| MERCK.XLS | Merck Hedging Spreadsheet | |||||||||
| Swiss franc receivable in one year | 1 | (in billion SF) | ||||||||
| Current Swiss franc rate | 0.7465 | (in US$/SF) | ||||||||
| Current German mark rate | 0.6418 | (in US$/DM) | ||||||||
| Strike of one-year German mark put options | 0.6350 | |||||||||
| Cost per German mark put option | 0.0210 | (in US$) | ||||||||
| Number of German mark put options | 0.7500 | (in billion) | ||||||||
| German mark/Swiss franc correlation | 95% | |||||||||
| Swiss franc volatility | 11% | |||||||||
| German mark volatility | 10% | |||||||||
| Return | Price | |||||||||
| Swiss franc | ||||||||||
| German mark | ||||||||||
| Put option payoff | (in US$) | |||||||||
| Revenue in one year (unhedged) | (in billion US$) | |||||||||
| Revenue in one year (hedged) | (in billion US$) | |||||||||