Bi tp Ti chnh quc t

Chng V
Th trng ngoi hi
Dng 1: Nghip v k hn
Dng 2: Nghip v Swap
Dng 3: Nghip v quyn chn

Dng 1: NGHIP V K HN
1.1 Xc nh t gi k hn
1.2 Thc hin nghip v kinh doanh k hn
1.3 ng dng Arbitrages vo nghip v kinh doanh
k hn
1.4 Nghip v ng trc

NGHIP V K HN
1.1 Xc nh t gi k hn - Cch yt gi k hn

Thng bo trc tip t gi k hn

Yt gi theo kiu cng b theo im k hn

T gi k hn = T gi giao ngay im k hn
- Nu im bnim gi mua:
T gi k hn = t gi giao ngay + im k hn
- Nu im bn<im gi mua:
T gi k hn = t gi giao ngay - im k hn

NGHIP V K HN
1.1 Xc nh t gi k hn

Dbkh

Dmkh

= Db +

= Dm +

Db * ( T 2 b - T 1 m ) * N

36 . 000 + T 1 m*N
Dm * ( T 2 m - T 1 b ) * N
36 . 000 + T 1 b*N

Trong : Dm, Db: t gi giao ngay

N: s ngy k hn
T2m: li sut tin gi ng tin th 2
T1b: li sut cho vay ng tin th 1

NGHIP V K HN
1.1 Xc nh t gi k hn - Lu

Theo th trng Anh Tnh ton lin quan n GBP:

- 1 nm tnh 365 ngy => trong cng thc: mu s l 36500

- Chuyn ton b li sut cc ng tin khc v 365 ngy

Th trng thng thng

- 1 nm tnh 360 ngy

- Chuyn li sut ng GBP v 360 ngy

Phi tnh chnh xc s ngy ca k hn theo lch, thng 2 tnh 28 ngy

Trng hp khng cho ngy c th, tnh trung bnh 1 thng c 30 ngy

NGHIP V K HN
1.2 Kinh doanh k hn - V d:
Thng tin trn th trng:
T gi giao ngay: USD/CHF = 1,5642/42
T gi k hn 3 thng
USD/CHF = 1,5856/87
Li sut k hn 3 thng (nim yt theo nm).
USD:41/8 41/2

CHF: 7 71/2

Ph ph NH: 1/8 (0.125%)

ng X c s tin l 1.500.000 CHF, hy thc hin kinh doanh theo k
hn cho ng X.

NGHIP V K HN
1.2 Kinh doanh k hn p n:

Bc 1: Mua USD/CHF theo Db giao ngay=1,5742

=>s USD mua c: 1.500.000/1,5742=952.864,9473

Bc 2: Gi USD trn th trng tin t 3 thng theo li sut:

41/8 - 1/8=4 (%/nm)

=>s USD c gc v li sau 3 thng:
952.864,9473*(1+90*4/36000)=962.393,5967

NGHIP V K HN
1.2 Kinh doanh k hn p n:

Bc 3: K hp ng k hn bn USD/CHF 3 thng theo Dmkh =1,5856

S CHF nhn c sau 3 thng:

962.393,5967*1,5856=1.525.971,287 CHF

S CHF ban u nu em gi ngn hng vi ls (7-0.125 = 6,875), sau 3 thng

thu c: 1.500.000*(1+6,875*90/36.000)=1.525.781,25
Li nhun: 1.525.971,287 1.525.781,2500 = 190,037 CHF

NGHIP V K HN
1.2 Kinh doanh k hn Bi tp p dng:

Ti th trng Anh t gi giao ngay GBP/USD = 2,0345/12

im k hn 3 thng GBP/USD c im gia tng 35/45

GBP: 9 91/8 (tnh cho 365 ngy)
USD: 4 41/2 (tnh cho 360 ngy)
ng Y hin c 500.000 GBP. Hy thc hin kinh doanh k hn cho ng Y

NGHIP V K HN
1.2 Kinh doanh k hn p n:

Bc 1: Bn 500.000 GBP theo Dm GBP/USD=2,0345

S USD mua c 500.000*2,0345=1.017.250 USD

Bc 2: Gi USD trn th trng tin t thi hn 3 thng

Trn th trng Anh nn li sut 3thng ca USD l 4*365/360 = 4,05%

=>s USD nhn c sau 3thng l:

1.017.250* (1 + 90*4,05/36.500 ) = 1.027.408,565 USD

NGHIP V K HN
1.2 Kinh doanh k hn p n:

Bc 3: Ti thi im hin ti, mua hp ng k hn 3 thng GBP/USD theo Db

k hn 3 thng l: 2,0412+0.0045=2,0457

S GBP nhn c sau 3 thng: 1.027.408,565/2,0457=502.228,364 (GBP)

S GBP ban u nu em gi ngn hng vi li sut 9%/nm

Sau 3 thng nhn c 500.000 * (1+9*90/36.500) = 511.095,890 (GBP)

Nghip v kinh doanh b l: 511.095,890 - 502.228,364 = 8.867,526 (GBP)

1.3. ng dng Ac-bit trong thanh ton k hn

- Thc hin giao dch cho cng ty theo t gi k
hn
- Cc trng hp xy ra:
1/ Khng tnh pht sinh qua s d ti khon

2/ Tnh pht sinh qua s d ti khon

1.3. ng dng Acbit trong thanh ton k hn

V d

Mt cng ty ca Hng Kng(HKD) trong ngy 11.2 nhn c thng bo sau:

- Trong cng ngy h c thanh ton khon tin hng tr gi 50.000 GBP v
3.500.000 SEK ng thi h phi chi tr 45.000 EUR v 1.000.000 CHF
- 3 thng sau h nhn c 30.000 EUR v phi chi tr 15.000 GBP.

Hy ng dng Acbit trong thanh ton v d bo ti khon trong 3 thng ti cho cng
ty (gi thit mi s d khng sinh li)

Thng tin th trng:

GBP/EUR =1,4388/1,4528
SEK/CHF = 0,1797/49

GBP/CHF = 2,4021/2,4240
EUR/HKD = 10,8924/10,9705

Li sut th trng 3 thng: GBP: 91/8 - 91/4; EUR: 4 41/2; HKD: 83/8 85/8

1.3. ng dng Ac-bit trong thanh ton k hn

B1: Ti thi im giao ngay ngy 11/2 thc hin giao dch cho

cng ty. Tng t v d phn Acbit giao ngay. Kt thc bc 1,

tnh c s HKD cng ty phi bn l 2.143.808,229 HKD

B2: Thc hin giao dch cho cng ty theo t gi k hn: t ngy
11/2 n 11/5: 89 ngy.

Bc 2

Cng ty bn 3t EUR/GBP:

Dm 3tEUR/GBP = Dm +

Dm(T2m - T1b)89
0,6883 (9 - 4,5)89
= 0,6883 +
= 0,6958
36.000 + T1b * 89
36 .000 + 4,5 * 89

(T2mGBP=9,125*360/365=9 ; T1bEUR=4,5)
=>S EUR chi thanh ton cho GBP l 15000/0,6958=21.557,9189
=>s EUR cn d:30.000-21.557,9189=8.442,0811

Cng ty bn 3tEUR/HKD
Dm(T2m - T1b)89
10 ,8924 (8,375 - 4,5)89
Dm 3tEUR/GBP = Dm +
= 10 ,8924 +
= 10 ,9955
36.000 + T1b * 89
36 .000 + 4,5 * 89

=>s HKD mua c:8.442,0811*10,9955=92.824,9027

Trng hp 1:
Khng tnh pht sinh qua s d ti khon

B1: S HKD cng ty phi bn l 2.143.808,229 HKD

B2: S HKD cng ty mua c sau 3 thng l 92.824,9027 HKD

=> Kt lun: gi tr ti khon cng ty sau 3 thng l: 92.824,9027 -

2.143.808,229 = - 2.050.983,326

Trng hp 2:
Tnh pht sinh qua s d ti khon
a/ Kt thc bc 1: ti khon ca cng ty l m: cng ty phi vay ni t trn th trng

tin t thanh ton cho i tc=>tnh c gc v li phi tr sau N ngy.

Ly kt qu bc 2 tr i tng gc v li phi tr

b/ Kt thc bc 1, ti khon ca cng ty d tha

=> cng ty gi trn th trng tin t =>tnh c gc v li nhn sau N ngy.
Ly kt qu bc 2 cng vi tng gc v li nhn

1.3. ng dng Acbit trong thanh ton k hn

Bi tp vn dng

Mt cng ty ca NaUy (NOK) trong ngy 10/4 nhn c thng bo sau:

- Trong cng ngy h c thanh ton khon tin hng tr gi 500.000 EUR v
5.000.000 SEK ng thi h phi chi tr 1.000.000 CAD.
- 2 thng sau h s nhn c 500.000 GBP v phi chi tr 800.000 AUD.

Hy ng dng Acbit trong thanh ton v d bo ti khon trong 2 thng ti cho cng
ty.

Thng tin th trng:

EUR/USD=1,3437/67
USD/SEK=7,8310/97

CAD/USD=0,8618/48

GBP/USD=1,7395/05

USD/NOK=6,7370/25 USD/AUD=1,1235/75

Li sut th trng 2 thng: GBP: 91/8 - 91/4; AUD: 3 31/2; NOK: 6 61/2
Ph ph NH 1/8

1.3. ng dng Acbit trong thanh ton k hn

Bi tp vn dng
Mt cng ty ca an Mch trong ngy 30/1 nhn c thng bo 6
thng sau h s nhn c 1.200.000 DKK ng thi phi chi tr
600.000 SGD cho i tc nc ngoi. Hy ng dng cc nghip v (cbt v giao dch k hn) thc hin ngha v thanh ton v d bo ti
khon ca Cng ty theo ng EUR sau 6 thng khi bit thng tin th
trng:
USD/DKK= 6,9255/15
USD/SGD= 1,3515/59
EUR/USD= 1,2525/55
Li sut (% tnh theo nm) ca k hn 6 thng ca cc ng tin l
DKK: 6 6,5; USD: 7 7,125; SGD: 5 5,25; EUR: 6 6,5

1.4 Nghip v ng trc

p dng vi cc khon thu c k hn.

Xin ng trc s tin s dng ngay p ng nhu cu vn trong kinh doanh
cng nh phng nga c ri ro khi ngoi t c kh nng gim gi.
C hai phng n:
- Phng n 1: Bn k hn ngoi t ly ni t, sau xin ng trc.
- Phng n 2: Xin ng trc ngoi t sau bn giao ngay ly ni t
Cng thc:
CE: s tin xin ng trc
C : s tin s nhn c trong tng lai
T : Li sut p dng (li sut vay)
N: s ngy ca k hn

CE = C * (1 -

TN
)
36.000 + TN

1.4 Nghip v ng trc

V d

Mt cng ty trong thi gian 3 thng ti c khon thu tr gi 50.000

GBP. Thi im hin ti c nhu cu s dng EUR.

Hy t vn cho cng ty phng n hiu qu nht
Thng tin th trng:

T gi giao ngay: GBP/EUR = 1,2916/1,3102

Li sut 3 thng:
GBP: 91/16 91/4
Ph ph NH: 1/8

EUR: 51/8 51/4

1.4 Nghip v ng trc

V d

Phng n 1:

- Cng ty bn k hn 3 thng GBP/EUR theo Dmkh

Dm(T2m - T1b)90 1,2916 1,2916 * (5,125 - 9,123)*90
= Dm +
=
+
= 1,2789
+
36.000 T1b * 90
36000 + 9,123*90

s EUR s thu c sau 3 thng

= 50.000 * 1,2789 = 63.945 EUR

- Cng ty xin ng trc EUR, s EUR xin ng trc l

CE

= 63.945

* (1 -

5,375*90
36.000

+ 5,375*90

) = 63.097,132

1.4 Nghip v ng trc

V d

Phng n 2:

- Cng ty xin ng trc GBP. s GBP ng trc l:

CE = 50.000 * (1 -

9,248*90
36.000

+ 9,248*90

- Bn giao ngay GBP/EUR theo Dm = 1,2916

s EUR mua c l
48.870,12 * 1,2916 = 63.120,65 EUR
Kt lun: cng ty nn la chn phng n 2

) = 48.870,12

1.4 Nghip v ng trc

Bi tp vn dng

Cng ty M trong ngy 9/9 nhn c thng bo 6 thng ti h c

thanh ton 100.000 EUR v 35.000 GBP. Thi im hin ti h c

nhu cu s dng ngay USD. Hy t vn cho cng ty phng n c
hiu qu nht.

Thng tin th trng

- T gi giao ngay
GBP/USD=1,7393/05

EUR/USD=1,3437/67

- Li sut 6 thng:
GBP:91/8 91/4

EUR:51/4-51/2

USD:41/2-45/8 (%/nm)

Dng 2: NGHIP V SWAP

-

Khi qut v nghip v Swap

ng dng nghip v Swap i vi ngn hng

ng dng nghip v Swap i vi khch hng

2. Nghip v Swap

Swap l vic hon i mt lng c nh mt ng tin ny ly

mt lng bin i ng tin khc trong mt thi gian xc nh

bng cch k cng mt lc hai hp ng: hp ng mua bn giao

ngay v hp ng bn mua k hn tng ng phng nga ri ro

t gi xy ra i vi mt ng tin no

Thng c thc hin khi cc ch th ang trong tnh trng

d tha mt ng tin no ng thi li cn mt ng tin

khc

2. Nghip v Swap
2.1 ng dng nghip v Swap i vi ngn hng
2.1.1 Ngn hng ang d tha mt lng ngoi t v cn mt
lng c nh ngoi t khc
2.1.2 Ngn hng ang d tha mt lng c nh ngoi t v cn
mt lng ngoi t khc

2. Swap vi ngn hng Cng thc tng qut

Mua giao ngay: Dbq=

Bn k hn:

Dm +Db

2
Dbq (T2m - T1b) N
Dswap = Dbq +
36000 + T1b * N

Bn giao ngay: Dbq=

Dm +Db
2

Mua k hn:

Dswap = Dbq +

Dbq (T2b
- T1m) N
36000 + T1m * N

2. Swap vi ngn hng

2.1.1 Ngn hng cn mt lng c nh ngoi t khc - V d:

Ngn hng A cn 1.000.000 EUR trong 90 ngy ti, trong khi hin ti ang
d tha USD. Thc hin nghip v Swap cho ngn hng.

Thng tin th trng:

EUR/USD = 1,1235/75
Li sut 3 thng:

USD: 4,25 4,5 (%)

EUR: 5,125 - 5,25 (%)

2. Swap vi ngn hng

2.1.1 Ngn hng cn mt lng c nh ngoi t khc p n:
Bc 1: Ti J+2, ngn hng nhn t i tc kinh doanh 1.000.000 EUR v bn
giao ngay USD theo t gi bnh qun giao ngay EUR/USD. S USD bn l:
1.000.000 * 1,1255 = 1.125.500 USD
Bc 2: Ti J+2+90, ngn hng tr 1.000.000 EUR cho i tc kinh doanh
v nhn li s USD theo Dswap

2. Swap vi ngn hng

2.1.1 Ngn hng cn mt lng c nh ngoi t khc p n:
Dswap EUR/USD = Dbq + ph tn Swap

Dbq (T2m - T1b) *90

36000 + T1b * 90
1 ,1255 ( 4 , 25 - 5 , 25 ) 90
= 1 ,1255 +
= 1 ,1227
36000 + 5 , 25 * 90
Dswap

EUR/USD

= Dbq +

S USD ngn hng nhn li: 1.000.000*1,1227 = 1.122.723 (USD)

2. Swap vi ngn hng

2.1.2 Ngn hng d tha mt lng c nh ngoi t - V d:

Ngn hng A hin ti d tha 1.000.000 EUR trong 90 ngy, trong khi cn s
dng USD. Thc hin nghip v Swap cho ngn hng.
Thng tin th trng
EUR/USD = 1,1235/75
Li sut 3 thng:

USD: 4,25 4,5 (%)

EUR: 5,125 - 5,25 (%)

2. Swap vi ngn hng

2.1.2 Ngn hng d tha mt lng c nh ngoi t - V d:
- Bc 1: Ti J+2, ngn hng bn giao ngay cho i tc 1.000.000 EUR theo t
gi bnh qun:

1,1235 + 1,1275
= 1,1255
2
Ngn hng nhn s USD theo t gi bnh qun giao ngay EUR/USD l:
1.000.000*1,1255 = 1.125.500 USD
- Bc 2: Ti J+2+90, ngn hng nhn 1.000.000 EUR t i tc v tr
USD theo Dswap

2. Swap vi ngn hng

S USD m ngn hng cn chi tr l: 1.000.000 * 1,1237 = 1.123.700USD

2. Nghip v Swap
2.2 ng dng nghip v Swap i vi khch hng
2.2.1: Khch hng ang d tha mt lng ngoi t v cn
mt lng c nh ngoi t khc
2.2.2: Khch hng ang d tha mt lng c nh ngoi
t v cn mt lng ngoi t khc

2. Swap vi khch hng Cng thc tng qut

Mua giao ngay: Db

Bn k hn:

Dswap = Db

Dm (T2m
- T1b) N
36000 + T1b * N

Db (T2b
- T1m) N
36000 + T1m * N

Bn giao ngay: Dm

Mua k hn:

Dswap = Dm

2. Swap vi khch hng

2.2.1 Khch hng cn mt lng c nh ngoi t khc - V d:

Cng ty X cn 1.000.000 GBP trong 60 ngy, h tm d tha USD. Thc hin

giao dch Swap cho cng ty.

Thng tin th trng:

GBP/USD = 2,0345/15
Li sut 2 thng
GBP: 9 91/8 ; USD: 4 41/4

2. Swap vi khch hng

2.2.1 Khch hng cn mt lng c nh ngoi t khc p n:
- Bc 1: Ti J+2, cng ty nhn t i tc 1.000.000 GBP v bn giao ngay USD

theo gi Db GBP/USD = 2,0415

s USD giao l: 1.000.000 * 2,0415 = 2.041.500

- Bc 2: Ti J+2+60, cng ty tr 1.000.000 GBP cho i tc v nhn li USD

theo Dswap

2. Swap vi khch hng

2.2.1 Khch hng cn mt lng c nh ngoi t khc p n:

Dm(T 2m - T1b)60
DswapGBP / USD = Db +
36.000 + T1b * 60
Dm = 2,0345; Db = 2,0415
T1b(GBP) = 9,125 * 360 / 365 = 9
T2m(USD) = 4

Dswap = 2,0415 +

2,0345(4 - 9)60
= 2,0247
36000 + 9 * 60

S USD cng ty nhn li: 1.000.000 * 2,0247 = 2.024.700 (USD)

2. Swap vi khch hng

2.2.2 Khch hng d tha mt lng c nh ngoi t - V d:

Cng ty X c tm thi d 1.000.000 GBP trong thi gian 60

ngy, song li cn s dng USD. Thc hin giao dch Swap
GBP/USD cho cng ty
Thng tin th trng:
GBP/USD = 2,0345/15
Li sut 2 thng
GBP: 9 91/8 ; USD: 4 41/4

2. Swap vi khch hng

2.2.2 Khch hng d tha mt lng c nh ngoi t - p n:
- Bc 1: Ti J+2, cng ty bn giao ngay cho i tc 1.000.000 GBP nhn USD theo
gi Dm GBP/USD=2,0345
S USD nhn c 1.000.000 * 2,0345 = 2.034.500
- Bc 2: Ti J+2+60 cng ty nhn li 1.000.000 GBP t i tc ng thi tr li s
USD theo gi Dswap

2. Swap vi khch hng

2.2.2 Khch hng d tha mt lng c nh ngoi t - p n:

Db (T 2 b - T 1m ) 60
DswapGBP / USD = Dm +
36 . 000 + T 1m * 60
Dm = 2,0345; Db = 2,0415
T1m(GBP) = 9 * 360 / 365 = 8,8767
T2b (USD) = 4,25

2,0415 (4,25 - 8,8767 )60

Dswap = 2,0345 +
= 2,0189
36000 + 8,8767 * 60
S USD cng ty phi tr: 1.000.000 * 2,0189 = 2.018.900 USD

2. Nghip v Swap Bi tp vn dng

BT1: Ti th trng c, ngn hng X c nhu cu 800.000 SEK trong 90 ngy,

tin i ng tm d l CAD. Hy thc hin giao dch Swap cho NH.

BT2: Ti th trng Anh, ngn hng Y cn EUR trong 90 ngy, tin i ng h

c l 500.000 CHF. Hy thc hin giao dch Swap cho NH.

BT3: Ti th trng Php, cng ty M tm d 850.000 AUD, h cn s dng

NOK trong 90 ngy. Hy thc hin giao dch Swap cho cng ty.

BT4: Ti th trng Anh, cng ty N cn s dng 300.000 EUR trong 90 ngy,

h c tin i ng l GBP. Hy thc hin giao dch Swap cho cng ty.

2. Nghip v Swap Bi tp vn dng

Thng tin t gi:

GBP/USD=1,7395/15

USD/NOK=6,7370/25

EUR/USD=1,1225/45

USD/AUD=1,3437/67

USD/SEK=7,8310/97

USD/CHF=1,5642/42

USD/CAD=1,1255/95

Li sut 3 thng (%/nm)

GBP:91/16-91/8

NOK:61/4-61/2

EUR:51/4-51/2

AUD:3-31/2

SEK:81/8-81/4

CHF:7 71/2

CAD:6 61/2

DNG 3: NGHIP V QUYN CHN

(OPTIONS)
3.1 Khi qut v nghip v quyn chn
3.2 Nghip v mua bn quyn chn mua

3.3 Nghip v mua bn quyn chn bn

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu

3.1 Khi qut nghip v quyn chn

Trong nghip v quyn chn c hai i tng tham gia giao dch: ngi mua quyn v ngi
bn quyn

i vi ngi mua quyn:

- Quyn chn tin t trao cho ngi mua n quyn ch khng phi ngha v mua hoc bn

mt ng tin xc nh theo mc gi xc nh c tho thun ngy hm nay (cn c gi

l gi thc hin hay gi giao dch) trong mt thi hn xc nh.
- Ngi mua quyn c th la chn thc hin quyn vo thi im thanh ton hoc quyn
ht hn tu thuc vo s chnh lch gia gi giao ngay trong tng lai v gi thc hin.

- Ngi mua quyn lun lun phi tr ph cho d c thc hin quyn hay khng. Mc ph ny
c tr ngay vo thi im k hp ng.

i vi ngi bn quyn:
- Ngi bn quyn c ngha v chp nhn mi s la chn ca ngi mua. i li h c

nhn ph b p ri ro.

3.2 Nghip v mua bn quyn chn mua

v d

Mt cng ty nhp khu Canada phi thanh ton khon tin nhp khu tr gi 1 triu USD
thi hn 1 thng. Cng ty k hp ng mua quyn chn mua USD/CAD thi hn 1 thng
vi cc iu khon nh sau:
- Gi thc hin 1,2345 CAD
- Ph quyn

0,02 CAD

Gi s gi giao ngay sau 1 thng c th xy ra cc tnh hung nh sau:

1. USD/CAD = 1,2821
2. USD/CAD = 1,2345
3. USD/CAD = 1,1904
Hi trng hp no cng ty thc hin quyn, trng hp no quyn ht hn. Xc nh
s CAD phi bn trong mi trng hp

3.2 Nghip v mua bn quyn chn mua

p n

Ph quyn = 1.000.000*0,02=20.000 CAD

Nu cng ty thc hin quyn, tng s CAD cng ty phi chi ra (bao gm c ph) l:
1.000.000*1,2345+20.000=1.254.500 CAD

TH1: USD/CAD=1,2821, gi ny s p dng khi cng ty khng thc hin quyn, khi tng s CAD
phi chi ra (bao gm c ph) l:
1.000.000*1,2821+20.000=1.302.100 CAD>1.254.500

=>TH ny cng ty thc hin quyn vo thi im o hn v s CAD chi ra l 1.254.500

TH2: USD/CAD = 1,2345 ng bng mc gi thc hin, do vy trong TH ny cng ty thc hin hp

ng hay khng nh nhau v tng s CAD phi chi ra l 1.254.500 CAD

TH3: USD/CAD=1,1904, tng s CAD phi chi ra (bao gm c ph) l:

1.000.000*1,1904+20.000=1.210.400 CAD <1.254.500

=>TH ny cng ty khng thc hin quyn vo thi im o hn v s CAD chi ra l 1.210.400

3.3 Nghip v mua bn quyn chn bn

v d

Mt cng ty xut khu M c khon phi thu tr gi 100.000 GBP thi hn 1 thng. Cng
ty k hp ng mua quyn chn bn GBP/USD thi hn 1 thng vi cc iu khon nh
sau:
- Gi thc hin 1,60 USD
- Ph quyn

0,04 USD

Gi s gi giao ngay sau 1 thng c th xy ra cc tnh hung nh sau:

1. GBP/USD = 1,58
2. GBP/USD = 1,60
3. GBP/USD = 1,64
Hi trng hp no cng ty thc hin quyn, trng hp no quyn ht hn. Xc nh
s USD mua c trong mi trng hp

3.3 Nghip v mua bn quyn chn bn

p n

Ph quyn = 100.000*0,04 = 4.000 USD

Nu cng ty thc hin quyn, tng s USD mua c (sau khi tr ph) l:
100.000*1,60 - 4.000=156.000 USD

TH1: GBP/USD=1,58, gi ny s p dng khi cng ty khng thc hin quyn, khi tng s USD mua
c (sau khi tr ph) l:
100.000*1,58 - 4.000=154.000 USD<156.000

=>TH ny cng ty thc hin quyn vo thi im o hn v s USD mua c l 156.000

TH2: GBP/USD=1,60 ng bng mc gi thc hin, do vy trong TH ny cng ty thc hin hp ng

hay khng nh nhau v tng s USD mua c l 156.000USD

TH3: GBP/USD=1,64, tng s USD mua c (sau khi tr ph) l:

100.000*1,64 - 4.000=160.000 USD>156.000

=>TH ny cng ty khng thc hin quyn vo thi im o hn v s USD mua c l 160.000 USD

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu

V d 1: Cng ty xut khu Thy S (CHF) c khon thu 500.000 GBP trong 1 thng ti.
Cng ty cn nhc ba phng n:
- PA1: Khng phng nga, bn GBP trn th trng giao ngay khi n thi im thanh ton
- PA2: Phng nga ri ro bng cch k hp ng bn k hn 1 thng GBP/CHF
- PA3: Phng nga ri ro bng cch mua hp ng quyn chn bn GBP/CHF
Thng tin th trng

T gi giao ngay:GBP/USD=1,6725/75

im k hn 1 thng 79/52; Li sut CHF 1 thng 8-81/2(%/nm)

Gi thc hin H quyn chn 2,4276 CHF

USD/CHF=1,4515/55

Ph quyn 0,04 CHF, ph tr ngay thi im hin ti. Gi s cng ty c sn CHF thanh ton
Gi thit t gi giao ngay sau 1 thng: XS 20% GBP/CHF=2,4200
XS 70% GBP/CHF=2,4276

XS 10% GBP/CHF=2,4376

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu
V d 1- p n:

Phng n 1: Khng phng nga, s CHF mua c sau 1 thng l:

500.000*(0,2*2,42 + 0,7*2,4276 + 0,1*2,43) = 1.213.160 CHF

Phng n 2: Bn k hn 1 thng GBP/CHF theo Dmkh = Dm - im mua k hn

DmGBP/CHF = 1,6725*1,4515 = 2,4276; im mua k hn 79
=> DmkhGBP/CHF = 2,4276 0,0079 = 2,4197
=> s CHF mua c sau 1 thng l: 500.000*2,4197 = 1.209.850 CHF

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu
Phng n 3: Mua quyn chn bn GBP/CHF

- Ph quyn chn: 500.000*0,04=20.000 CHF. V ph tr vo thi im hin ti nn ph

quyn quy v thi im sau 1 thng s l: 20.000*(1+8%/12) = 20.133,33 CHF
- XS 20% GBP/CHF=2,4200 < gi thc hin = 2,4276=>TH ny cng ty thc hin
quyn=>s CHF mua c (sau khi tr ph) l: 500.000*2,4276 20.133,33 = 1.193.666,67 CHF
- XS 70% GBP/CHF=2,4276 = gi thc hin = 2,4276=>s CHF mua c (sau khi tr
ph): 500.000*2,4276 20.133,33 = 1.193.666,67 CHF
- XS 10% GBP/CHF=2,4300 > gi thc hin = 2,4276=>TH ny cng ty khng thc
hin quyn=>s CHF mua c (sau khi tr ph) l:
500.000*2,43 20.133,33 = 1.194.866,67 CHF

s CHF mua c bnh qun trong PA3 l:

1.193.666,67*0,2+ 1.193.666,67*0,7+ 1.194.866,67*0,1=1.193.786,67 CHF

Kt lun: Cng ty nn la chn phng n 1

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu

V d 2: Cng ty nhp khu Thy S (CHF) c khon phi tr 500.000 GBP trong 1 thng
ti. Hy t vn cho cng ty vi ba phng n sau:
- PA1: Khng phng nga, mua GBP trn th trng giao ngay khi n thi im thanh ton
- PA2: Phng nga ri ro bng cch k hp ng mua k hn 1 thng GBP/CHF
- PA3: Phng nga ri ro bng cch mua hp ng quyn chn mua GBP/CHF
Thng tin th trng

T gi giao ngay:GBP/USD=1,6725/75

im k hn 1 thng 32/59; Li sut CHF 1 thng 8-81/2(%/nm)

Gi thc hin H quyn chn 2,4416 CHF

USD/CHF=1,4515/55

Ph quyn 0,002 CHF, ph tr ngay thi im hin ti. Gi s cng ty c sn CHF thanh ton
Gi thit t gi giao ngay sau 1 thng: XS 10% GBP/CHF=2,4400
XS 20% GBP/CHF=2,4416

XS 70% GBP/CHF=2,4476

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu
V d 2- p n:

Phng n 1: Khng phng nga, s CHF phi bn sau 1 thng l:

500.000*(0,1*2,44 + 0,2*2,4416 + 0,7*2,4476) = 1.222.820 CHF

Phng n 2: Mua k hn 1 thng GBP/CHF theo Dbkh = Db + im bn k hn

DbGBP/CHF = 1,6775*1,4555 = 2,4416; im bn k hn 59
=> DbkhGBP/CHF = 2,4416 + 0,0059 = 2,4475
=> s CHF phi bn sau 1 thng l: 500.000*2,4475 = 1.223.750 CHF

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu

Phng n 3: Mua quyn chn mua GBP/CHF

- Ph quyn chn: 500.000*0,002=1.000 CHF. V ph tr vo thi im hin ti nn ph

quyn quy v thi im sau 1 thng s l: 1.000*(1+8%/12) = 1.066,67 CHF
- XS 10% GBP/CHF=2,4400 < gi thc hin = 2,4416=>TH ny cng ty khng thc
hin quyn=>s CHF phi bn (bao gm c ph):500.000*2,4400 + 1.066,67 = 1.221.066,67 CHF
- XS 20% GBP/CHF=2,4416 = gi thc hin = 2,4416=>s CHF phi bn (bao gm c
ph) l: 500.000*2,4416 + 1.066,67 = 1.221.866,67 CHF
- XS 70% GBP/CHF=2,4476 > gi thc hin = 2,4416=>TH ny cng ty thc hin
quyn=>s CHF phi bn (bao gm c ph):
500.000*2,4416 + 1.066,67 = 1.221.866,67 CHF

s CHF phi bn bnh qun trong PA3 l:

1.221.066,67*0,1+ 1.221.866,67*(0,7+0,2)= 1.221.786,67 CHF
Kt lun: Cng ty nn la chn phng n 3

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu

Bi tp vn dng 1: Cng ty nhp khu Thy in (SEK) c khon phi tr 1 triu CHF trong
2 thng ti. Hy t vn cho cng ty vi ba phng n sau:

- PA1: Khng phng nga, mua CHF/SEK trn th trng giao ngay khi n thi im thanh ton
- PA2: Phng nga ri ro bng cch k hp ng mua k hn 2 thng CHF/SEK
- PA3: Phng nga ri ro bng cch mua hp ng quyn chn mua CHF/SEK
Thng tin th trng

T gi giao ngay: USD/CHF = 1,5642/42

Li sut 2 thng:

Gi thc hin H quyn chn 5,0260 SEK

USD/SEK = 7,8515/55

CHF: 7 71/8 ; SEK: 8 81/2 (%/nm)

Ph quyn chn 1,2% gi tr hp ng. Ph c tnh bng SEK theo t gi bn giao ngay
CHF/SEK (Db CHF/SEK). Gi s cng ty c sn SEK thanh ton
Gi thit t gi giao ngay sau 2 thng:

XS 20%: CHF/SEK = 4,9860

XS 10% CHF/SEK = 5,0260
XS 70% CHF/SEK = 5,1976

3.4 Bi tp tng hp T vn cho doanh nghip

xut - nhp khu

Bi tp vn dng 2: Cng ty xut khu Thy in (SEK) c khon phi thu 1 triu CHF trong 2 thng
ti. Hy t vn cho cng ty vi ba phng n sau:
- PA1: Khng phng nga, bn CHF/SEK trn th trng giao ngay khi n thi im thanh ton
- PA2: Phng nga ri ro bng cch k hp ng bn k hn 2 thng CHF/SEK
- PA3: Phng nga ri ro bng cch mua hp ng quyn chn bn CHF/SEK

Thng tin th trng

T gi giao ngay: USD/CHF = 1,5642/42

Li sut 2 thng:

Gi thc hin H quyn chn 5,0260 SEK

USD/SEK = 7,8515/55

CHF: 7 71/8 ; SEK: 8 81/2 (%/nm)

Ph quyn chn 1,2% gi tr hp ng. Ph c tnh bng SEK theo t gi bn giao ngay CHF/SEK (Db
CHF/SEK). Gi s cng ty c sn SEK thanh ton
Gi thit t gi giao ngay sau 2 thng: XS 20%: CHF/SEK = 4,9860
XS 70% CHF/SEK = 5,0260
XS 10% CHF/SEK = 5,1976