Your Company Is Planning to Buy Euros in Six Months

Your company is planning to buy euros in six months time.The spot price is $1.25 per euro.Boldman Bankers Inc.(fictitious name) designs a "fancy derivative" that provides protection against an appreciation in the euro,but it also limits your benefits if the euro declines.After six months,by the terms of this "range forward," (1) if the spot exchange rate for the euro is above $1.30,then you pay $1.30; (2) if the spot exchange rate for the euro is below $1.20,then you pay $1.20;and (3) if the spot exchange rate lies between this range,then you buy euros at the prevailing market price.
-Your cousin,who is studying derivatives at college,says "This is no big deal," and breaks down this range forward into basic building blocks.His breakdown is:

A) long zero-coupon bond with a face value $1.20,long call with strike price $1.20,and short call with strike price $1.30
B) long zero-coupon bond with a face value $1.20,short call with strike price $1.20,and short call with strike price $1.30
C) short zero-coupon bond with a face value $1.20,short call with strike price $1.20,and long call with strike price $1.30
D) short zero-coupon bond with a face value $1.30,short call with strike price $1.20,and long call with strike price $1.30
E) long zero-coupon bond with a face value $1.30,short call with strike price $1.20,and short call with strike price $1.30