callputlongshortwarrant.py

Created by matthieumorvant

Created on November 12, 2023

599 Bytes

Call et Put/warrant :
1)Put = position longue : 
on possède la devise car on va
recevoir la devise (export) 
craint baisse du $ et hausse de
l’euro
2)Call = position courte : on
va avoir besoin de la devise 
car on va payer en devise un
bien depuis l’etranger (import)

Prime option sur taux calculé 
sur euro spot.

EXEMPLE :
On doit 680000 dol (cours 1.4967)
Achat put warrant eur/usd 
(parite 1/10
Delta -0.71, multiple 500)
Il faut couvrir : 
680000/1.4967=454332.87 eur
Et donc acquérir :
  454332.87*0.1/0.71=63990 warrants
Arrondi a 64000, prime =64000*0.29

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