Question: A company will need to borrow an amount of $8 million next June for a period of 3 months. The actual 3 month B/A is
A company will need to borrow an amount of $8 million next June for a period of 3 months. The actual 3 month B/A is 1.90%, the BAX maturity June 2020 is 2.05% and the BAX maturity September 202 is 2.15%. A) Please write the future contract B) If at maturity CDOR is 97.65, please indicate the outcome of your future hedge: i) say if you have a profit or a loss ii) calculate how much is that outcome. C) If you had decided to hedge with an Option at 15 basis points OTM (out of the money) i) what would have been the stike price ii) would you have acquired a Call or a Put option
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