y has payables of 6,777,984 BRL in 9 months. The spot BRLUSD is 0.3032. Forecast indicates that the BRL could either end up with a value of $0.3045 (32% chance), a value of $0.3065 (54% chance) or a value of $0.3156 (14% chance). The US interest rates are: deposit 3.17% and borrowing 3.19% and the Brazilian rates are: deposit 3.31% and borrowing 3.37%. 9-month forwards on the BRL are priced for $0.3099. Put options with 9 months expiration and strike price of $ 0.3014 are available for a premium of USD $0.0016 and call options with 9 months expiration and strike price of $ 0.3152 are available for a premium of USD $0.0013.



Hedging Payables.png

Hedging Payables.png

Payables Borrow at Home Call options
I p S
32% 0.3045
54% 0.3065
14% 0.3156
$
E [CF] 2,081,749.34
SD 239 36.40
II F 0.3099
A 6,777,984
$
CF 2,100,497.24
Deposit
Ill r US 3.17%
r PLN 3.3 1%
maturity 0.75
5 0.3032
F 0.302935825
A 6,777,984
$
CF 2,053,294.17
IV p S
32% 0.3045
54% 0.3065
14% 0.3156
$
E [CF] {2,090,181.15}
SD 23027.71161 A CF 6.777.984 2063 896. 1
6,777,984 20774521
6,777,984 2139 131.8 Borrow
3.19%
3.37% A X 6,777,984 0.3 1 52
6,777,984 0.3 1 52
6,777,984 0.3 1 52 c CF 0.0013 -2072707.507
0.0013 -2086263.475
0.0013 -2145231.936

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