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Midterm
Midterm
Midterm
ERP ID 11891
Paper Variation B
1a-
f
CHF_AED 3.78
Low 63.55 63.55
High 158.88 158.88
Structure 1
Forward Strike 108 Off market forward
1 Spot 111.2141 -3.2141 47.67
2 1st Strike Price 100
3 2nd Strike Price None
4 YEN LIBOR - rd (3 months) -0.13%
5 USD Libor Rate (3 monthts) 0.72% Emirates rate
6 USD_YEN Vol 0.90% 0.14 0.43
7 Days in a year 252.00
8 Time 0.50
9 Forward Price 110.75 Check Formula
10 Notional Premium 1,000,000,000.00 YEN
11 Crude Premium 0.19 Assumption
12 Out of Pocket 190,000,000.00 in Yen (3,214,100,000.00)
Spot Price Vanilla Call (st. 1) Buy Put for St.2 Buy Put for st.3
63.5 36.5 0 41.5
66.5 33.5 0 38.5
69.5 30.5 0 35.5
72.5 27.5 0 32.5
75.5 24.5 0 29.5
78.5 21.5 0 26.5
81.5 18.5 0 23.5
84.5 15.5 0 20.5
87.5 12.5 0 17.5
90.5 9.5 0 14.5
93.5 6.5 0 11.5
96.5 3.5 0 8.5
99.5 0.5 0 5.5
102.5 0 2.5 2.5
105.5 0 5.5 0
108.5 0 8.5 0
111.5 0 11.5 0
114.5 0 14.5 0
117.5 0 17.5 0
120.5 0 20.5 0
123.5 0 23.5 0
126.5 0 26.5 0
129.5 0 29.5 0
132.5 0 32.5 0
135.5 0 35.5 0
138.5 0 38.5 0
30 -5
25
-10
20
15 -15
10
5 -20
0
50 60 70 80 90 100 110 120 130 140 150 -25
Structure 2 Structure 3
100 105
78 105
3,404,100,000.00
-10
-15
-20
-25
Option A
Notional
Out of Pocket
Option B
Notional
Forward Strike
Out of Pocket
Option C
Notional
Forward Strike
Out of Pocket
80
60
40
20
0
.5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5 .5
63 66 69 72 75 78 81 84 87 90 93 96 99 102 105 108 111 114 117 120 123 126 129 132 135 138
-20
-40
Vanilla Call
10,000,000.00
1,900,000.00
5,000,000.00
108.00
17,020,500.00
5 5 5 5 5 5 5 5 5 5 5
8. 1. 4. 7. 0. 3. 6. 9. 2. 5. 8.
10 11 11 11 12 12 12 12 13 13 13
CHF_AED 3.78
Low 3.35
High 4.6
Strike 1
Forward Strike 3.807
1 Spot 111.2141
2 Strike Price 1 100
Strike Price 2 -
3 USD Libor Rate (3 mon 0.72%
4 YEN LIBOR - rd (3 mon -0.13% Emirates rate
5 USD_YEN Vol 0.90% 0.14
6 Days in a year 252.00
7 Time 0.50
9 Notional Premium 1,000,000,000.00 YEN
12 PVF 1.0042
111.2141
100
78
0.43
Strucutre 2 Structure 3
0.8683 3.68
0.3 0.3
0.4 0.4
0.5 0.5
0.6 0.6
0.7 0.7
0.8 0.8
0.9 0.9
1 1
1.1 1.1
1.2 1.2
1.3 1.3
1.4 1.4
1.5 1.5
1.6 1.6
1.7 1.7
1.8 1.8
Strucutre 3
111.2141
105
105
0.295847
0.331652
CHF_AED 3.78
Low 3.35
High 4.6
Strike 1
Forward Strike 3.807
1 Spot 111.2141
2 Strike Price 1 100
Strike Price 2 -
3 USD Libor Rate (3 mon 0.72%
4 YEN LIBOR - rd (3 mon -0.13% Emirates rate
5 USD_YEN Vol 0.90% 0.14
6 Days in a year 252.00
7 Time 0.50
9 Notional Premium 1,000,000,000.00 YEN
12 PVF 1.0042
111.2141
100
78
0.43
Strucutre 2 Structure 3
0.8683 3.68
0.3 0.3
0.4 0.4
0.5 0.5
0.6 0.6
0.7 0.7
0.8 0.8
0.9 0.9
1 1
1.1 1.1
1.2 1.2
1.3 1.3
1.4 1.4
1.5 1.5
1.6 1.6
1.7 1.7 Premium
1.8 1.8 80
60
40
Strucutre 2 Structure 3
20
0.8683 3.68
0.3 4.1469873571 0.3 -0.8017369657 0
0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
0.4 5.9082795624 0.4 -3.7626194686 -20
0.5 7.2921151718 0.5 -6.7365817401
-40
0.6 8.4009371364 0.6 -9.7059539158
0.7 9.3189318611 0.7 -12.6610757317 -60
0.8 10.1027392774 0.8 -15.595382235 Col umn D Co
0.9 10.7894752187 0.9 -18.5037511495
1 11.4037774327 1 -21.3818436312
1.1 11.9623775529 1.1 -24.2258090021
1.2 12.4769147798 1.2 -27.0321415395
1.3 12.9556709605 1.3 -29.7976072661
1.4 13.4046606055 1.4 -32.5192054002
1.5 13.8283319095 1.5 -35.1941479006
1.6 14.2300285917 1.6 -37.8198487917
1.7 14.6123012706 1.7 -40.3939188484
1.8 14.977121961 1.8 -42.9141631766
Strucutre 3
111.2141
105
105
Call Premium
Put Premium 2.067800
Short Forward 110.75
Short forward premium 5.75
Structure 3 premium 3.68
Premium Vs. Vol
0.4 0.5 0.6 0.7 0.8 0.9 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8
0.295847
0.331652
CHF_AED 3.78
Low 3.35
High 4.6
Strike 1
Forward Strike 3.807
1 Spot 111.2141
2 Strike Price 1 100
Strike Price 2 -
3 USD Libor Rate (3 mon 0.72%
4 YEN LIBOR - rd (3 mon -0.13% Emirates rate
5 USD_YEN Vol 0.90% 0.14
6 Days in a year 252.00
7 Time 0.50
9 Notional Premium 1,000,000,000.00 YEN
12 PVF 1.0042
11.661566 63.5000
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
63.5000
0.3 47.4706732289
0.4 47.6657107322
0.5 48.1747451184
0.6 49.0105583075
0.7 50.1203536186
0.8 51.4413576615
0.9 52.9193904215
1 54.5117419133
1.1 56.1855935598
1.2 57.9157512158
1.3 59.682694706
1.4 61.4710985082
1.5 63.268756786
1.6 65.0658121708
1.7 66.8542023109
1.8 68.6272601114
Structure 2
111.2141
100
78
0.43
Strucutre 2 Structure 3
0.8683 -
0.3 0.3
0.4 0.4
0.5 0.5
0.6 0.6
0.7 0.7
0.8 0.8
0.9 0.9
1 1
1.1 1.1
1.2 1.2
1.3 1.3
1.4 1.4
1.5 1.5
1.6 1.6
1.7 1.7 63
1.8 1.8
63.5000 68
86 90
99.5000 104
99.5000 104
15.6703766443 12.8895872
18.352904892 15.8091761
21.1257046025 18.752538
23.9342981182 21.6968055
26.7524740587 24.630047
29.5652100854 27.5445553
32.362647172 30.4345758
35.1376073857 33.2953942
37.8844486311 36.1229252
40.5984891317 38.913511
43.275698585 41.6638156
45.9125237153 44.3707687
48.5057856833 47.0315339
51.052617762 49.6434913
53.5504264297 52.2042277
55.9968664533 54.7115311
CHF_AED 3.78
Low 3.35
High 4.6
Strike 1
Forward Strike 3.807
1 Spot 111.2141
2 Strike Price 1 100
Strike Price 2 -
3 USD Libor Rate (3 mon 0.72%
4 YEN LIBOR - rd (3 mon -0.13% Emirates rate
5 USD_YEN Vol 0.90% 0.14
6 Days in a year 252.00
7 Time 0.50
9 Notional Premium 1,000,000,000.00 YEN
12 PVF 1.0042
0.868337 63.5000
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
63.5000
0.3 47.4706732289
0.4 47.6657107322
0.5 48.1747451184
0.6 49.0105583075
0.7 50.1203536186
0.8 51.4413576615
0.9 52.9193904215
1 54.5117419133
1.1 56.1855935598
1.2 57.9157512158
1.3 59.682694706
1.4 61.4710985082
1.5 63.268756786
1.6 65.0658121708
1.7 66.8542023109
1.8 68.6272601114
Structure 2
111.2141
100
78
0.43
Strucutre 2 Structure 3
0.8683 -
0.3 0.3
0.4 0.4
0.5 0.5
0.6 0.6
0.7 0.7
0.8 0.8
0.9 0.9
1 1
1.1 1.1
1.2 1.2
1.3 1.3
1.4 1.4
1.5 1.5
1.6 1.6
1.7 1.7
1.8 1.8
95 99.5000 104
00 68 00 77 0 6
. 50 0 00 8 000 95 00
63 .5 .5
72 81 .5 .5
0 1
90 99
95 99.5000 104
18.804852032 15.6703766443 12.8895872
21.1763425969 18.352904892 15.8091761
23.7274015746 21.1257046025 18.752538
26.3636959362 23.9342981182 21.6968055
29.0394977097 26.7524740587 24.630047
31.7293582267 29.5652100854 27.5445553
34.4174144038 32.362647172 30.4345758
37.0928163815 35.1376073857 33.2953942
39.7475660631 37.8844486311 36.1229252
42.3754106564 40.5984891317 38.913511
44.9712390528 43.275698585 41.6638156
47.5307351287 45.9125237153 44.3707687
50.0501700319 48.5057856833 47.0315339
52.5262732741 51.052617762 49.6434913
54.9561502724 53.5504264297 52.2042277
57.3372281435 55.9968664533 54.7115311
Chart Title
70
60
50
Chart Title
70
60
50
40
30
20
10
0 .3
0
6
0.
9
0.
2
1.
5
1.
00 68 00 77 0 6 1.
8
. 50 0 00 8 000 95 00 04
63 .5 .5
72 81 .5 .5
0 1
90 99
3.679519 63.5000
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
63.5000
0.3 47.4706732289
0.4 47.6657107322
0.5 48.1747451184
0.6 49.0105583075
0.7 50.1203536186
0.8 51.4413576615
0.9 52.9193904215
1 54.5117419133
1.1 56.1855935598
1.2 57.9157512158
1.3 59.682694706
1.4 61.4710985082
1.5 63.268756786
1.6 65.0658121708
1.7 66.8542023109
1.8 68.6272601114
Structure 2
111.2141
100
78
0.43
Strucutre 2 Structure 3
0.8683 -
0.3 0.3
0.4 0.4
0.5 0.5
0.6 0.6
0.7 0.7
0.8 0.8
0.9 0.9
1 1
1.1 1.1
1.2 1.2
1.3 1.3
1.4 1.4
1.5 1.5
1.6 1.6
1.7 1.7
1.8 1.8
95 99.5000 104
00 68 00 77 0 6
. 50 0 00 8 000 95 00
63 .5 .5
72 81 .5 .5
0 1
90 99
95 99.5000 104
18.804852032 15.6703766443 12.8895872
21.1763425969 18.352904892 15.8091761
23.7274015746 21.1257046025 18.752538
26.3636959362 23.9342981182 21.6968055
29.0394977097 26.7524740587 24.630047
31.7293582267 29.5652100854 27.5445553
34.4174144038 32.362647172 30.4345758
37.0928163815 35.1376073857 33.2953942
39.7475660631 37.8844486311 36.1229252
42.3754106564 40.5984891317 38.913511
44.9712390528 43.275698585 41.6638156
47.5307351287 45.9125237153 44.3707687
50.0501700319 48.5057856833 47.0315339
52.5262732741 51.052617762 49.6434913
54.9561502724 53.5504264297 52.2042277
57.3372281435 55.9968664533 54.7115311
Chart Title
70
60
50
Chart Title
70
60
50
40
30
20
10
0 .3
0
6
0.
9
0.
2
1.
5
1.
00 68 00 77 0 6 1.
8
. 50 0 00 8 000 95 00 04
63 .5 .5
72 81 .5 .5
0 1
90 99