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Index
    This file is the template to use for the class project for FINC XXXXXXXXXXInternational Finance
    INDEX
    Source data for DC1
    I. Initial data DC1
    Source data for DC2
    II. Final data DC2
    III. Trading profits
    IV. One year forecast        Students must update the cells below
    V. Hedging
    Team members
Garza-Gomez, Xavier:
Please include the names of students in the group, the cu
ency and the semeste
    Cheyenne Mille
        Alicia Mu
ay
        Eduardo Zarate
    Cu
ency studied    USD/CHF
    Semeste
year    Summer 2023
Source data for DC1
    Forex Rates                                    Forward Rates                                Futures                                        Options                                                                        Interest rates                                                        Forecast
    http:
www.investing.com/cu
encies/streaming-forex-rates-majors                                    http:
www.investing.com
ates-bonds/forward-rates                                https:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.html                                        https:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.options.html#optionProductId=8123
                                                                                                                                                                                                                                                All major cu
encies
                                                                        SWISS FRANC FUTURES - SETTLEMENTS                                                                                                                USD    Secured Overnight Financing Rate (SOFR)                                                    https:
www.fxstreet.com
ates-charts/forecast
                                                                                                                CHF/USD Monthly Options - Settlements                                                                            https:
www.global-rates.com/en/interest-rates/sof
sofr.aspx
    Pair    Bid    Ask    High    Low    Chg.    Chg. %    Time        Name    Bid    Ask    High    Low    Chg    Time                                                CHF/USD Weekly Friday Options - Settlements
    EUR/USD    1.0893    1.0896    1.097    1.0844    -0.0063    -0.57%    16:59:38        USDCHF ON FWD    -0.946    -0.802    -0.946    -2.48    1.704    22:10:00                                                                                                                            Cu
ent interest rates
    USD/JPY    143.72    143.73    143.88    142.7    0.61    0.42%    16:59:38        USDCHF TN FWD    -0.873    -0.836    -0.029    -0.87    0.007    22:20:00        Month    Open    High    Low    Last    Change    Settle    Est. Volume    Prior day OI                                                                                     june XXXXXXXXXX    5.0500%                        SOFR (Secured Overnight Financing Rate) is an interest rate published by the Federal Reserve Bank of New York. SOFR can be seen as the average interest rate for secured loans issued in American Dollars (USD) with a maturity of 1 day (overnight). SOFR is a reference rate (benchmark rate) and an alternative to the US Dollar LIBOR rate.                        USD/CHF
    GBP/USD    1.2713    1.2715    1.2752    1.2685    -0.0035    -0.27%    16:59:38        USDCHF SN FWD    -0.889    -0.852    -0.889    -0.86    0.001    22:14:00        23-Sep    1.12755    1.128    1.11915    1.12475    -0.0015    1.1244    17,510    36,966                                                                                     june XXXXXXXXXX    5.0500%                                                https:
www.fxstreet.com
ates-charts/usdchf/forecast
    USD/TRY    25.2325    25.2425    25.8083    24.8005    0.3535    1.42%    16:59:42        USDCHF SW FWD    -7.54    -7.46    -7.54    -7.46    0    22:10:00        23-Dec    1.132    1.13840B    1.13090A    1.13090A    -0.0014    1.13525    13    491                                                                                     june XXXXXXXXXX    5.0500%
    USD/CHF    0.8968    0.8972    0.9013    0.8944    0.0023    0.26%    16:59:38        USDCHF 2W FWD    -13.03    -12.86    -12.98    -13.5    0.19    22:12:00        24-Mar    -    1.14940B    1.14230A    1.14940B     XXXXXXXXXX    1.14645    0    67        Calls                                Strike Price    Puts                                         june XXXXXXXXXX    5.0500%
    USD/CAD    1.3179    1.3184    1.3226    1.3143    0.003    0.23%    16:59:42        USDCHF 3W FWD    -19.38    -19.18    -19.34    -19.61    0.29    22:10:00        24-Jun    -    1.15875B    1.15180A    1.15875B    -0.0014    1.15605    0    24        Est. Vol    Prior day OI    High    Low    Open    Last    Settle    Change        Change    Settle    Last    Open    Low    High    Prior day OI    Est. Vol             june XXXXXXXXXX    5.0600%
    EUR/JPY    156.62    156.62    156.83    155.06    -0.17    -0.11%    16:59:32        USDCHF 1M FWD    -27.57    -27.27    -27.51    -27.55    0.33    22:10:00        24-Sep    -    -    -    -     XXXXXXXXXX    1.16355    0    15        0    0    .06740B    .05970A    -    .05970A    0.0644    -0.0015    1.06    0    0.00005    -    -    -    -    0    0             june XXXXXXXXXX    5.0500%
    AUD/USD    0.6677    0.6678    0.6767    0.6663    -0.0078    -1.15%    16:59:40        USDCHF 2M FWD    -58.14    -57.57    -57.97    -57.72    -0.19    22:12:00        24-Dec    -    -    -    -     XXXXXXXXXX    1.17095    0    8        0    0    .06240B    .05470A    -    .05470A    0.0594    -0.0015    1.065    0    0.00005    -    -    -    -    0    0             june XXXXXXXXXX    5.0500%
    NZD/USD    0.6147    0.6153    0.6191    0.6117    -0.0028    -0.45%    16:59:28        USDCHF 3M FWD    -86.46    -85.87    -86.33    -86.03    -0.06    22:24:00        25-Mar    -    -    -    -     XXXXXXXXXX    1.1784    0    0        0    0    .05740B    .04970A    -    .04970A    0.0544    -0.0015    1.07    0    0.00005    -    -    -    -    0    0             june XXXXXXXXXX    5.0500%
    EUR/GBP    0.8566    0.8569    0.8609    0.8536    -0.0026    -0.30%    16:59:40        USDCHF 4M FWD    -115.38    -114.84    -115.33    -114.84    0.97    22:12:00        25-Jun    -    -    -    -    -0.0013    1.186    0    0        0    0    .05240B    .04470A    -    .04470A    0.0494    -0.0015    1.075    0    0.00005    -    -    -    -    0    0             june XXXXXXXXXX    5.0500%
    EUR/CHF    0.9773    0.9776    0.9815    0.975    -0.0029    -0.30%    16:59:28        USDCHF 5M FWD    -143.84    -143.17    -143.81    -143.34    0.03    22:12:00        25-Sep    -    -    -    -    -0.0011    1.19205    0    0        0    0    .04740B    .03970A    -    .03970A    0.0444    -0.0015    1.08    0    0.00005    -    -    -    -    0    0             june XXXXXXXXXX    5.0500%
    AUD/JPY    96    96    96.84    95.25    -0.69    -0.71%    16:59:41        USDCHF 6M FWD    -171.46    -170.66    -171.24    -170.67    2.84    22:15:00        25-Dec    -    -    -    -     XXXXXXXXXX    1.19795    0    0        0    0    .04240B    .03470A    -    .03470A    0.0394    -0.0015    1.085    0    0.0001    -    -    -    -    10    0             june XXXXXXXXXX    5.0500%
    GBP/JPY    182.64    182.84    182.95    181.26    0.3    0.16%    16:59:28        USDCHF 7M FWD    -215.35    -201.35    -208.69    -208    -5.01    22:20:00        26-Mar    -    -    -    -    -0.0006    1.2039    0    0        0    0    .03750B    .02980A    -    .02980A    0.0345    -0.0014    1.09    0    0.0001    -    -    -    -    0    0             june XXXXXXXXXX    5.0500%
    CHF/JPY    160.21    160.21    160.44    158.49    0.26    0.16%    16:59:34        USDCHF 8M FWD    -241.06    -227.06    -233.7    -233.64    -4.21    22:20:00        26-Jun    -    -    -    -     XXXXXXXXXX    1.2099    0    0        0    0    .03250B    .02480A    -    .02480A    0.0295    -0.0015    1.095    0    0.0001    -    -    -    -    0    0
    EUR/CAD    1.4359    1.436    1.4425    1.4318    -0.0047    -0.33%    16:59:28        USDCHF 9M FWD    -258.38    -257.35    -257.89    -257.6    2.06    22:22:00        26-Sep    -    -    -    -     XXXXXXXXXX    1.21595    0    0        0    0    .02750B    .01990A    -    .01990A    0.0245    -0.0015    1.1    0    0.00015    -    -    -    -    900    0        USD    LIBOR
    AUD/CAD    0.8802    0.8803    0.8897    0.8795    -0.0083    -0.93%    16:59:34        USDCHF 10M FWD    -290.26    -275.26    -285.13    -284.17    1.94    22:22:00        26-Dec    -    -    -    -    0.00015    1.2221    0    0        0    0    .02260B    .01520A    -    .01520A    0.0196    -0.0015    1.105    0    0.0002    -    -    -    -    700    0            https:
www.global-rates.com/en/interest-rates/libo
american-dolla
american-dollar.aspx
    CAD/JPY    109.04    109.05    109.09    108.02    0.23    0.21%    16:59:36        USDCHF 11M FWD    -312.43    -295.43    -306.73    -306.89    -4.75    22:22:00        27-Mar    -    -    -    -    0.00035    1.22825    0    0        0    2    .01780B    .01080A    -    .01080A    0.0148    -0.0015    1.11    0.00005    0.00045    -    .00080B    -    .00080B    700    0            USD    6/23/23    6/22/23    6/21/23    6/20/23    6/19/23        The US Dollar LIBOR interest rate is the average inte
ank interest rate at which a large number of banks on the London money market are prepared to lend one another unsecured funds denominated in US Dollars. The US Dollar (USD) LIBOR interest rate is available in 7 maturities, from overnight (on a daily basis) to 12 months
    NZD/JPY    88.35    88.39    88.59    87.48    -0.03    -0.03%    16:59:34        USDCHF 1Y FWD    -330    -328.75    -329.82    -328.89    9.7    22:12:00        27-Jun    -    -    -    -    0.00065    1.23455    0    0        0    0    .01320B    .00720A    -    .00720A    0.0104    -0.0014    1.115    0.0001    0.001    -    .00200B    -    .00200B    2    0             USD LIBOR - overnight    5.0676%    5.0690%    5.0627%    5.0753%    -
    AUD/NZD    1.087    1.087    1.0941    1.0864    -0.0066    -0.60%    16:59:34        USDCHF 15M FWD    -405.99    -380.99    -395.67    -392.7    -1.09    21:51:00        27-Sep    -    -    -    -    0.0009    1.24085    0    0        0    0    .00890B    .00440A    -    .00440A    0.0066    -0.0012    1.12    0.0003    0.0022    -    .00410B    .00170A    .00410B    0    0             USD LIBOR - 1 month    5.1484%    5.1504%    5.148%    5.15414 %    5.1627%
    GBP/AUD    1.9039    1.9039    1.9098    1.8836    0.017    0.90%    16:59:41        USDCHF 21M FWD    -514.89    -479.89    -503.79    -498.69    12.51    21:51:00        27-Dec    -    -    -    -    0.0012    1.24725    0    0        2    0    .00550B    0.0024    0.0024    .00550B    0.0038    -0.0009    1.125    0.0006    0.0044    0.0038    .00490B    .00320A    .00720B    1    6             USD LIBOR - 3 months    5.5441%    5.5419%    5.540%    5.52029 %    5.5143%
    EUR/AUD    1.6311    1.6311    1.6338    1.6189    0.0095    0.59%    16:59:41        USDCHF 2Y FWD    -568.78    -528.78    -552.76    -537.77    6.42    21:50:00        28-Mar    -    -    -    -    0.0015    1.2537    0    0        0    0    .00300B    .00130A    -    .00130A    0.0019    -0.0007    1.13    0.0008    0.0075    -    .01120B    .00600A    .01120B    0    0             USD LIBOR - 6 months    5.6903%    5.6826%    5.682%    5.67400 %    5.6564%
    GBP/CHF    1.141    1.141    1.1453    1.1381    0.0004    0.04%    16:59:28        USDCHF 3Y FWD    -756.16    -687.79    -731    -704.2    7.74    21:40:00        28-Jun    -    -    -    -    0.0018    1.2605    0    0        6    0    .00140B    .00070A    -    .00070A    0.0009    -0.0004    1.135    0.0011    0.0115    -    .01570B    .00930A    .01570B    0    0             USD LIBOR - 12 months    5.9253%    5.9011%    5.899%    5.89786 %    5.8951%
    EUR/NZD    1.7731    1.7732    1.7812    1.7667    -0.0003    -0.02%    16:59:30        USDCHF 4Y FWD    -925.44    -833.8    -921.92    -838.4    -3.51    21:40:00                                                0    10    -    .00045A    -    .00045A    0.0004    -0.0002    1.14    0.0013    0.016    -    .02040B    .01330A    .02040B    0    0
    AUD/CHF    0.5992    0.5992    0.6059    0.5977    -0.0053    -0.88%    16:59:41        USDCHF 5Y FWD    -1100.6    -990.6    -1064    -990.6    -1.89    21:40:00                                                6    0    -    -    -    -    0.00015    -0.0001    1.145    0.0014    0.0207    -    .02530B    .01790A    .02530B    0    0
    GBP/NZD    2.0689    2.0705    2.0801    2.059    0.0061    0.30%    16:59:34        USDCHF 6Y FWD    -1275    -1145    -1234    -1169    -49    21:32:00                                                0    0    -    -    -    -    0.00005     XXXXXXXXXX    1.15    0.0014    0.0256    -    .03030B    .02270A    .03030B    0    0        CHF                                SARON (Swiss Average Rate Overnight) is an interest rate published by the Swiss SIX Index AG. SARON can be seen as the average interest rate for loans issued in Swiss Francs (CHF) with a maturity of 1 day (overnight). SARON is a reference rate (benchmark rate) and an alternative to Swiss franc LIBOR.
    USD/INR    81.958    81.958    82.084    81.91    0.045    0.06%    16:59:38        USDCHF 7Y FWD     XXXXXXXXXX     XXXXXXXXXX    -1404    -1329    -280.46    21:03:00                                                0    0    -    -    -    -    CAB     XXXXXXXXXX    1.155    0.0015    0.0306    -    .03520B    .02760A    .03520B    0    0            SARON (Swiss Average Rate Overnight)
    USD/CNY    7.1789    7.1809    7.1801    7.1795    0.0004    0.01%    16:59:32        USDCHF 8Y FWD    -1622    -1462    -1572    -1488    -61    21:10:00                                                0    0    -    -    -    -    CAB    0    1.16    0.0015    0.0356    -    .04020B    .03250A    .04020B    0    0            https:
www.global-rates.com/en/interest-rates/saron/saron.aspx
    USD/SGD    1.3519    1.3524    1.3532    1.3439    0.0075    0.55%    16:59:55        USDCHF 9Y FWD    -1795    -1620    -1744    -1652    -66    21:00:00                                                0    0    -    -    -    -    CAB    0    1.165    0.0015    0.0406    -    .04520B    .03750A    .04520B    0    0
    USD/HKD    7.8304    7.8305    7.8337    7.8276    -0.0001    0.00%    16:59:36        USDCHF 10Y FWD    -1966    -1776    -1914    -1814    -70    21:20:00                                                0    0    -    -    -    -    CAB    0    1.17    0.0015    0.0456    -    .05020B    .04250A    .05020B    0    0            Cu
ent interest rates
    USD/DKK    6.8346    6.8369    6.8685    6.7967    0.0384    0.56%    16:59:54        USDCHF 15Y FWD    -2882.2     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    -0.0066    22:24:00                                                0    0    -    -    -    -    CAB    0    1.175    0.0016    0.0506    -    .05510B    .04750A    .05520B    0    0             june XXXXXXXXXX    1.4487%
    GBP/CAD    1.6761    1.6761    1.6832    1.6739    -0.0004    -0.02%    16:59:36        USDCHF 20Y FWD     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX     XXXXXXXXXX    -0.0061    22:24:00                                                0    0    -    -    -    -    CAB    0    1.18    0.0015    0.0555    -    .06020B    .05250A    .06020B    0    0             june XXXXXXXXXX    1.4471%
    USD/SEK    10.7135    10.7165    10.808    10.689    0.0245    0.23%    16:59:56                                        https:
www.cmegroup.com/markets/fx/g10/japanese-yen.contractSpecs.html                                        0    0    -    -    -    -    CAB    0    1.185    0.0015    0.0605    -    .06520B    .05750A    .06520B    0    0             june XXXXXXXXXX    1.4455%
    USD/ILS    3.6238    3.6288    3.6343    3.5813    0.0109    0.30%    16:47:01                                                                                                                                                             june XXXXXXXXXX    1.4421%
    USD/RUB    84.7    84.7    84.8393    83.6478    0.65    0.77%    16:50:00                                        Swiss Franc Futures - Contract Specs                                                                                                                     june XXXXXXXXXX    1.4405%
    USD/MXN    17.158    17.189    17.2657    17.1371    0.0085    0.05%    16:59:55                                                                                                                                                             june XXXXXXXXXX    1.4426%
    USD/ZAR    18.7304    18.7625    18.7759    18.4849    0.2307    1.25%    16:59:56                                        CONTRACT UNIT    125,000 Swiss francs                                                                                                                 june XXXXXXXXXX    1.4459%
    CAD/CHF    0.6807    0.6807    0.6832    0.6773    0.0003    0.04%    16:59:34                                        PRICE QUOTATION    U.S. dollars and cents per CHF increment                                                                                                                 june XXXXXXXXXX    1.4439%
    NZD/CAD    0.8097    0.8097    0.814    0.8081    -0.0027    -0.33%    16:59:36                                        TRADING HOURS    CME Globex:                                                                                                                 june XXXXXXXXXX    1.4463%
    NZD/CHF    0.5507    0.5515    0.5543    0.5488    -0.0016    -0.29%    16:59:34                                            Sunday - Friday 6:00 p.m. - 5:00 p.m. (5:00 p.m. - 4:00 p.m. CT) with a 60-minute
eak each day beginning at 5:00 p.m. (4:00 p.m. CT)                                                                                                                 june XXXXXXXXXX    1.4454%
    BTC/USD    30,682.00    30,683.00    31,430.00    29,835.00    731    2.44%    19:00:42                                            CME ClearPort:                                                                                                                 june XXXXXXXXXX    1.4425%
    BTC/EUR    28,124.80    28,124.90    28,835.00    27,242.80    827.7    3.03%    18:57:56                                            Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. - 6:00 p.m. CT                                                                                                                 june XXXXXXXXXX    1.4466%
    ETH/USD    1,890.79    1,890.80    1,936.42    1,861.01    19.47    1.04%    19:00:35                                        MINIMUM PRICE FLUCTUATION    CME Globex:
                                                                            0.00005 CHF increment = $6.25
Calendar spreads: XXXXXXXXXX CHF increment = $6.25                                                                                                            SWISS FRANC LIBOR THREE MONTH RATE
                                                                            CME ClearPort:                                                                                                            Website used to get CHF interest rateLinks to an external site. - LIBOR rates for CHF are no longer available. We can use this rate for this project
                                                                             XXXXXXXXXXper CHF increment = $1.25                                                                                                            URL    https:
tradingeconomics.com/switzerland/inte
ank-rate
                                                                        PRODUCT CODE    CME Globex: 6S
                                                                            CME ClearPort: E1
                                                                            Clearing: E1
                                                                        LISTED CONTRACTS    Quarterly contracts (Mar, Jun, Sep, Dec) listed for 20 consecutive quarters
                                                                        SETTLEMENT METHOD    Deliverable
                                                                        TERMINATION OF TRADING    Trading terminates at 9:16 a.m. CT, 2 business day prior to the third Wednesday of the contract month.
                                                                        SETTLEMENT PROCEDURES    CHF/USD Futures Settlement Procedures
                                                                        POSITION LIMITS    CME Position Limits
                                                                        EXCHANGE RULEBOOK    CME 254
                                                                        BLOCK MINIMUM    Block Minimum Thresholds
                                                                        PRICE LIMIT OR CIRCUIT    Price Limits
                                                                        VENDOR CODES    Quote Vendor Symbols Listing
http:
www.investing.com/cu
encies/streaming-forex-rates-majorshttps:
www.investing.com/cu
encies/usd-jpyhttps:
www.investing.com/cu
encies/gbp-usdhttps:
www.investing.com/cu
encies/usd-tryhttps:
www.investing.com/cu
encies/usd-chfhttps:
www.investing.com/cu
encies/usd-cadhttps:
www.investing.com/cu
encies/eur-jpyhttps:
www.investing.com/cu
encies/aud-usdhttps:
www.investing.com/cu
encies/nzd-usdhttps:
www.investing.com/cu
encies/eur-gbphttps:
www.investing.com/cu
encies/eur-chfhttp:
www.investing.com
ates-bonds/forward-rateshttps:
www.investing.com/cu
encies/aud-jpyhttps:
www.investing.com/cu
encies/gbp-jpyhttps:
www.investing.com/cu
encies/chf-jpyhttps:
www.investing.com/cu
encies/eur-cadhttps:
www.investing.com/cu
encies/aud-cadhttps:
www.investing.com/cu
encies/cad-jpyhttps:
www.investing.com/cu
encies/nzd-jpyhttps:
www.investing.com/cu
encies/aud-nzdhttps:
www.investing.com/cu
encies/gbp-audhttps:
www.investing.com/cu
encies/eur-audhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
american-dollar.aspxhttps:
www.investing.com/cu
encies/gbp-chfhttps:
www.investing.com/cu
encies/eur-nzdhttps:
www.investing.com/cu
encies/aud-chfhttps:
www.investing.com/cu
encies/gbp-nzdhttps:
www.investing.com/cu
encies/usd-inrhttps:
www.investing.com/cu
encies/usd-cnyhttps:
www.investing.com/cu
encies/usd-sgdhttps:
www.investing.com/cu
encies/usd-hkdhttps:
www.investing.com/cu
encies/usd-dkkhttps:
www.investing.com/cu
encies/gbp-cadhttps:
www.global-rates.com/en/interest-rates/sof
sofr.aspxhttps:
www.investing.com/cu
encies/usd-sekhttps:
www.investing.com/cu
encies/usd-ilshttps:
www.investing.com/cu
encies/usd-rubhttps:
www.investing.com/cu
encies/usd-mxnhttps:
www.investing.com/cu
encies/usd-zarhttps:
www.investing.com/cu
encies/cad-chfhttps:
www.investing.com/cu
encies/nzd-cadhttps:
www.investing.com/cu
encies/nzd-chfhttps:
www.investing.com/crypto
itcoin
tc-usdhttps:
www.investing.com/crypto
itcoin
tc-eurhttps:
www.global-rates.com/en/interest-rates/saron/saron.aspxhttps:
www.investing.com/crypto/ethereum/eth-usdhttps:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.options.htmlhttps:
www.fxstreet.com
ates-charts/usdchf/forecasthttps:
www.cmegroup.com/confluence/display/EPICSANDBOX/Swiss+Franchttps:
www.cmegroup.com
ulebook/files/position-limits-cme.xlsxhttps:
www.cmegroup.com
ulebook/CME/III/250/254/254.pdfhttps:
www.cmegroup.com/clearing/trading-practices
lock-trades.htmlhttps:
www.cmegroup.com
ulebook/files/special-price-fluctuation-limits.xlsxhttps:
www.cmegroup.com/tools-information/vendorSymbol.htmlhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-overnight.aspxhttps:
www.fxstreet.com
ates-charts/forecasthttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-1-month.aspxhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-3-months.aspxhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-6-months.aspxhttps:
www.global-rates.com/en/interest-rates/libo
american-dolla
usd-libor-interest-rate-12-months.aspxhttps:
tradingeconomics.com/switzerland/inte
ank-ratehttps:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.htmlhttps:
www.cmegroup.com/markets/fx/g10/japanese-yen.contractSpecs.htmlhttps:
www.investing.com/cu
encies/eur-usd
I. Initial data DC1
    Template for Part 1 of project
            Date when hedge is initiated
    Students' names    Cheyenne Miller, Alicia Mu
ay, Eduardo Zarate    Friday, June 23, 2023
Garza-Gomez, Xavier: Must be a Friday (or Thursday if Friday was a holiday)
    1. Cu
ency to hedge        Swiss Franc
    1a Cu
ency pair formed with the US dollar (as seen in OANDA, FXCM)        USD/CHF
    1b Date when hedge (trading) will be closed and all the calculations done        Friday, June 30, 2023
GarzaX: Students must state the date when they will "close" the hedges/trades in this theoretical exercise.
Hint: it is the Friday (or Thursday if Friday is a holiday) after the initial date
    1c Is this a direct quote in the spot market? (Y/N)        N
    2. Exchange rate of the cu
ency as typically quoted in FX markets XXXXXXXXXXUse the SPOT price from the Investing.com site        BID    ASK
            0.8968    0.8972        Any cell in this color must be updated by students, Using links is strongly recommended (instead of typing the values)
    2a Express the price as a direct quote (value of one unit of that cu
ency in dollars)         XXXXXXXXXX
garzax: Calculated cell
If direct quote, then it's same as 2.
If indirect, then must calculate the inverse.     XXXXXXXXXX
    3. Three or six-month future rate as of this date (use whatever period covers the second data collection period) Report the settlement price reported on the CME Group website        1.1244
    Expiration month of future contract        September-23
    . Specify the size of the future (option) contracts         125000
GarzaX: Look in Contract Specifications
    4. Forward points observed on this date. Use the Investing.com website for information. Select data for 1 week (SW). Students doing USDJPY must use an appropriate factor to convert pips.        BID    ASK
            -7.54    -7.46
            Horizon for Fwd quotes    1 week
    5. Use the CME group website to obtain option price data.         WEEK 5 JUN 2023
Garza-Gomez, Xavier: Must indicate
week/month/year of the option used
    Specify the expiration week,month and year on the CME options that will cover the period you are interested in hedging
            Strike
Garza-Gomez, Xavier:
The distance between strike prices must be at least 100 pips
    Premium
    5a. Choose a call option that is in the money and obtain its premium        1.115    0.0104
garzax: Previously quoted as cents.
With exception of EURUSD which was quoted in dollars, the JPY which was quoted as 100ths of a cent and the MXN, quoted in 1000ths of a cent.
Since 2023, CME shows premiums in dollars for all cu
encies
    5b. Find the call option that is at the money and obtain its premium
Garza-Gomez, Xavier: ATM strike price is determined using the futures contract price that is linked to the option
        1.125    0.0038
    5c. Choose a call option that is out the money and obtain its premium        1.135    0.0009
    6. Use the CME group website to obtain put option price data.
    Use the same expiration month you chose for call options        Strike    Premium
    6a. Choose a put option that is in the money and obtain its premium        1.135    0.0115
    6b. Find the put option that is at the money and obtain its premium        1.125    0.0044
    6c. Choose a put option that is out the money and obtain its premium        1.115    0.001
    7. Use the Global Rates and Trading Economics websites to identify the interest rates
            Interest rates    Description
     USD rate (Overnight)        5.0676%
Garza-Gomez, Xavier:
Make sure there is no space before the % symbol
If there is, go to the source sheet and manually remove it    
Garza-Gomez, Xavier: Must indicate
week/month/year of the option used
    
Garza-Gomez, Xavier: Must be a Friday (or Thursday if Friday was a holiday)
    
Garza-Gomez, Xavier:
The distance between strike prices must be at least 100 pips
    
Garza-Gomez, Xavier: ATM strike price is determined using the futures contract price that is linked to the option
            
garzax: Previously quoted as cents.
With exception of EURUSD which was quoted in dollars, the JPY which was quoted as 100ths of a cent and the MXN, quoted in 1000ths of a cent.
Since 2023, CME shows premiums in dollars for all cu
encies    
GarzaX: Students must state the date when they will "close" the hedges/trades in this theoretical exercise.
Hint: it is the Friday (or Thursday if Friday is a holiday) after the initial date    
garzax: Calculated cell
If direct quote, then it's same as 2.
If indirect, then must calculate the inverse.    
GarzaX: Look in Contract Specifications    LIBOR - ON        1
     Foreign cu
ency rate (shortest term found)        1.4487%    SARON        1
    https:
www.cmegroup.com/markets/fx/g10/japanese-yen.contractSpecs.html
    Swiss Franc Futures - Contract Specs
https:
www.cmegroup.com/markets/fx/g10/japanese-yen.contractSpecs.html
Source data for DC2
    Forex Rates                                        Futures                                        Options
                                            Swiss Franc Futures - Settlements                                        https:
www.cmegroup.com/markets/fx/g10/japanese-yen.settlements.options.html#optionProductId=8123
    http:
www.investing.com/cu
encies/streaming-forex-rates-majors                                        http:
www.cmegroup.com/trading/fx/g10/japanese-yen_quotes_settlements_futures.html
    Sunday, July 2nd, 2023 after market closure
    Pair    Bid    Ask    High    Low    Chg.    Chg. %    Time            MONTH    OPEN    HIGH    LOW    LAST    CHANGE    SETTLE    EST. VOLUME    PRIOR DAY OI
    EUR/USD    1.0912    1.0913    1.0913    1.0909    0.0003    0.03%    18:15:17            September 23    1.12075    1.1281    1.1179    1.1262    0.0058    1.12635    18,852    37,210
    USD/JPY    144
Answered 7 days After Jul 07, 2023

Solution

Atul answered on Jul 08 2023
8 Votes
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