Hedging Foreign Exchange Risk for Indian Exporters and ... · Hedging Foreign Exchange Risk for...
32
Hedging Foreign Exchange Risk for Indian Exporters and Importers Uwe Wystup Version 2015
Transcript of Hedging Foreign Exchange Risk for Indian Exporters and ... · Hedging Foreign Exchange Risk for...
Hedging Foreign Exchange Risk for Indian Exporters and Importers
Uwe Wystup Version 2015
Overview
55
60
65
70
75
80
85
90
Thurs
day 2
3 J
uly
2015
Sunday 1
4 J
une 2
015
Wednesd
ay 6
May 2
015
Satu
rday 2
8 M
arc
h 2
015
Tuesd
ay 1
7 F
ebru
ary
2015
Tuesd
ay 1
3 J
anuary
2015
Fri
day 5
Decem
ber
2014
Monday 2
7 O
cto
ber
2014
Thurs
day 1
8 S
epte
mber
2014
Sunday 1
0 A
ugust
2014
Wednesd
ay 2
July
2014
Satu
rday 2
4 M
ay 2
014
Tuesd
ay 1
5 A
pri
l 2014
Fri
day 7
Marc
h 2
014
Monday 2
7 J
anuary
2014
Wednesd
ay 2
5 D
ecem
ber
2013
Thurs
day 2
1 N
ovem
ber
2013
Satu
rday 1
9 O
cto
ber
2013
Satu
rday 1
4 S
epte
mber
2013
Tuesd
ay 6
August
2013
Fri
day 2
8 J
une 2
013
Monday 2
0 M
ay 2
013
Thurs
day 1
1 A
pri
l 2013
Sunday 3
Marc
h 2
013
Wednesd
ay 2
3 J
anuary
2013
Satu
rday 1
5 D
ecem
ber
2012
Tuesd
ay 6
Novem
ber
2012
Fri
day 2
8 S
epte
mber
2012
Monday 2
0 A
ugust
2012
Thurs
day 1
2 J
uly
2012
Sunday 3
June 2
012
Wednesd
ay 2
5 A
pri
l 2012
Satu
rday 1
7 M
arc
h 2
012
Tuesd
ay 7
Febru
ary
2012
Fri
day 3
0 D
ecem
ber
2011
Monday 2
1 N
ovem
ber
2011
Thurs
day 1
3 O
cto
ber
2011
Sunday 4
Septe
mber
2011
Wednesd
ay 2
7 J
uly
2011
Satu
rday 1
8 J
une 2
011
Tuesd
ay 1
0 M
ay 2
011
Fri
day 1
Apri
l 2011
Monday 2
1 F
ebru
ary
2011
Thurs
day 1
3 J
anuary
2011
Sunday 5
Decem
ber
2010
Wednesd
ay 2
7 O
cto
ber
2010
Satu
rday 1
8 S
epte
mber
2010
Tuesd
ay 1
0 A
ugust
2010
Fri
day 2
July
2010
Monday 2
4 M
ay 2
010
Thurs
day 1
5 A
pri
l 2010
Sunday 7
Marc
h 2
010
Wednesd
ay 2
7 J
anuary
2010
Satu
rday 1
9 D
ecem
ber
2009
Tuesd
ay 1
0 N
ovem
ber
2009
EUR-INR 2009-2015
FX Risk - 3 simple questions
FX Risk - 3 further questions
FX Risk - 3 harder questions
FX Risk - 3 questions about the core responsibility of management
55
60
65
70
75
80
85
90
Thurs
day 2
3 J
uly
2015
Sunday 1
4 J
une 2
015
Wednesd
ay 6
May 2
015
Satu
rday 2
8 M
arc
h 2
015
Tuesd
ay 1
7 F
ebru
ary
2015
Tuesd
ay 1
3 J
anuary
2015
Fri
day 5
Decem
ber
2014
Monday 2
7 O
cto
ber
2014
Thurs
day 1
8 S
epte
mber
2014
Sunday 1
0 A
ugust
2014
Wednesd
ay 2
July
2014
Satu
rday 2
4 M
ay 2
014
Tuesd
ay 1
5 A
pri
l 2014
Fri
day 7
Marc
h 2
014
Monday 2
7 J
anuary
2014
Wednesd
ay 2
5 D
ecem
ber
2013
Thurs
day 2
1 N
ovem
ber
2013
Satu
rday 1
9 O
cto
ber
2013
Satu
rday 1
4 S
epte
mber
2013
Tuesd
ay 6
August
2013
Fri
day 2
8 J
une 2
013
Monday 2
0 M
ay 2
013
Thurs
day 1
1 A
pri
l 2013
Sunday 3
Marc
h 2
013
Wednesd
ay 2
3 J
anuary
2013
Satu
rday 1
5 D
ecem
ber
2012
Tuesd
ay 6
Novem
ber
2012
Fri
day 2
8 S
epte
mber
2012
Monday 2
0 A
ugust
2012
Thurs
day 1
2 J
uly
2012
Sunday 3
June 2
012
Wednesd
ay 2
5 A
pri
l 2012
Satu
rday 1
7 M
arc
h 2
012
Tuesd
ay 7
Febru
ary
2012
Fri
day 3
0 D
ecem
ber
2011
Monday 2
1 N
ovem
ber
2011
Thurs
day 1
3 O
cto
ber
2011
Sunday 4
Septe
mber
2011
Wednesd
ay 2
7 J
uly
2011
Satu
rday 1
8 J
une 2
011
Tuesd
ay 1
0 M
ay 2
011
Fri
day 1
Apri
l 2011
Monday 2
1 F
ebru
ary
2011
Thurs
day 1
3 J
anuary
2011
Sunday 5
Decem
ber
2010
Wednesd
ay 2
7 O
cto
ber
2010
Satu
rday 1
8 S
epte
mber
2010
Tuesd
ay 1
0 A
ugust
2010
Fri
day 2
July
2010
Monday 2
4 M
ay 2
010
Thurs
day 1
5 A
pri
l 2010
Sunday 7
Marc
h 2
010
Wednesd
ay 2
7 J
anuary
2010
Satu
rday 1
9 D
ecem
ber
2009
Tuesd
ay 1
0 N
ovem
ber
2009
EUR-INR 2009-2015
FX Risk Problem
FX Risk – Traditional Hedging Methods
FX Risk – Advanced Hedging Methods
Structured Products Workshop: Shark Forward
Structured Products Workshop: Shark Forward
Currency pair EUR-INR
Notional Company buys 1 crore EUR
Spot reference 70
6 Months forward rate 75.15
Expiry 1 Year
Worst case 185 pips above forward
Trigger 900 pips below spot
Final exchange rate Min(worst case, spot at
expiry) if trigger not touched
Upfront premium zero
EUR buyer Shark Forward
60
65
70
75
80
85
58
60
61
63
64
66
67
69
70
72
73
75
76
78
79
81
82
84
exch
an
ge r
ate
spot at maturity
Shark Forward (EUR buyer)
shark rate
outright forward rate
FX Risk – Dangerous (but Tempting) Hedging Methods
FX Risk Problem
FX Risk – Traditional Hedging Methods
FX Risk – Advanced Hedging Methods
Structured Products Workshop: Shark Forward
Structured Products Workshop: Shark Forward
Currency pair EUR-INR
Notional Company sells 1 crore EUR
Spot reference 70
6 Months forward rate 75.15
Expiry 1 Year
Worst case 215 pips below forward
Trigger 1678 pips above spot
Final exchange rate Max(worst case, spot at
expiry) if trigger not touched
Upfront premium zero
EUR Seller Shark Forward
70
72
74
76
78
80
82
84
86
88
90
70
72
73
75
76
78
79
81
82
84
85
87
88
exch
an
ge r
ate
spot at maturity
Shark Forward (EUR seller)
shark rate
outright forward rate
Target Forward (TRF)
Target Redemption FWD
Volmaster FX: multi-leg pricing page
EUR-INR Volatility Surface 24 July 2015
Bloomberg OVDV example
EUR-INR ATM and RR 2014-2015
MathFinance Added Value
FX Options Related Publications
Contact us www.mathfinance.com
[email protected] +49 700 MATHFINANCE
+49 69 3740 3492
Frankfurt London Singapore
