High score. . . Several exercises of futures options! ! ! Waiting online. . .

Hello, these three topics are finished. It is a bit troublesome to send the first question directly, because it involves graphics, and only one graphic can be uploaded here. How are the last two questions?

If necessary in the future, I can send you my typeset word file at a glance. It took me two hours to make it, and it seems that the effect is ok. ?

1. Analysis

Long-term hedging is to buy a call option and a put option at the same time. Their execution price and expiration date are the same. According to the definition of multi-head knock: C=P?

What is the profit chart of buying European call options?

The profit chart of buying European put options is:?

The profit chart after multiple knocks on the door is as follows (see attached figure)?

2. analysis:?

(1) When the futures contract is sold at the price of 89 yuan, if the price of asset A is higher than that of 89 yuan in July, it will be a loss, and if it is lower than that of 89 yuan, it will be a profit. Its profit curve can be expressed as:?

T=89-P？

(2) Buy a call option with the exercise price of 88 yuan and the option fee of 3 yuan, then: If the asset price of A is lower than that of 88 yuan in July, the option will not work, the option fee is 3 yuan, and the net income is -3 yuan; If the price is higher than 88 yuan and lower than 9 1 yuan, exercise the option, the option fee is 9 1-P, and the net income is P-9 1 yuan; If the price is higher than 9 1 yuan, the option will be exercised and the income will be P-9 1 yuan. ?

Comprehensive (1)(2): draw:?

P & lt88 points, T=89-P-3=86-P?

P & gt88, T=89-P+P-9 1=-2?

It can be concluded that the combination of (1) and (2) is equivalent to buying a put option with the price of 88 yuan, and the option fee is 2 yuan. If the price falls below 86 yuan, it will be profitable. That is to say, the premium of synthetic long put option is 2 yuan. ?

3. answer:?

A. This is feasible, and the theoretical basis is the interest rate swap theory. ?

B. Before the swap, the interest paid by Company A is: 20 million * (how much? LIBOR+0.25%)？

The interest payable by Company A is: 20 million * 10%?

After the swap, the interest to be paid by Company A is: 20 million * (how much? LIBOR+0.75%)？

The interest to be paid by Company A is: 20 million *9%?

Total reduction of financing cost after swap:?

10%+? LIBOR+0.25%-(9%+？ LIBOR+0.75%)=0.5%？

Suppose the fixed interest rate of Party A's loan to Party B is I?

Company B's direct loan has a fixed interest rate of 10%, so I must first meet the following conditions: I

Secondly, Company A cannot lose money in interest rate swap.

Then I-9% >; =? LIBOR+0.75%-？ LIBOR+0.25%？

To sum up, 9.5% is calculated.