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Hedging Foreign Exchange Risk for Indian Exporters and Importers
Uwe Wystup Version 2015
Overview
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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
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arc
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Tuesd
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3 J
anuary
2015
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day 5
Decem
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2014
Monday 2
7 O
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2014
Thurs
day 1
8 S
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2014
Sunday 1
0 A
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2014
Wednesd
ay 2
July
2014
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4 M
ay 2
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ay 1
5 A
pri
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Fri
day 7
Marc
h 2
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7 J
anuary
2014
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ay 2
5 D
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2013
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1 N
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2013
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rday 1
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cto
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2013
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rday 1
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2013
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August
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day 2
8 J
une 2
013
Monday 2
0 M
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day 1
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pri
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h 2
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3 J
anuary
2013
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rday 1
5 D
ecem
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2012
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ay 6
Novem
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day 2
8 S
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2012
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2012
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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
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exch
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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
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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
m@thfinance.com +49 700 MATHFINANCE
+49 69 3740 3492
Frankfurt London Singapore
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