New Model

You may be interested to note that while rupee options are not explicitly available in the Indian market today, it is possible to simulate an option payout pattern, by selectively booking and cancelling forward contracts. The implicit option model that we have developed works remarkably well to enable companies to limit their downside risk, while keeping a sufficient portion of their exposure uncovered to take advantage of any upside moves that may occur. It is at once a more conservative and more analytically sound approach than the standard one of trying to judge where the rupee will go and, over the past year or so has produced excellent hedging results.