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    VD Derivatives (Gui SV)

    Uploaded by

    vyl488508

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd

    VD Derivatives (Gui SV)

    Uploaded by

    vyl488508
    10 views3 pages

    Original Title

    VD derivatives (gui SV)

    Copyright

    © © All Rights Reserved

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    XLSX, PDF, TXT or read online from Scribd

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    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
    10 views3 pages

    VD Derivatives (Gui SV)

    Uploaded by

    vyl488508

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Download as xlsx, pdf, or txt
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    EX1.

    ON 1 JAN 2018, COMPANY A ENTERED A FORWARD CONTRACT WITH COMPANY B FOR 100KG COMMODITY,
    CONTRACTED FORWARD PRICE IS 30/UNIT, MATURITY DATE IS 31 MARCH 2018. THE FOLLOWING INFORMATION IS
    GIVEN:

    CURRENT FORWARD
    DATE SPOT PRICE PRICE
    1/1/2018 25 30
    31/1/2018 28 34
    28/2/2018 30 31
    31/3/2018 32 32
    DISCOUNT RATE: 8%/ANNUM
    DISCOUNT
    DATE CONTRACTED FP CURRENT FP NOTIONAL AMOUNT FV CHANGE IN FV
    FACTOR
    1/1/2018
    31/1/2018
    28/2/2018
    31/3/2018

    DOUBLE ENTRIES:
    1/1/2018
    31/1/2018

    28/2

    31/3

    31/3/2018
    CLOSING
    EX2. ON 1 JAN 2018, COMPANY PURCHASES A FUTURE CONTRACT (THROUGH
    CLEARING HOUSE) FOR LONG POSITION. INFORMATION OF CONTRACT: NOTIONAL
    AMOUNT: 100KG COMMODITY, CONTRACTED FUTURE PRICE IS 30/UNIT, MATURITY
    DATE IS 31 MARCH 2018. THE FOLLOWING INFORMATION IS GIVEN:
    CURRENT FUTURE
    DATE SPOT PRICE PRICE
    1/1/2018 25 30
    2/1/2018 28 34
    3/1/2018 30 31
    4/1/2018 32 32
    MARGIN DEPOSIT AT 1/1/2018: 500.

    CURRENT NOTIONAL CHANGE


    DATE CONTRACTED FP FV
    FP AMOUNT IN FV

    1/1/2018 30 30 100
    2/1/2018 30 34 100
    3/1/2018 30 31 100
    4/1/2018 30 32 100

    DOUBLE ENTRIES:
    1/1/2018

    2/1/2018

    3/1/2018

    4/1/2018
    E1. COMPANY A SOLD A CALL OPTION FOR B. NOTIONAL
    AMOUNT: 2.000 SHARES X, STRIKE PRICE: 20/SHARE.
    PREMIUM AMOUNT 5.000.
    HOLDER
    WRITER (PAY OFF) FV (OPTION
    SPOT PRICE OF X (PAY OFF) -
    - VỊ THẾ BÁN VALUE)
    VỊ THẾ MUA
    15
    18
    20
    22
    25

    E2. COMPANY A SOLD A PUT OPTION FOR B. NOTIONAL AMOUNT:


    2.000 SHARES X, STRIKE PRICE: 20/SHARE. PREMIUM AMOUNT 5.000.
    HOLDER
    WRITER (PAY OFF) FV (OPTION
    SPOT PRICE OF X (PAY OFF) -
    - VỊ THẾ MUA VALUE)
    VỊ THẾ BÁN
    15
    18
    20
    22
    25

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