In mid-September your firm had a foreign currency obligation to pay £5 million in mid-September 2016. You were asked to assist in hedging the exchange rate risk. At the time you gathered the following information:
Term U.S. dollar pound sterling
12-month borrowing rate 2.000% p.a. 6.050% p.a.
12-month deposit rate 1.850% p.a. 5.948% p.a.
Strike Call Put Expiration
15300 6.57 2.50 September 2016
This question belongs to international finance and discusses about foreign currency obligation.
Word count: Excel format
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