Scribd Logo
Upload

Welcome to Scribd!

  • 1 views

    Quiz 2 chiều thứ 6

    Uploaded by

    Thúy Bình Võ

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Quiz 2 chiều thứ 6

    Uploaded by

    Thúy Bình Võ
    1 views1 page

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    1 views1 page

    Quiz 2 chiều thứ 6

    Uploaded by

    Thúy Bình Võ

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 1

    1.

    XYZ Corporation, located in the United States, has an accounts payable obligation
    of ¥750 million payable in one year to a bank in Tokyo. The current spot rate is
    ¥116/$1.00 and the one year forward rate is ¥109/$1.00. The annual interest rate is
    3 percent in Japan and 6 percent in the United States. XYZ can also buy a one-year
    call option on yen at the strike price of $0.0086 per yen for a premium of 0.012 cent
    per yen. Assume that the forward rate is the best predictor of the future spot rate.
    The future dollar cost of meeting this obligation using the option hedge is
    Compute the future dollar cost of meeting this obligation using the money market
    hedge and the option hedge? Which one will you choose?
    (40%)

    2. Suppose you observe the following exchange rates: $1.60 = €1.00; $2.00 = £1.00;
    and £1.00 = €1.20. Is there an arbitrage opportunity? Starting with $1,000,000, how
    can you make money?
    (30%)

    3. The one-year interest rate in Singapore is 11 percent. The one-year interest rate in
    the U.S. is 6 percent. The spot rate of the Singapore dollar (S$) is $.50 and the
    forward rate of the S$ is $.46. Assume zero transactions costs. Does interest rate
    parity exist?
    (10%)

    4. As of today, the spot exchange rate is €1.00 = $1.25 and the rates of inflation
    expected to prevail for the next year in the U.S. is 2% and 3% in the euro zone. What
    is the one-year forward rate that should prevail?
    (10%)

    5. Yesterday, you entered into a futures contract to sell €62,500 at $1.50 per €. Your
    initial performance bond is $1,500 and your maintenance level is $500. At what
    settle price will you get a demand for additional funds to be posted?
    (10%)

    You might also like