代做ACFI Derivative securities代写数据结构语言程序

ACFI Derivative securities

Part A -1 Speculation using 90-day bank accepted bill futures contracts (5 marks)

On Tuesday, 1st   November  2022,  Mr  Charles  Leclerc  will  be  required  to  enter  into  ten January 2023 90-day bank accepted bill contract. You may enter into these contracts as a buyer or as a seller. Whether you enter into these contracts as a buyer or a seller will depend on your expectations as to the likely direction of the Australian share market. Again, you should state a logical basis for entering into these contracts as a buyer or seller. For example, you might speculate that short-term interest rates are likely to rise or fall. Note  that  again  the   basis   of  your  speculation   is  of  lesser  importance  here  than   is demonstrating that you understand fully the nature of the transactions that you enter into.

Since most traders do not hold a futures contract until settlement, soon 30th   November, Mr Charles must close out his position and do so at the settlement price of the January 2023  90-day  bank  accepted  bill  contract.  The  settlement  date  is  the  second  Friday  of January 2023 – that is 13th January 2023, and the term of the futures contract expires on 13 January 2023, which is after 73 days after it was entered into on 1st  November 2022. Using the settlement price of the January 2023 90-day bank accepted bill contract on the days Mr Charles trade, detail Charles’s financial position after he has entered into contracts. It is  mentionable  that  Mr.  Charles  should  ignore  margin  calls  but  should  include  in  his discussion the deposit that he was required to provide.

Part A -2 Hedging using SPI200 futures contracts (10 marks)

Mr.  Charles  Leclerc  is  an  individual  portfolio  investor  on  Australian   shares  and  his (companies) current market value of shares is $15107000, as of December 1st, 2022. Charles is  intended to sell the portfolio within a month.  In  order  to  protect  the  value of that portfolio,  Charles  is  seeking  to  enter  into  a  number  of  January  2023  SPI200  futures contracts as either a buyer or a seller. Later, 28th  December 2022 the portfolio of shares has been sold for $14800500. The decrease in the value of the portfolio was largely due the fact the  portfolio  was  heavily  dependent  on  crude  oil  where  crude  oil  prices  has increased  throughout  the   month   of  December.  So,  Charles  must  have  to   close  his (company’s) position at the settlement price of the January 2023 SPI200 futures contract. You should provide the design of an appropriate hedge for Charles. Also, describe the effectiveness of the hedge.

Task B. Propose a new derivative product (10 marks)

In this assignment, you are tasked with developing a new derivative product, just as new derivative products are introduced daily to the market. Consequently, your product could be a forwards contract, a future contract, or any other derivative products.  However, some products, such as forwards contracts, are not necessarily traded on the exchange.

Here, you are tasked with designing a new derivative product; you are not required to use exchange-traded assets as underlying assets, but you should have access to the asset's fair price. Therefore, you must generate new ideas. Please consider the following points to answer.

1.    The  type  of  derivative  must  be  identified,  and  contract  specifications  must  be provided. (2marks)

2.    Provide an analysis of the product's underlying asset (2marks)

3.    Describe the advantages of your product and the types of investors who will be interested in it. (2marks)

4.   Also, assume that an investor opens a $1 million AUD long (buy) position on January 1, 2023, using your new derivative product. You must calculate the return on your investment  strategy  based  on  the  assumption  that  the  contract  will  expire  on February 1, 2023. You are required to provide a summary of the following conditions and results.

•    The price of the underlying asset(s) remains unchanged between 1. January and

1. February 2023. (2 marks)

•     On  February  1,  2023,  the  price  of  the  underlying  asset(s)  increases  by  one standard deviation of historical volatility. (2marks)

Note:

1.    You have been provided ASX link to follow and find out the relevant section.

• For 90-day bank bill contract:

First goto Markets section → Trade our derivatives market → Derivative market price → Short-term derivatives → 90-day bank bill

• For SPI200

First go to Markets section → Trade our derivatives market → Derivative  market price → Equity derivatives (INDEX) → SPI200 → Code (APG2023) and scroll down the monthly graph.

• S&P200 spot

First goto Markets section → Cash market prices → Markets (S&P/ASX200) GRAPH → Data pattern (Daily/ Monthly/ Quarterly/ Yearly)

2.    Follow academic writing (with referencing).