罗斯《公司理财》英文习题答案chap025

公司理财习题答案第二十五章AnswerstoEnd-of-ChapterProblemsB-209Chapter25:DerivativesandHedgingRisk25.1a.Aforwardcontractisanagreementtoeitherpurchaseorsellaspecificamountofaspecificgoodonaspecificdateataspecificprice.Itrepresentsanobligationonbothparties—thepartyagreeingtobuyinthefutureataspecifiedpriceandthepartyagreeingtosellinthefutureataspecifiedprice.b.Afuturescontractisidenticaltoaforwardcontractinthatitisanagreementtoeitherpurchaseorsellaspecificamountofaspecificgoodonaspecificdateataspecificprice.Itrepresentsanobligationonbothparties—thepartyagreeingtobuyinthefutureataspecifiedpriceandthepartyagreeingtosellinthefutureataspecifiedprice.Thedifferencebetweenfuturesandforwardsisthatfuturesarestandardizedcontractstradingonexchangeswithdailyresettlementwhileforwardsareagreementstailoredtotheneedsofthecounterparties.25.21.Futurescontractshavestandardfeaturesandaretradedonexchanges,whileforwardcontractsarelessstandardandarenottradedonexchanges.2.Riskpositionsinfuturesaregenerallyreversedpriortodelivery,whileforwardcontractsusuallyinvolvedelivery.3.Thefuturesmarketislargelyinsulatedfromdefaultriskbyfeaturessuchasmark-to-marketandmargincallprovisions.25.3a.i)$5.10ii)$5.00iii)$0.03+$0.05+$0.04-$0.02-$5.10=-$5.00b.i)$4.98ii)$5.00iii)$0.03+$0.05+$0.04-$0.02-$0.12-$4.98=-$5.0025.4Cont.ForwP=Facevalue(1+1r)/(1+11r)11Both1rand11rdecreased,but11rhas11thpower.Thus,(1+11r)11hasmoreeffectofdownwardshift.Therefore,thepriceoftheforwardcontractwillincrease.25.5a.Sellafuturescontract.b.Ashorthedgeisawisestrategyifyoumustholdinventory,thepriceofwhichmaychangebeforeyoucansellit.c.Buyafuturescontract.d.Alonghedgeisawisestrategyifyouarelockedintoafuturesellingpriceforagood.25.6MaryJohnsonisinvestingonwheatfuturesnotoncommoditywheat.Sinceshebelievesthatwheatfuturespricewillfallinthefuture,shewilltakeashortpositiononthewheatfuturescontract.25.7Yourfriendisalittlenaiveaboutthecapabilitiesofhedging.Hedgingwillreducerisk,butitcannoteliminateit.Therecanbeadifferenceinbasisbetweenthepricesintwodifferentlocales.Therandomnatureofthebasisaddsrisktohedging.Apartytoafuturescontractisalsosubjecttomark-to-markrisk.Finally,veryfewcontractsevermakedelivery.Withoutassureddelivery,thebasisriskmaybemagnified.Forexample,afarmerscontractsforwheatontheChicagoexchange,butisunabletodelivertoChicago.AnswerstoEnd-of-ChapterProblemsB-210Hemustsellhiswheatonthelocalmarket.ThelocalpricesmaybeverydifferentfromtheChicagoprices.Thetextdiscussesthesedifferencesmorefully.25.8a.P=50(1.048)/(1.050)2+50(1.048)/(1.052)3+50(1.048)/(1.055)4+1050(1.048)/(1.057)5=$968.84b.i).Thevalueoftheforwardcontractshouldfall.ii)P=50(1.048)/(1.053)2+50(1.048)/(1.055)3+50(1.048)/(1.058)4+1050(1.048)/(1.060)5=$918.3225.9StrategyToday’scashflowCashflowatmaturity1.Buysilver-S0S12.Longonfutures0S1-FLend$F/(1+rf)-F/(1+rf)FPayoffforthetwostrategiesarethesameinonemonthatthematurityofthefuturescontract.Therefore,S0=F/(1+rf)orF=S0(1+rf)25.10SincesheneedsUSdollarsoneyearlater,sheshouldbuyUSdollarfuturestohedgeagainstexchangeraterisk.25.11a.$300,000=C2010.0=8.51356CC=$35,237.89b.Interestratechanges.c.HedgebywritingafuturescontractonTreasurybonds.25.12a.i)$35,237.892012.0=$263,207.43ii)InterestrateTbondandShortpositioninTbondMortgageiii)Thelossonthemortgageisentirelyoffsetbythegaininthefuturesmarket.Thenetgainorlossiszero.b.i)$35,237.892009.0=$321,670.69ii)Theoppositetoii)ina.iii)Thenetgainorlossiszero.25.13a.A:$1,000/1.11=$900.90B:$1,000/1.115=$593.45C:$1,000/1.1110=$352.18b.A:$1,000/1.14=$877.19B:$1,000/1.145=$519.37C:$1,000/1.1410=$269.74c.A:-($900.90-$877.19)/$900.90=-0.0263=-2.63%B:-($593.45-$519.37)/$593.45=-0.1248=-12.48%公司理财习题答案第二十五章AnswerstoEnd-of-ChapterProblemsB-211C:-($352.18-$269.74)/$352.18=-0.2341=-23.41%25.14YearPaymentPresentvalueRelativevalue1$100$100/(1+r){$100/(1+r)}/($100/r)=r/(1+r)2$100$100/(1+r)2{$100/(1+r)2}/($100/r)=r/(1+r)23$100$100/(1+r)3{$100/(1+r)3}/($100/r)=r/(1+r)34$100$100/(1+r)4{$100/(1+r)4}/($100/r)=r/(1+r)4............100/r1.0Duration=1r/(1+r)+2r/(1+r)2+3r/(1+r)3+4r/(1+r)4+...=r[1/(1+r)+2/(1+r)2+3/(1+r)3+4/(1+r)4+...]Duration/(1+r)=r[1/(1+r)2+2/(1+r)3+3/(1+r)4+...]Duration-Duration/(1+r)={1-1/(1+r)}Duration=r[1/(1+r)+1/(1+r)2+1/(1+r)3+1/(1+r)4+...]=r(1/r)=1Therefore,{r/(1+r)}Duration=1orDuration=(1+r)/rr=12%Duration=(1+0.12)/0.12=9.333yearsr=10%Duration=(1+0.10)/0.10=11.0years25.15a.A:$70/1.1+$70/1.12+$70/1.13+$1,070/1.14=$904.90B:$110/1.1+$110/1.12+$110/1.13+$1,110/1.14=$1,031.70b.A:Thisbondissellingatpar.Itspriceis$1,000.B:$110/1.07+$110/1.072+$110/1.073+$1,110/1.074=$1,135.49c.A:($1,000-$904.90)/$904.90=0.1051=10.51%B:($1,135.49-$1,031.70)/$1,031.70=0.1006=10.06%d.The7%bondhasahigherdurationsincemoreofitstotalrepaymentsoccurinthelateryears.Bondwithhigherdurationhavegreaterpercentagechangesintheirpricesthandolowdurationbondsforagivenpercentagechangeintheinterestrate.AnswerstoEnd-of-ChapterProblemsB-21225.16PaymentPVRelativevalueMaturityDuration$90$82.56880.0825710.082579075.75120.0757520.151501,090841.68000.8416832.525042.75911Duration=2.76years25.17PaymentP