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The problem presented describes a portfolio consisting of two positions:

1. **Sale of 800 shares** of the company ABC at a fixed price of R$31.00, with a forward contract set to expire in 60 days.
2. **Purchase of an NDF (Non-Deliverable Forward)** with a notional amount of USD 10,000, at a contracted exchange rate (forward price) of 4.60 R$/USD, set to expire in 90 days.

Additionally, we're given some financial dataThe problem presented describes a portfolio consisting of two positions:

1. **Sale of 800 shares** of the company ABC at a fixed price of R$31.00, with a forward contract set to expire in 60 days.
2. **Purchase of an NDF (Non-Deliverable Forward)** with a notional amount of USD 10,000, at a contracted exchange rate (forward price) of 4.60 R$/USD, set to expire in 90 days.

Additionally, we're given some financial 

- The current spot price of ABC shares (S) is R$33.67.
- The forward interest rate (r) is 13.50% per annum (dc/360).
- The spot exchange rate (TC) is 5.52 R$/USD.
- The coupon rate (c) is 1.80% per annum (dc/360).

We are also provided with a covariance matrix and return rates for each variable (TC, S, r, c).

To proceed with the analysis, I will:

1. **Analyze the forward contract for the ABC shares:**
   - Calculate the theoretical forward price for the shares using the given data.
   - Evaluate the profit or loss based on the difference between the contracted forward price and the spot price at maturity.

2. **Evaluate the NDF contract:**
   - Calculate the gain or loss on the NDF contract by comparing the contracted forward rate and the spot exchange rate.

Would you like a step-by-step breakdown of each calculation? Let me know if you have specific questions about any part of this problem.

A portfolio consisting of two positions: (i) forward sale of 800 shares of company ABC at a fixed price of R$31.00 with a 60-day expiry, and (ii) purchase of an NDF for USD 10,000 at a contracted rate of 4.60 R$/USD with a 90-day expiry. Additional data includes share prices, interest rates, exchange rates, and a covariance matrix.

Analyze a portfolio containing a forward contract for 800 shares of company ABC and an NDF for USD 10,000. Learn to calculate forward prices, evaluate NDF contracts, and assess portfolio risk using a covariance matrix. Includes real data on share prices, interest rates, and exchange rates.

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