Name Syed Faizan Ahmed Hashmi

ERP ID 11891
Paper Variation B

1a-

d The cheapest for both structure would be at lowest volitalltiy

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

Vanilla Call (st. 1)

40
0

63.5
66.5

75.5
69.5
72.5
35

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

Forward Sell/Short Forward for st.Structure

3 3(Participating Forward) Sell put for Str. 2
41.5 83 0
38.5 77 0
35.5 71 0
32.5 65 0
29.5 59 0
26.5 53 -0.5
23.5 47 -3.5
20.5 41 -6.5
17.5 35 -9.5
14.5 29 -12.5
11.5 23 -15.5
8.5 17 -18.5
5.5 11 -21.5
2.5 5 -24.5
-0.5 -0.5 -27.5
-3.5 -3.5 -30.5
-6.5 -6.5 -33.5
-9.5 -9.5 -36.5
-12.5 -12.5 -39.5
-15.5 -15.5 -42.5
-18.5 -18.5 -45.5
-21.5 -21.5 -48.5
-24.5 -24.5 -51.5
-27.5 -27.5 -54.5
-30.5 -30.5 -57.5
-25
-20
-15
-10
-5
0
63.5
66.5
69.5
72.5
75.5
78.5
-33.5

81.5
84.5
87.5
90.5
93.5
96.5
99.5
102.5
105.5
108.5
-33.5

111.5
114.5
Structure 2(Buy Put + Sell Put)

117.5
120.5
123.5
126.5
129.5
-60.5

132.5
135.5
138.5
 Option A
Notional
Out of Pocket

Option B

Notional
Forward Strike
Out of Pocket

Option C
Notional
Forward Strike
Out of Pocket

Structure 2(Buy Put + Sell Put)

0
0
0
0
0
-0.5
-3.5
-6.5
-9.5
-12.5
-15.5
-18.5
-21.5
-22
-22
-22
-22
-22
-22
-22
-22
-22
-22
-22
-22
 -22

Structure 3(Participating Forward)

100

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

long put spread on Yen

5,000,000.00
108.00
17,020,500.00

Vanilla Call + Off market forward

5,000,000.00
108.00
100000
g Forward)

5 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

Jump ln(s/x) 0.1062869864

Mean Retur+0.5sigma^2 (0.003309) Check formula if it is rf-rd or rd-rf
stdev 0.1010247494
d1 1.0193347365
d2 0.918309987
N(d1) 0.8459779609 N(-d1)
N(d2) 0.8207716999 N(-d2)
Structure 1 Strucuture 2
Call Premium 11.661566022
Put Premium 0.868949

Structure Cost 11.641566

One lOng Call 11.661566
Two Short Calls 0.010000 This is assumed we will have to calculate

Vanilla Call (stucuture 1)

11.6616
0.3 15.3436833802
0.4 18.0564954663
0.5 20.8508566255
0.6 23.6763551069
0.7 26.5086654234
0.8 29.3337450684
0.9 32.1422897929
1 34.9274570024
1.1 37.6838178111
1.2 40.4068314972
1.3 43.0925640752
1.4 45.7375297386
1.5 48.3385979031
1.6 50.8929369588
1.7 53.3979793204
1.8 55.8513991666
 Structure 2

111.2141
100
78

0.43

Jump for Buy Put 0.1062869864

Jump for Sell put 0.3547483456
St. dev 0.1010247494
d1 for Buy Put 1.0193347365
d1 for sell put 3.48
0.1540220391 d2 for but put 0.918309987
0.1792283001 d2 for sell put 3.38
Strucuture 3 N(d1) for buy put 0.8459779609 N(-d1) 0.154022
N(d1) for sell put 0.9997481166 N(-d1) 0.000252
N(d2) for buy put 0.8207716999 N(-d2) 0.179228
N(d2) for sell put 0.9996345537 N(-d2) 0.000365
Structure 2 Cost 0.87
Buy Put Buy Put premium 0.87
Sell Put Sell Put Premium 0.000612

Strucutre 2 Structure 3
0.8683 3.68
0.3 4.1469873571 0.3 -0.8017369657
0.4 5.9082795624 0.4 -3.7626194686
0.5 7.2921151718 0.5 -6.7365817401
0.6 8.4009371364 0.6 -9.7059539158
0.7 9.3189318611 0.7 -12.6610757317
0.8 10.1027392774 0.8 -15.595382235
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

Jump ln(s/x) 0.05749682

Mean Return r+0.5sigma^2 (0.003309) Check formula if it is rf-rd
stdev 0.10102475
d1 0.53638215
d2 0.4353574
N(d1) 0.70415277 N(-d1)
N(d2) 0.66834849 N(-d2)

Put Premium 2.067800

Short Forward 110.75
Short forward premium 5.75
Structure 3 Cost 3.68
Check formula if it is rf-rd or rd-rf

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

Jump ln(s/x) 0.1062869864

Mean Retur+0.5sigma^2 (0.003309) Check formula if it is rf-rd or rd-rf
stdev 0.1010247494
d1 1.0193347365
d2 0.918309987
N(d1) 0.8459779609 N(-d1)
N(d2) 0.8207716999 N(-d2)
Structure 1 Strucuture 2
Call Premium 11.661566022
Put Premium 0.868949

Structure 1 Premium 11.641566

One lOng Call 11.661566
Two Short Calls 0.010000 This is assumed we will have to calculate

Vanilla Call (stucuture 1)

0.14 11.6616
0.3 15.3436833802
0.4 18.0564954663
0.5 20.8508566255
0.6 23.6763551069
0.7 26.5086654234
0.8 29.3337450684
0.9 32.1422897929
1 34.9274570024
1.1 37.6838178111
1.2 40.4068314972
 1.3 43.0925640752
1.4 45.7375297386
1.5 48.3385979031
1.6 50.8929369588
1.7 53.3979793204
1.8 55.8513991666

Vol Vanilla Call (stucuture 1)

11.6616
0.3 15.3436833802
0.4 18.0564954663
0.5 20.8508566255
0.6 23.6763551069
0.7 26.5086654234
0.8 29.3337450684
0.9 32.1422897929
1 34.9274570024
1.1 37.6838178111
1.2 40.4068314972
1.3 43.0925640752
1.4 45.7375297386
1.5 48.3385979031
1.6 50.8929369588
1.7 53.3979793204
1.8 55.8513991666
 Structure 2

111.2141
100
78

0.43

Jump for Buy Put 0.1062869864

Jump for Sell put 0.3547483456
St. dev 0.1010247494
d1 for Buy Put 1.0193347365
d1 for sell put 3.48
0.1540220391 d2 for but put 0.918309987
0.1792283001 d2 for sell put 3.38
Strucuture 3 N(d1) for buy put 0.8459779609 N(-d1) 0.154022
N(d1) for sell put 0.9997481166 N(-d1) 0.000252
N(d2) for buy put 0.8207716999 N(-d2) 0.179228
N(d2) for sell put 0.9996345537 N(-d2) 0.000365
Structure 2 Premium 0.87
Buy Put Buy Put premium 0.87
Sell Put Sell Put Premium 0.000612

Strucutre 2 Structure 3
0.8683 3.68
0.3 4.1469873571 0.3 -0.8017369657
0.4 5.9082795624 0.4 -3.7626194686
0.5 7.2921151718 0.5 -6.7365817401
0.6 8.4009371364 0.6 -9.7059539158
0.7 9.3189318611 0.7 -12.6610757317
0.8 10.1027392774 0.8 -15.595382235
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 Premium
1.8 14.977121961 1.8 -42.9141631766 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
Col umn D
0.8 10.1027392774 0.8 -15.595382235 Col umn H
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

Jump ln(s/x) 0.05749682

Mean Return r+0.5sigma^2 (0.003309) Check formula if it is rf-rd
stdev 0.10102475
d1 0.53638215
d2 0.4353574
N(d1) 0.70415277 N(-d1)
N(d2) 0.66834849 N(-d2)

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

Col umn D Col umn F

Col umn H
Check formula if it is rf-rd or rd-rf

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

Jump ln(s/x) 0.1062869864

Mean Retur+0.5sigma^2 (0.003309) Check formula if it is rf-rd or rd-rf
stdev 0.1010247494
d1 1.0193347365
d2 0.918309987
N(d1) 0.8459779609 N(-d1)
N(d2) 0.8207716999 N(-d2)
Structure 1 Strucuture 2
Call Premium 11.661566022
Put Premium 0.868949

Structure 1 Premium 11.641566

One lOng Call 11.661566
Two Short Calls 0.010000 This is assumed we will have to calculate

Vanilla Call (stucuture 1)

0.14 11.6616
0.3 15.3436833802
0.4 18.0564954663
0.5 20.8508566255
0.6 23.6763551069
0.7 26.5086654234
0.8 29.3337450684
0.9 32.1422897929
1 34.9274570024
1.1 37.6838178111
1.2 40.4068314972
 1.3 43.0925640752
1.4 45.7375297386
1.5 48.3385979031
1.6 50.8929369588
1.7 53.3979793204
1.8 55.8513991666

11.661566 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

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

Jump for Buy Put 0.1062869864

Jump for Sell put 0.3547483456
St. dev 0.1010247494
d1 for Buy Put 1.0193347365
d1 for sell put 3.48
0.1540220391 d2 for but put 0.918309987
0.1792283001 d2 for sell put 3.38
Strucuture 3 N(d1) for buy put 0.8459779609 N(-d1) 0.154022
N(d1) for sell put 0.9997481166 N(-d1) 0.000252
N(d2) for buy put 0.8207716999 N(-d2) 0.179228
N(d2) for sell put 0.9996345537 N(-d2) 0.000365
Structure 2 Premium 0.87
Buy Put Buy Put premium 0.87
Sell Put Sell Put Premium 0.000612

Strucutre 2 Structure 3
0.8683 -
0.3 4.1469873571 0.3 0
0.4 5.9082795624 0.4 0
0.5 7.2921151718 0.5 0
0.6 8.4009371364 0.6 0
0.7 9.3189318611 0.7 0
0.8 10.1027392774 0.8 0
0.9 10.7894752187 0.9 0
1 11.4037774327 1 0
1.1 11.9623775529 1.1 0
1.2 12.4769147798 1.2 0
 1.3 12.9556709605 1.3 0
1.4 13.4046606055 1.4 0
1.5 13.8283319095 1.5 0
1.6 14.2300285917 1.6 0
1.7 14.6123012706 1.7 0
1.8 14.977121961 1.8 0

68 72.5000 77 81.5000 86 90.5000 95

42.9949149153 38.5709011123 34.2359822975 30.0380677669 26.03148 22.2708903019 19
43.3486662447 39.1522628832 35.1134075858 31.2679081834 27.64754 24.2777551532 21
44.0958658382 40.1804058239 36.452393924 32.9313801261 29.63174 26.5624668543 24
45.1909483016 41.5521905936 38.1066695565 34.8625769634 31.82413 28.9919830893 26
46.5513332312 43.1656067846 39.9674934799 36.9582396016 34.13647 31.4986394622 29
48.103929248 44.9446122575 41.9625807434 39.1550076792 36.51749 34.0444305461 32
49.7928184506 46.8356703028 44.0439557776 41.4125200074 38.93537 36.6059701824 34
51.5767064707 48.8010513793 46.1788995408 43.703818037 41.36905 39.1676874456 37
53.4250821854 50.813639785 48.3443163304 46.0100360163 43.80374 41.7184983644 40
55.3150887154 52.853449205 50.5233288459 48.3173965905 46.22857 44.2500621676 42
57.2292839588 54.9053607947 52.7031998602 50.6154527566 48.63517 46.7558132544 45
59.1540968312 56.9576538974 54.8740359256 52.8960229444 51.01689 49.2303970959 48
61.078770029 59.0010393309 57.0279586676 55.1525247012 53.36829 51.6693278179 50
62.9946316528 61.0280123034 59.158561851 57.3795453063 55.68482 54.0687729905 53
64.8945876766 63.0324112139 61.2605472906 59.5725575966 57.96261 56.4254142215 55
66.7727634572 65.0091112378 63.3294753117 61.7277272807 60.19835 58.736354379 57

68 72.5000 77 81.5000 86 90.5000 95

42.9949149153 38.5709011123 34.2359822975 30.0380677669 26.03148 22.2708903019 19
43.3486662447 39.1522628832 35.1134075858 31.2679081834 27.64754 24.2777551532 21
44.0958658382 40.1804058239 36.452393924 32.9313801261 29.63174 26.5624668543 24
45.1909483016 41.5521905936 38.1066695565 34.8625769634 31.82413 28.9919830893 26
46.5513332312 43.1656067846 39.9674934799 36.9582396016 34.13647 31.4986394622 29
48.103929248 44.9446122575 41.9625807434 39.1550076792 36.51749 34.0444305461 32
49.7928184506 46.8356703028 44.0439557776 41.4125200074 38.93537 36.6059701824 34
51.5767064707 48.8010513793 46.1788995408 43.703818037 41.36905 39.1676874456 37
53.4250821854 50.813639785 48.3443163304 46.0100360163 43.80374 41.7184983644 40
55.3150887154 52.853449205 50.5233288459 48.3173965905 46.22857 44.2500621676 42
57.2292839588 54.9053607947 52.7031998602 50.6154527566 48.63517 46.7558132544 45
59.1540968312 56.9576538974 54.8740359256 52.8960229444 51.01689 49.2303970959 48
61.078770029 59.0010393309 57.0279586676 55.1525247012 53.36829 51.6693278179 50
62.9946316528 61.0280123034 59.158561851 57.3795453063 55.68482 54.0687729905 53
64.8945876766 63.0324112139 61.2605472906 59.5725575966 57.96261 56.4254142215 55
66.7727634572 65.0091112378 63.3294753117 61.7277272807 60.19835 58.736354379 57
 63.5000
68
72.5000
77
81.5000
86
90.5000
95
99.5000
104

1.
7
1
20
40
60
80

0 0.3
Chart Title
 60
40
20
0 0.3
1
7
1.

68
63.5000
77
86
72.5000
95
81.5000
90.5000
104
99.5000
63.5000 68 72.5000 77

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

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

Jump ln(s/x) 0.1062869864

Mean Retur+0.5sigma^2 (0.003309) Check formula if it is rf-rd or rd-rf
stdev 0.1010247494
d1 1.0193347365
d2 0.918309987
N(d1) 0.8459779609 N(-d1)
N(d2) 0.8207716999 N(-d2)
Structure 1 Strucuture 2
Call Premium 11.661566022
Put Premium 0.868949

Structure 1 Premium 11.641566

One lOng Call 11.661566
Two Short Calls 0.010000 This is assumed we will have to calculate

Vanilla Call (stucuture 1)

0.14 11.6616
0.3 15.3436833802
0.4 18.0564954663
0.5 20.8508566255
0.6 23.6763551069
0.7 26.5086654234
0.8 29.3337450684
0.9 32.1422897929
1 34.9274570024
1.1 37.6838178111
1.2 40.4068314972
 1.3 43.0925640752
1.4 45.7375297386
1.5 48.3385979031
1.6 50.8929369588
1.7 53.3979793204
1.8 55.8513991666

0.868337 63.5000
0.3 4.1469873571
0.4 5.9082795624
0.5 7.2921151718
0.6 8.4009371364
0.7 9.3189318611
0.8 10.1027392774
0.9 10.7894752187
1 11.4037774327
1.1 11.9623775529
1.2 12.4769147798
1.3 12.9556709605
1.4 13.4046606055
1.5 13.8283319095
1.6 14.2300285917
1.7 14.6123012706
1.8 14.977121961

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

Jump for Buy Put 0.1062869864

Jump for Sell put 0.3547483456
St. dev 0.1010247494
d1 for Buy Put 1.0193347365
d1 for sell put 3.48
0.1540220391 d2 for but put 0.918309987
0.1792283001 d2 for sell put 3.38
Strucuture 3 N(d1) for buy put 0.8459779609 N(-d1) 0.154022
N(d1) for sell put 0.9997481166 N(-d1) 0.000252
N(d2) for buy put 0.8207716999 N(-d2) 0.179228
N(d2) for sell put 0.9996345537 N(-d2) 0.000365
Structure 2 Premium 0.87
Buy Put Buy Put premium 0.87
Sell Put Sell Put Premium 0.000612

Strucutre 2 Structure 3
0.8683 -
0.3 4.1469873571 0.3 0
0.4 5.9082795624 0.4 0
0.5 7.2921151718 0.5 0
0.6 8.4009371364 0.6 0
0.7 9.3189318611 0.7 0
0.8 10.1027392774 0.8 0
0.9 10.7894752187 0.9 0
1 11.4037774327 1 0
1.1 11.9623775529 1.1 0
1.2 12.4769147798 1.2 0
 1.3 12.9556709605 1.3 0
1.4 13.4046606055 1.4 0
1.5 13.8283319095 1.5 0
1.6 14.2300285917 1.6 0
1.7 14.6123012706 1.7 0
1.8 14.977121961 1.8 0

68 72.5000 77 81.5000 86 90.5000

4.1469873571 4.1469873571 4.1469873571 4.1469873571 4.146987 4.1469873571
5.9082795624 5.9082795624 5.9082795624 5.9082795624 5.90828 5.9082795624
7.2921151718 7.2921151718 7.2921151718 7.2921151718 7.292115 7.2921151718
8.4009371364 8.4009371364 8.4009371364 8.4009371364 8.400937 8.4009371364
9.3189318611 9.3189318611 9.3189318611 9.3189318611 9.318932 9.3189318611
10.1027392774 10.1027392774 10.1027392774 10.1027392774 10.10274 10.1027392774
10.7894752187 10.7894752187 10.7894752187 10.7894752187 10.78948 10.7894752187
11.4037774327 11.4037774327 11.4037774327 11.4037774327 11.40378 11.4037774327
11.9623775529 11.9623775529 11.9623775529 11.9623775529 11.96238 11.9623775529
12.4769147798 12.4769147798 12.4769147798 12.4769147798 12.47691 12.4769147798
12.9556709605 12.9556709605 12.9556709605 12.9556709605 12.95567 12.9556709605
13.4046606055 13.4046606055 13.4046606055 13.4046606055 13.40466 13.4046606055
13.8283319095 13.8283319095 13.8283319095 13.8283319095 13.82833 13.8283319095
14.2300285917 14.2300285917 14.2300285917 14.2300285917 14.23003 14.2300285917
14.6123012706 14.6123012706 14.6123012706 14.6123012706 14.6123 14.6123012706
14.977121961 14.977121961 14.977121961 14.977121961 14.97712 14.977121961

68 72.5000 77 81.5000 86 90.5000

42.9949149153 38.5709011123 34.2359822975 30.0380677669 26.03148 22.2708903019
43.3486662447 39.1522628832 35.1134075858 31.2679081834 27.64754 24.2777551532
44.0958658382 40.1804058239 36.452393924 32.9313801261 29.63174 26.5624668543
45.1909483016 41.5521905936 38.1066695565 34.8625769634 31.82413 28.9919830893
46.5513332312 43.1656067846 39.9674934799 36.9582396016 34.13647 31.4986394622
48.103929248 44.9446122575 41.9625807434 39.1550076792 36.51749 34.0444305461
49.7928184506 46.8356703028 44.0439557776 41.4125200074 38.93537 36.6059701824
51.5767064707 48.8010513793 46.1788995408 43.703818037 41.36905 39.1676874456
53.4250821854 50.813639785 48.3443163304 46.0100360163 43.80374 41.7184983644
55.3150887154 52.853449205 50.5233288459 48.3173965905 46.22857 44.2500621676
57.2292839588 54.9053607947 52.7031998602 50.6154527566 48.63517 46.7558132544
59.1540968312 56.9576538974 54.8740359256 52.8960229444 51.01689 49.2303970959
61.078770029 59.0010393309 57.0279586676 55.1525247012 53.36829 51.6693278179
62.9946316528 61.0280123034 59.158561851 57.3795453063 55.68482 54.0687729905
64.8945876766 63.0324112139 61.2605472906 59.5725575966 57.96261 56.4254142215
66.7727634572 65.0091112378 63.3294753117 61.7277272807 60.19835 58.736354379
Chart
 Chart

95 99.5000 104
4.1469873571 4.1469873571 4.14698736 00 68 0 7
.50 500 7 000 86 0
5.9082795624 5.9082795624 5.90827956 63 72. 1.5 .50
8 90
7.2921151718 7.2921151718 7.29211517
8.4009371364 8.4009371364 8.40093714
9.3189318611 9.3189318611 9.31893186
10.1027392774 10.1027392774 10.1027393 63.5000 68 72.5000 77
99.5000 104
10.7894752187 10.7894752187 10.7894752
11.4037774327 11.4037774327 11.4037774
11.9623775529 11.9623775529 11.9623776
12.4769147798 12.4769147798 12.4769148
12.9556709605 12.9556709605 12.955671
13.4046606055 13.4046606055 13.4046606
13.8283319095 13.8283319095 13.8283319
14.2300285917 14.2300285917 14.2300286
14.6123012706 14.6123012706 14.6123013
14.977121961 14.977121961 14.977122

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
40
 Chart Title
70
60
50
40
30
20
10
0 0.3
6
0.
9
0.
2
1.
. 5
1
00 68 0 7 1.
8
.50 500 7 000 86 00 5
63 72. 1.5 .50 9 000 104
8 90 99.5

63.5000 68 72.5000 77 81.5000 86 90.5000 95

99.5000 104
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

Jump ln(s/x) 0.1062869864

Mean Retur+0.5sigma^2 (0.003309) Check formula if it is rf-rd or rd-rf
stdev 0.1010247494
d1 1.0193347365
d2 0.918309987
N(d1) 0.8459779609 N(-d1)
N(d2) 0.8207716999 N(-d2)
Structure 1 Strucuture 2
Call Premium 11.661566022
Put Premium 0.868949

Structure 1 Premium 11.641566

One lOng Call 11.661566
Two Short Calls 0.010000 This is assumed we will have to calculate

Vanilla Call (stucuture 1)

0.14 11.6616
0.3 15.3436833802
0.4 18.0564954663
0.5 20.8508566255
0.6 23.6763551069
0.7 26.5086654234
0.8 29.3337450684
0.9 32.1422897929
1 34.9274570024
1.1 37.6838178111
1.2 40.4068314972
 1.3 43.0925640752
1.4 45.7375297386
1.5 48.3385979031
1.6 50.8929369588
1.7 53.3979793204
1.8 55.8513991666

3.679519 63.5000
0.3 3.6795186001
0.4 3.6795186001
0.5 3.6795186001
0.6 3.6795186001
0.7 3.6795186001
0.8 3.6795186001
0.9 3.6795186001
1 3.6795186001
1.1 3.6795186001
1.2 3.6795186001
1.3 3.6795186001
1.4 3.6795186001
1.5 3.6795186001
1.6 3.6795186001
1.7 3.6795186001
1.8 3.6795186001

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

Jump for Buy Put 0.1062869864

Jump for Sell put 0.3547483456
St. dev 0.1010247494
d1 for Buy Put 1.0193347365
d1 for sell put 3.48
0.1540220391 d2 for but put 0.918309987
0.1792283001 d2 for sell put 3.38
Strucuture 3 N(d1) for buy put 0.8459779609 N(-d1) 0.154022
N(d1) for sell put 0.9997481166 N(-d1) 0.000252
N(d2) for buy put 0.8207716999 N(-d2) 0.179228
N(d2) for sell put 0.9996345537 N(-d2) 0.000365
Structure 2 Premium 0.87
Buy Put Buy Put premium 0.87
Sell Put Sell Put Premium 0.000612

Strucutre 2 Structure 3
0.8683 -
0.3 4.1469873571 0.3 0
0.4 5.9082795624 0.4 0
0.5 7.2921151718 0.5 0
0.6 8.4009371364 0.6 0
0.7 9.3189318611 0.7 0
0.8 10.1027392774 0.8 0
0.9 10.7894752187 0.9 0
1 11.4037774327 1 0
1.1 11.9623775529 1.1 0
1.2 12.4769147798 1.2 0
 1.3 12.9556709605 1.3 0
1.4 13.4046606055 1.4 0
1.5 13.8283319095 1.5 0
1.6 14.2300285917 1.6 0
1.7 14.6123012706 1.7 0
1.8 14.977121961 1.8 0

68 72.5000 77 81.5000 86 90.5000

3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001
3.6795186001 3.6795186001 3.6795186001 3.6795186001 3.679519 3.6795186001

68 72.5000 77 81.5000 86 90.5000

42.9949149153 38.5709011123 34.2359822975 30.0380677669 26.03148 22.2708903019
43.3486662447 39.1522628832 35.1134075858 31.2679081834 27.64754 24.2777551532
44.0958658382 40.1804058239 36.452393924 32.9313801261 29.63174 26.5624668543
45.1909483016 41.5521905936 38.1066695565 34.8625769634 31.82413 28.9919830893
46.5513332312 43.1656067846 39.9674934799 36.9582396016 34.13647 31.4986394622
48.103929248 44.9446122575 41.9625807434 39.1550076792 36.51749 34.0444305461
49.7928184506 46.8356703028 44.0439557776 41.4125200074 38.93537 36.6059701824
51.5767064707 48.8010513793 46.1788995408 43.703818037 41.36905 39.1676874456
53.4250821854 50.813639785 48.3443163304 46.0100360163 43.80374 41.7184983644
55.3150887154 52.853449205 50.5233288459 48.3173965905 46.22857 44.2500621676
57.2292839588 54.9053607947 52.7031998602 50.6154527566 48.63517 46.7558132544
59.1540968312 56.9576538974 54.8740359256 52.8960229444 51.01689 49.2303970959
61.078770029 59.0010393309 57.0279586676 55.1525247012 53.36829 51.6693278179
62.9946316528 61.0280123034 59.158561851 57.3795453063 55.68482 54.0687729905
64.8945876766 63.0324112139 61.2605472906 59.5725575966 57.96261 56.4254142215
66.7727634572 65.0091112378 63.3294753117 61.7277272807 60.19835 58.736354379
Chart
 Chart

95 99.5000 104
3.6795186001 3.6795186001 3.6795186 00 68 0 7
.50 500 7 000 86 0
3.6795186001 3.6795186001 3.6795186 63 72. 1.5 .50
8 90
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186 63.5000 68 72.5000 77
99.5000 104
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186
3.6795186001 3.6795186001 3.6795186

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
40
 Chart Title
70
60
50
40
30
20
10
0 0.3
6
0.
9
0.
2
1.
. 5
1
00 68 0 7 1.
8
.50 500 7 000 86 00 5
63 72. 1.5 .50 9 000 104
8 90 99.5

63.5000 68 72.5000 77 81.5000 86 90.5000 95

99.5000 104
Strike Rate & Price Combination, Probability o
te & Price Combination, Probability of Exercise
Comaprison of the structures Upside
Structure A Hedgeing against the comlete cost
Structure B Lost limited to a range
Structure C
Down side
Naked call ,loss of premium if goes agaisnt you