Bi tp Ti chnh quc t

Chng VTh trng ngoi hiDng 1: Nghip v k hnDng 2: Nghip v SwapDng 3: Nghip v quyn chn

Dng 1: NGHIP V K HN1.1 Xc nh t gi k hn1.2 Thc hin nghip v kinh doanh k hn1.3 ng dng Arbitrages vo nghip v kinh doanh k hn1.4 Nghip v ng trc

NGHIP V K HN

1.1 Xc nh t gi k hn - Cch yt gi k hn

Thng bo trc tip t gi k hn

Yt gi theo kiu cng b theo im k hn T gi k hn = T gi giao ngay im k hn - Nu im bnim gi mua:T gi k hn = t gi giao ngay + im k hn - Nu im bn

NGHIP V K HN

Trong : Dm, Db: t gi giao ngay N: s ngy k hn T2m: li sut tin gi ng tin th 2 T1b: li sut cho vay ng tin th 11.1 Xc nh t gi k hn

NGHIP V K HN1.1 Xc nh t gi k hn - Lu

Theo th trng Anh Tnh ton lin quan n GBP:- 1 nm tnh 365 ngy => trong cng thc: mu s l 36500- Chuyn ton b li sut cc ng tin khc v 365 ngyTh trng thng thng- 1 nm tnh 360 ngy- Chuyn li sut ng GBP v 360 ngyPhi tnh chnh xc s ngy ca k hn theo lch, thng 2 tnh 28 ngy Trng hp khng cho ngy c th, tnh trung bnh 1 thng c 30 ngy

NGHIP V K HN1.2 Kinh doanh k hn - V d:Thng tin trn th trng:T gi giao ngay: USD/CHF = 1,5642/42T gi k hn 3 thng USD/CHF = 1,5856/87Li sut k hn 3 thng (nim yt theo nm).USD:41/8 41/2 CHF: 7 71/2Ph ph NH: 1/8 (0.125%)ng X c s tin l 1.500.000 CHF, hy thc hin kinh doanh theo k hn cho ng X.

NGHIP V K HN1.2 Kinh doanh k hn p n:

Bc 1: Mua USD/CHF theo Db giao ngay=1,5742=>s USD mua c: 1.500.000/1,5742=952.864,9473

Bc 2: Gi USD trn th trng tin t 3 thng theo li sut: 41/8 - 1/8=4 (%/nm)=>s USD c gc v li sau 3 thng:952.864,9473*(1+90*4/36000)=962.393,5967

NGHIP V K HN1.2 Kinh doanh k hn p n:

Bc 3: K hp ng k hn bn USD/CHF 3 thng theo Dmkh =1,5856S CHF nhn c sau 3 thng:962.393,5967*1,5856=1.525.971,287 CHFS CHF ban u nu em gi ngn hng vi ls (7-0.125 = 6,875), sau 3 thng thu c: 1.500.000*(1+6,875*90/36.000)=1.525.781,25Li nhun: 1.525.971,287 1.525.781,2500 = 190,037 CHF

NGHIP V K HN1.2 Kinh doanh k hn Bi tp p dng:

Ti th trng Anh t gi giao ngay GBP/USD = 2,0345/12im k hn 3 thng GBP/USD c im gia tng 35/45GBP: 9 91/8 (tnh cho 365 ngy)USD: 4 41/2 (tnh cho 360 ngy)ng Y hin c 500.000 GBP. Hy thc hin kinh doanh k hn cho ng Y

NGHIP V K HN1.2 Kinh doanh k hn p n:

Bc 1: Bn 500.000 GBP theo Dm GBP/USD=2,0345 S USD mua c 500.000*2,0345=1.017.250 USDBc 2: Gi USD trn th trng tin t thi hn 3 thng Trn th trng Anh nn li sut 3thng ca USD l 4*365/360 = 4,05% =>s USD nhn c sau 3thng l:1.017.250* (1 + 90*4,05/36.500 ) = 1.027.408,565 USD

NGHIP V K HN1.2 Kinh doanh k hn p n:

Bc 3: Ti thi im hin ti, mua hp ng k hn 3 thng GBP/USD theo Db k hn 3 thng l: 2,0412+0.0045=2,0457S GBP nhn c sau 3 thng: 1.027.408,565/2,0457=502.228,364 (GBP)S GBP ban u nu em gi ngn hng vi li sut 9%/nmSau 3 thng nhn c 500.000 * (1+9*90/36.500) = 511.095,890 (GBP)Nghip v kinh doanh b l: 511.095,890 - 502.228,364 = 8.867,526 (GBP)

1.3. ng dng Ac-bit trong thanh ton k hn- Thc hin giao dch cho cng ty theo t gi k hn- Cc trng hp xy ra:1/ Khng tnh pht sinh qua s d ti khon2/ Tnh pht sinh qua s d ti khon

1.3. ng dng Acbit trong thanh ton k hnV dMt cng ty ca Hng Kng(HKD) trong ngy 11.2 nhn c thng bo sau:- Trong cng ngy h c thanh ton khon tin hng tr gi 50.000 GBP v 3.500.000 SEK ng thi h phi chi tr 45.000 EUR v 1.000.000 CHF- 3 thng sau h nhn c 30.000 EUR v phi chi tr 15.000 GBP.Hy ng dng Acbit trong thanh ton v d bo ti khon trong 3 thng ti cho cng ty (gi thit mi s d khng sinh li)Thng tin th trng: GBP/EUR =1,4388/1,4528 GBP/CHF = 2,4021/2,4240SEK/CHF = 0,1797/49 EUR/HKD = 10,8924/10,9705Li sut th trng 3 thng: GBP: 91/8 - 91/4; EUR: 4 41/2; HKD: 83/8 85/8

1.3. ng dng Ac-bit trong thanh ton k hnB1: Ti thi im giao ngay ngy 11/2 thc hin giao dch cho cng ty. Tng t v d phn Acbit giao ngay. Kt thc bc 1, tnh c s HKD cng ty phi bn l 2.143.808,229 HKDB2: Thc hin giao dch cho cng ty theo t gi k hn: t ngy 11/2 n 11/5: 89 ngy.

Bc 2Cng ty bn 3t EUR/GBP:

(T2mGBP=9,125*360/365=9 ; T1bEUR=4,5)

=>S EUR chi thanh ton cho GBP l 15000/0,6958=21.557,9189=>s EUR cn d:30.000-21.557,9189=8.442,0811Cng ty bn 3tEUR/HKD:

=>s HKD mua c:8.442,0811*10,9955=92.824,9027

Trng hp 1: Khng tnh pht sinh qua s d ti khonB1: S HKD cng ty phi bn l 2.143.808,229 HKDB2: S HKD cng ty mua c sau 3 thng l 92.824,9027 HKD=> Kt lun: gi tr ti khon cng ty sau 3 thng l: 92.824,9027 - 2.143.808,229 = - 2.050.983,326

Trng hp 2:Tnh pht sinh qua s d ti khona/ Kt thc bc 1: ti khon ca cng ty l m: cng ty phi vay ni t trn th trng tin t thanh ton cho i tc=>tnh c gc v li phi tr sau N ngy.Ly kt qu bc 2 tr i tng gc v li phi tr b/ Kt thc bc 1, ti khon ca cng ty d tha => cng ty gi trn th trng tin t =>tnh c gc v li nhn sau N ngy.Ly kt qu bc 2 cng vi tng gc v li nhn

1.3. ng dng Acbit trong thanh ton k hnBi tp vn dngMt cng ty ca NaUy (NOK) trong ngy 10/4 nhn c thng bo sau:- Trong cng ngy h c thanh ton khon tin hng tr gi 500.000 EUR v 5.000.000 SEK ng thi h phi chi tr 1.000.000 CAD.- 2 thng sau h s nhn c 500.000 GBP v phi chi tr 800.000 AUD.Hy ng dng Acbit trong thanh ton v d bo ti khon trong 2 thng ti cho cng ty.Thng tin th trng: EUR/USD=1,3437/67 CAD/USD=0,8618/48GBP/USD=1,7395/05USD/SEK=7,8310/97 USD/NOK=6,7370/25USD/AUD=1,1235/75Li sut th trng 2 thng: GBP: 91/8 - 91/4; AUD: 3 31/2; NOK: 6 61/2Ph ph NH 1/8

1.3. ng dng Acbit trong thanh ton k hnBi tp vn dngMt cng ty ca an Mch trong ngy 30/1 nhn c thng bo 6 thng sau h s nhn c 1.200.000 DKK ng thi phi chi tr 600.000 SGD cho i tc nc ngoi. Hy ng dng cc nghip v (c-bt v giao dch k hn) thc hin ngha v thanh ton v d bo ti khon ca Cng ty theo ng EUR sau 6 thng khi bit thng tin th trng:USD/DKK= 6,9255/15USD/SGD= 1,3515/59EUR/USD= 1,2525/55Li sut (% tnh theo nm) ca k hn 6 thng ca cc ng tin l DKK: 6 6,5; USD: 7 7,125; SGD: 5 5,25; EUR: 6 6,5

1.4 Nghip v ng trcp dng vi cc khon thu c k hn.Xin ng trc s tin s dng ngay p ng nhu cu vn trong kinh doanh cng nh phng nga c ri ro khi ngoi t c kh nng gim gi.C hai phng n:- Phng n 1: Bn k hn ngoi t ly ni t, sau xin ng trc.- Phng n 2: Xin ng trc ngoi t sau bn giao ngay ly ni tCng thc: CE: s tin xin ng trc C : s tin s nhn c trong tng lai T : Li sut p dng (li sut vay) N: s ngy ca k hn

1.4 Nghip v ng trcV dMt cng ty trong thi gian 3 thng ti c khon thu tr gi 50.000 GBP. Thi im hin ti c nhu cu s dng EUR.Hy t vn cho cng ty phng n hiu qu nhtThng tin th trng: T gi giao ngay:GBP/EUR = 1,2916/1,3102Li sut 3 thng:GBP: 91/16 91/4 EUR: 51/8 51/4Ph ph NH: 1/8

1.4 Nghip v ng trcV dPhng n 1: - Cng ty bn k hn 3 thng GBP/EUR theo Dmkh36000 + 9,123*90 s EUR s thu c sau 3 thng = 50.000 * 1,2789 = 63.945 EUR- Cng ty xin ng trc EUR, s EUR xin ng trc l

1.4 Nghip v ng trcV dPhng n 2: - Cng ty xin ng trc GBP. s GBP ng trc l:- Bn giao ngay GBP/EUR theo Dm = 1,2916s EUR mua c l 48.870,12 * 1,2916 = 63.120,65 EURKt lun: cng ty nn la chn phng n 2= 48.870,12

1.4 Nghip v ng trcBi tp vn dngCng ty M trong ngy 9/9 nhn c thng bo 6 thng ti h c thanh ton 100.000 EUR v 35.000 GBP. Thi im hin ti h c nhu cu s dng ngay USD. Hy t vn cho cng ty phng n c hiu qu nht.Thng tin th trng- T gi giao ngayGBP/USD=1,7393/05EUR/USD=1,3437/67- Li sut 6 thng:GBP:91/8 91/4EUR:51/4-51/2USD:41/2-45/8 (%/nm)

Dng 2: NGHIP V SWAPKhi qut v nghip v Swapng dng nghip v Swap i vi ngn hngng dng nghip v Swap i vi khch hng

2. Nghip v SwapSwap l vic hon i mt lng c nh mt ng tin ny ly mt lng bin i ng tin khc trong mt thi gian xc nh bng cch k cng mt lc hai hp ng: hp ng mua bn giao ngay v hp ng bn mua k hn tng ng phng nga ri ro t gi xy ra i vi mt ng tin no Thng c thc hin khi cc ch th ang trong tnh trng d tha mt ng tin no ng thi li cn mt ng tin khc

2. Nghip v Swap2.1 ng dng nghip v Swap i vi ngn hng

2.1.1 Ngn hng ang d tha mt lng ngoi t v cn mt lng c nh ngoi t khc

2.1.2 Ngn hng ang d tha mt lng c nh ngoi t v cn mt lng ngoi t khc

2. Swap vi ngn hng Cng thc tng qutMua giao ngay: Dbq= Bn k hn: Bn giao ngay: Dbq= Mua k hn:

2.1.1 Ngn hng cn mt lng c nh ngoi t khc - V d:

Ngn hng A cn 1.000.000 EUR trong 90 ngy ti, trong khi hin ti ang d tha USD. Thc hin nghip v Swap cho ngn hng.Thng tin th trng: EUR/USD = 1,1235/75 Li sut 3 thng: USD: 4,25 4,5 (%) EUR: 5,125 - 5,25 (%)2. Swap vi ngn hng

2.1.1 Ngn hng cn mt lng c nh ngoi t khc p n:

Bc 1: Ti J+2, ngn hng nhn t i tc kinh doanh 1.000.000 EUR v bn giao ngay USD theo t gi bnh qun giao ngay EUR/USD. S USD bn l: 1.000.000 * 1,1255 = 1.125.500 USD

Bc 2: Ti J+2+90, ngn hng tr 1.000.000 EUR cho i tc kinh doanh v nhn li s USD theo Dswap2. Swap vi ngn hng

2. Swap vi ngn hng2.1.1 Ngn hng cn mt lng c nh ngoi t khc p n:

Dswap EUR/USD = Dbq + ph tn Swap

S USD ngn hng nhn li: 1.000.000*1,1227 = 1.122.723 (USD)

2. Swap vi ngn hng2.1.2 Ngn hng d tha mt lng c nh ngoi t - V d:

Ngn hng A hin ti d tha 1.000.000 EUR trong 90 ngy, trong khi cn s dng USD. Thc hin nghip v Swap cho ngn hng.Thng tin th trng EUR/USD = 1,1235/75 Li sut 3 thng: USD: 4,25 4,5 (%) EUR: 5,125 - 5,25 (%)

2. Swap vi ngn hng2.1.2 Ngn hng d tha mt lng c nh ngoi t - V d:

- Bc 1: Ti J+2, ngn hng bn giao ngay cho i tc 1.000.000 EUR theo t gi bnh qun:

Ngn hng nhn s USD theo t gi bnh qun giao ngay EUR/USD l: 1.000.000*1,1255 = 1.125.500 USD- Bc 2: Ti J+2+90, ngn hng nhn 1.000.000 EUR t i tc v tr USD theo Dswap

2. Swap vi ngn hngS USD m ngn hng cn chi tr l: 1.000.000 * 1,1237 = 1.123.700USD

2. Nghip v Swap2.2 ng dng nghip v Swap i vi khch hng

2.2.1: Khch hng ang d tha mt lng ngoi t v cn mt lng c nh ngoi t khc

2.2.2: Khch hng ang d tha mt lng c nh ngoi t v cn mt lng ngoi t khc

2. Swap vi khch hng Cng thc tng qutMua giao ngay: Db Bn k hn: Bn giao ngay: DmMua k hn:

2. Swap vi khch hng2.2.1 Khch hng cn mt lng c nh ngoi t khc - V d:

Cng ty X cn 1.000.000 GBP trong 60 ngy, h tm d tha USD. Thc hin giao dch Swap cho cng ty.Thng tin th trng:GBP/USD = 2,0345/15Li sut 2 thngGBP: 9 91/8 ; USD: 4 41/4

2. Swap vi khch hng

2.2.1 Khch hng cn mt lng c nh ngoi t khc p n:

- Bc 1: Ti J+2, cng ty nhn t i tc 1.000.000 GBP v bn giao ngay USD theo gi Db GBP/USD = 2,0415s USD giao l: 1.000.000 * 2,0415 = 2.041.500- Bc 2: Ti J+2+60, cng ty tr 1.000.000 GBP cho i tc v nhn li USD theo Dswap

2. Swap vi khch hng2.2.1 Khch hng cn mt lng c nh ngoi t khc p n:

Dm = 2,0345; Db = 2,0415T1b(GBP) = 9,125 * 360 / 365 = 9T2m(USD) = 4

S USD cng ty nhn li: 1.000.000 * 2,0247 = 2.024.700 (USD)

2. Swap vi khch hng2.2.2 Khch hng d tha mt lng c nh ngoi t - V d:Cng ty X c tm thi d 1.000.000 GBP trong thi gian 60 ngy, song li cn s dng USD. Thc hin giao dch Swap GBP/USD cho cng tyThng tin th trng:GBP/USD = 2,0345/15Li sut 2 thngGBP: 9 91/8 ; USD: 4 41/4

2. Swap vi khch hng 2.2.2 Khch hng d tha mt lng c nh ngoi t - p n:- Bc 1: Ti J+2, cng ty bn giao ngay cho i tc 1.000.000 GBP nhn USD theo gi Dm GBP/USD=2,0345S USD nhn c 1.000.000 * 2,0345 = 2.034.500- Bc 2: Ti J+2+60 cng ty nhn li 1.000.000 GBP t i tc ng thi tr li s USD theo gi Dswap

2. Swap vi khch hng2.2.2 Khch hng d tha mt lng c nh ngoi t - p n:

Dm = 2,0345; Db = 2,0415T1m(GBP) = 9 * 360 / 365 = 8,8767T2b (USD) = 4,25

S USD cng ty phi tr: 1.000.000 * 2,0189 = 2.018.900 USD

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2. Nghip v Swap Bi tp vn dngBT1: Ti th trng c, ngn hng X c nhu cu 800.000 SEK trong 90 ngy, tin i ng tm d l CAD. Hy thc hin giao dch Swap cho NH.BT2: Ti th trng Anh, ngn hng Y cn EUR trong 90 ngy, tin i ng h c l 500.000 CHF. Hy thc hin giao dch Swap cho NH.BT3: Ti th trng Php, cng ty M tm d 850.000 AUD, h cn s dng NOK trong 90 ngy. Hy thc hin giao dch Swap cho cng ty.BT4: Ti th trng Anh, cng ty N cn s dng 300.000 EUR trong 90 ngy, h c tin i ng l GBP. Hy thc hin giao dch Swap cho cng ty.

2. Nghip v Swap Bi tp vn dngThng tin t gi:GBP/USD=1,7395/15USD/NOK=6,7370/25EUR/USD=1,1225/45USD/AUD=1,3437/67USD/SEK=7,8310/97USD/CHF=1,5642/42USD/CAD=1,1255/95Li sut 3 thng (%/nm)GBP:91/16-91/8NOK:61/4-61/2EUR:51/4-51/2AUD:3-31/2SEK:81/8-81/4CHF:7 71/2CAD:6 61/2

DNG 3: NGHIP V QUYN CHN (OPTIONS)3.1 Khi qut v nghip v quyn chn3.2 Nghip v mua bn quyn chn mua3.3 Nghip v mua bn quyn chn bn3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khu

3.1 Khi qut nghip v quyn chnTrong nghip v quyn chn c hai i tng tham gia giao dch: ngi mua quyn v ngi bn quyni vi ngi mua quyn: - Quyn chn tin t trao cho ngi mua n quyn ch khng phi ngha v mua hoc bn mt ng tin xc nh theo mc gi xc nh c tho thun ngy hm nay (cn c gi l gi thc hin hay gi giao dch) trong mt thi hn xc nh.- Ngi mua quyn c th la chn thc hin quyn vo thi im thanh ton hoc quyn ht hn tu thuc vo s chnh lch gia gi giao ngay trong tng lai v gi thc hin.- Ngi mua quyn lun lun phi tr ph cho d c thc hin quyn hay khng. Mc ph ny c tr ngay vo thi im k hp ng.i vi ngi bn quyn:- Ngi bn quyn c ngha v chp nhn mi s la chn ca ngi mua. i li h c nhn ph b p ri ro.

3.2 Nghip v mua bn quyn chn muav dMt cng ty nhp khu Canada phi thanh ton khon tin nhp khu tr gi 1 triu USD thi hn 1 thng. Cng ty k hp ng mua quyn chn mua USD/CAD thi hn 1 thng vi cc iu khon nh sau:- Gi thc hin 1,2345 CAD- Ph quyn 0,02 CADGi s gi giao ngay sau 1 thng c th xy ra cc tnh hung nh sau:1. USD/CAD = 1,28212. USD/CAD = 1,23453. USD/CAD = 1,1904Hi trng hp no cng ty thc hin quyn, trng hp no quyn ht hn. Xc nh s CAD phi bn trong mi trng hp

3.2 Nghip v mua bn quyn chn muap nPh quyn = 1.000.000*0,02=20.000 CADNu cng ty thc hin quyn, tng s CAD cng ty phi chi ra (bao gm c ph) l:1.000.000*1,2345+20.000=1.254.500 CADTH1: USD/CAD=1,2821, gi ny s p dng khi cng ty khng thc hin quyn, khi tng s CAD phi chi ra (bao gm c ph) l:1.000.000*1,2821+20.000=1.302.100 CAD>1.254.500=>TH ny cng ty thc hin quyn vo thi im o hn v s CAD chi ra l 1.254.500TH2: USD/CAD = 1,2345 ng bng mc gi thc hin, do vy trong TH ny cng ty thc hin hp ng hay khng nh nhau v tng s CAD phi chi ra l 1.254.500 CADTH3: USD/CAD=1,1904, tng s CAD phi chi ra (bao gm c ph) l:1.000.000*1,1904+20.000=1.210.400 CAD TH ny cng ty khng thc hin quyn vo thi im o hn v s CAD chi ra l 1.210.400

3.3 Nghip v mua bn quyn chn bnv dMt cng ty xut khu M c khon phi thu tr gi 100.000 GBP thi hn 1 thng. Cng ty k hp ng mua quyn chn bn GBP/USD thi hn 1 thng vi cc iu khon nh sau:- Gi thc hin 1,60 USD- Ph quyn 0,04 USDGi s gi giao ngay sau 1 thng c th xy ra cc tnh hung nh sau:1. GBP/USD = 1,582. GBP/USD = 1,603. GBP/USD = 1,64Hi trng hp no cng ty thc hin quyn, trng hp no quyn ht hn. Xc nh s USD mua c trong mi trng hp

3.3 Nghip v mua bn quyn chn bnp nPh quyn = 100.000*0,04 = 4.000 USDNu cng ty thc hin quyn, tng s USD mua c (sau khi tr ph) l:100.000*1,60 - 4.000=156.000 USDTH1: GBP/USD=1,58, gi ny s p dng khi cng ty khng thc hin quyn, khi tng s USD mua c (sau khi tr ph) l:100.000*1,58 - 4.000=154.000 USDTH ny cng ty thc hin quyn vo thi im o hn v s USD mua c l 156.000TH2: GBP/USD=1,60 ng bng mc gi thc hin, do vy trong TH ny cng ty thc hin hp ng hay khng nh nhau v tng s USD mua c l 156.000USDTH3: GBP/USD=1,64, tng s USD mua c (sau khi tr ph) l:100.000*1,64 - 4.000=160.000 USD>156.000=>TH ny cng ty khng thc hin quyn vo thi im o hn v s USD mua c l 160.000 USD

3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuV d 1: Cng ty xut khu Thy S (CHF) c khon thu 500.000 GBP trong 1 thng ti. Cng ty cn nhc ba phng n:- PA1: Khng phng nga, bn GBP trn th trng giao ngay khi n thi im thanh ton- PA2: Phng nga ri ro bng cch k hp ng bn k hn 1 thng GBP/CHF- PA3: Phng nga ri ro bng cch mua hp ng quyn chn bn GBP/CHFThng tin th trngT gi giao ngay:GBP/USD=1,6725/75 USD/CHF=1,4515/55im k hn 1 thng 79/52; Li sut CHF 1 thng 8-81/2(%/nm)Gi thc hin H quyn chn 2,4276 CHFPh quyn 0,04 CHF, ph tr ngay thi im hin ti. Gi s cng ty c sn CHF thanh tonGi thit t gi giao ngay sau 1 thng:XS 20% GBP/CHF=2,4200XS 70% GBP/CHF=2,4276XS 10% GBP/CHF=2,4376

3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuV d 1- p n:Phng n 1: Khng phng nga, s CHF mua c sau 1 thng l:500.000*(0,2*2,42 + 0,7*2,4276 + 0,1*2,43) = 1.213.160 CHFPhng n 2: Bn k hn 1 thng GBP/CHF theo Dmkh = Dm - im mua k hnDmGBP/CHF = 1,6725*1,4515 = 2,4276; im mua k hn 79=> DmkhGBP/CHF = 2,4276 0,0079 = 2,4197=> s CHF mua c sau 1 thng l: 500.000*2,4197 = 1.209.850 CHF

3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuPhng n 3: Mua quyn chn bn GBP/CHF- Ph quyn chn: 500.000*0,04=20.000 CHF. V ph tr vo thi im hin ti nn ph quyn quy v thi im sau 1 thng s l: 20.000*(1+8%/12) = 20.133,33 CHF- XS 20% GBP/CHF=2,4200 < gi thc hin = 2,4276=>TH ny cng ty thc hin quyn=>s CHF mua c (sau khi tr ph) l: 500.000*2,4276 20.133,33 = 1.193.666,67 CHF- XS 70% GBP/CHF=2,4276 = gi thc hin = 2,4276=>s CHF mua c (sau khi tr ph): 500.000*2,4276 20.133,33 = 1.193.666,67 CHF- XS 10% GBP/CHF=2,4300 > gi thc hin = 2,4276=>TH ny cng ty khng thc hin quyn=>s CHF mua c (sau khi tr ph) l: 500.000*2,43 20.133,33 = 1.194.866,67 CHFs CHF mua c bnh qun trong PA3 l: 1.193.666,67*0,2+ 1.193.666,67*0,7+ 1.194.866,67*0,1=1.193.786,67 CHFKt lun: Cng ty nn la chn phng n 1

3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuV d 2: Cng ty nhp khu Thy S (CHF) c khon phi tr 500.000 GBP trong 1 thng ti. Hy t vn cho cng ty vi ba phng n sau:- PA1: Khng phng nga, mua GBP trn th trng giao ngay khi n thi im thanh ton- PA2: Phng nga ri ro bng cch k hp ng mua k hn 1 thng GBP/CHF- PA3: Phng nga ri ro bng cch mua hp ng quyn chn mua GBP/CHFThng tin th trngT gi giao ngay:GBP/USD=1,6725/75 USD/CHF=1,4515/55im k hn 1 thng 32/59; Li sut CHF 1 thng 8-81/2(%/nm)Gi thc hin H quyn chn 2,4416 CHFPh quyn 0,002 CHF, ph tr ngay thi im hin ti. Gi s cng ty c sn CHF thanh tonGi thit t gi giao ngay sau 1 thng: XS 10% GBP/CHF=2,4400XS 20% GBP/CHF=2,4416XS 70% GBP/CHF=2,4476

3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuV d 2- p n:Phng n 1: Khng phng nga, s CHF phi bn sau 1 thng l:500.000*(0,1*2,44 + 0,2*2,4416 + 0,7*2,4476) = 1.222.820 CHFPhng n 2: Mua k hn 1 thng GBP/CHF theo Dbkh = Db + im bn k hnDbGBP/CHF = 1,6775*1,4555 = 2,4416; im bn k hn 59=> DbkhGBP/CHF = 2,4416 + 0,0059 = 2,4475=> s CHF phi bn sau 1 thng l: 500.000*2,4475 = 1.223.750 CHF

3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuPhng n 3: Mua quyn chn mua GBP/CHF- Ph quyn chn: 500.000*0,002=1.000 CHF. V ph tr vo thi im hin ti nn ph quyn quy v thi im sau 1 thng s l: 1.000*(1+8%/12) = 1.066,67 CHF- XS 10% GBP/CHF=2,4400 < gi thc hin = 2,4416=>TH ny cng ty khng thc hin quyn=>s CHF phi bn (bao gm c ph):500.000*2,4400 + 1.066,67 = 1.221.066,67 CHF- XS 20% GBP/CHF=2,4416 = gi thc hin = 2,4416=>s CHF phi bn (bao gm c ph) l: 500.000*2,4416 + 1.066,67 = 1.221.866,67 CHF- XS 70% GBP/CHF=2,4476 > gi thc hin = 2,4416=>TH ny cng ty thc hin quyn=>s CHF phi bn (bao gm c ph): 500.000*2,4416 + 1.066,67 = 1.221.866,67 CHFs CHF phi bn bnh qun trong PA3 l: 1.221.066,67*0,1+ 1.221.866,67*(0,7+0,2)= 1.221.786,67 CHFKt lun: Cng ty nn la chn phng n 3

3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuBi tp vn dng 1: Cng ty nhp khu Thy in (SEK) c khon phi tr 1 triu CHF trong 2 thng ti. Hy t vn cho cng ty vi ba phng n sau:- PA1: Khng phng nga, mua CHF/SEK trn th trng giao ngay khi n thi im thanh ton- PA2: Phng nga ri ro bng cch k hp ng mua k hn 2 thng CHF/SEK- PA3: Phng nga ri ro bng cch mua hp ng quyn chn mua CHF/SEKThng tin th trngT gi giao ngay: USD/CHF = 1,5642/42USD/SEK = 7,8515/55Li sut 2 thng: CHF: 7 71/8 ; SEK: 8 81/2 (%/nm) Gi thc hin H quyn chn 5,0260 SEKPh quyn chn 1,2% gi tr hp ng. Ph c tnh bng SEK theo t gi bn giao ngay CHF/SEK (Db CHF/SEK). Gi s cng ty c sn SEK thanh tonGi thit t gi giao ngay sau 2 thng: XS 20%: CHF/SEK = 4,9860 XS 10% CHF/SEK = 5,0260 XS 70% CHF/SEK = 5,1976

3.4 Bi tp tng hp T vn cho doanh nghip xut - nhp khuBi tp vn dng 2: Cng ty xut khu Thy in (SEK) c khon phi thu 1 triu CHF trong 2 thng ti. Hy t vn cho cng ty vi ba phng n sau:- PA1: Khng phng nga, bn CHF/SEK trn th trng giao ngay khi n thi im thanh ton- PA2: Phng nga ri ro bng cch k hp ng bn k hn 2 thng CHF/SEK- PA3: Phng nga ri ro bng cch mua hp ng quyn chn bn CHF/SEKThng tin th trngT gi giao ngay: USD/CHF = 1,5642/42USD/SEK = 7,8515/55Li sut 2 thng: CHF: 7 71/8 ; SEK: 8 81/2 (%/nm) Gi thc hin H quyn chn 5,0260 SEKPh quyn chn 1,2% gi tr hp ng. Ph c tnh bng SEK theo t gi bn giao ngay CHF/SEK (Db CHF/SEK). Gi s cng ty c sn SEK thanh tonGi thit t gi giao ngay sau 2 thng: XS 20%: CHF/SEK = 4,9860 XS 70% CHF/SEK = 5,0260 XS 10% CHF/SEK = 5,1976

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