Given the following interbank FX rates, what is the
CAD/CHF
rate?
CHF/USD 0.4395/97
USD/CAD 0.8745/59
Given the following interbank FX rates, what is the CAD/CHF rate? CHF/USD 0.4395/97 USD/CAD 0.8745/59
Calculate the following currency forward rates A) 1-year USD/CAD Spot rate: Risk-free USD rate: Risk-free CAD rate: 1.4040 2.37% p.a.d 0.92% pa.d B) 6-month CHF/JPY Spot rate: Risk-free CHF rate: Risk-free JPY rate: 121.61 -0.70% pa.d 0.19% p.a.d C) 3-month EUR/MXN Spot rate: Risk-free EUR rate: Risk-free MXN rate: 23.8 -0.61% 5.30%
Dealer 1 offers the following exchange rates: 1 USD = 0.882 CAD 1 USD = 1.303 GBP Dealer 2 offers the following exchange rates: 1 GBP= 0.976 CAD What is the arbitrage profit on $91,081?
Problem 4 The following rates are given: Bid CAD/EUR 1.3620 CHF/EUR 1.2365 Ask 1.3630 1.2370 dand ask rate andthe spread on the Canadian dollar against the Swiss franc.
Three Exchange Rates are as follows: 1) US Dollars (USD) to Canadian Dollars (CAD) at CAD 1.05 to USD 1 2) CAD to Euros (EUR) at CAD 1.08 to EUR 1 3) EUR to USD at EUR 0.9 to USD 1 Suppose you start with USD 100,000, and do one round of "triangular arbitrage", that is convert make a total of 3 foreign exchange transactions to start from USD and return to USD. What will be your profit in USD?...
Question 15: Assume that the one-year interest rates for USD and CHF are: PUSD = 5% and CHF = 2% and that the expected spot rate at t = 1 is E (XCHF/USD = 1.12, what is the short-run intrinsic value of the USD at t = 0 according to the UIRP condition?
QUESTION 9 The USD/CAD spot rate is USD 0.7500 - USD 0.7505. The 6-month forward points are 10-20. What is the outright 6-month forward quotation? 0 USD 0.7510 - USD 0.7520 0 USD 0.7490 - USD 0.7485 0 USD 0.7510 - USD 0.7525 None of the answers is correct.
6. Use binomial option pricing model for this question. Suppose the current spot rate for USD/CHF is 0.7000. You need to find the one-year call option price of USD/CHF with the exercise price of 0.6800 USD/CHF. Assume that our future states will be either 0.7739 USD/CHF or 0.6332 USD/CHF 1) what are the payoffs of the call option (for both states)? 2) what is the hedge ratio of the call option? 3) Assume you can trade CHF denominated risk-free bond...
Currency Appreciations and Depreciations Exercise 5 You are given two different exchange rates per pair of currencies. Determine whether the currency in question appreciated or depreciated. Mark the correct column. NOTE: You are given a mixture of direct and indirect quotes Dates Exchange Rate Currency to Consider Appreciated Depreciated 4/24/2003 4/28/2003 0.91130 EUR/USD 0.90630 EUR/USD EUR 6/17/1997 1/13/1998 23.2 BHT/USD 55.8 BHT/USD BHT 4/25/2002 4/26/2002 1.6430 CHF/USD 0.6140 USD/CHF CHF 6/26/2002 0.0008324 USD/KRW 2/18/2003 0.0008286 USD/KRW KRW 1/30/1999 2/5/2001 1.0038...
Problem 15 minutes 20 points LO The following exchange rates are available to you. You can buy or sell at the stated rates) CAD/USD 1.2908 CHF CAD 0.7604 CHF USD 0.9325 Assume you have an initial investment of USD 1,000,000. Can you make a profit via triangular arbitrage? If so, show the steps and calculate the amount of profit in USD (full explanation is required as to why you chose the steps).
QUESTION 18 The USD/CAD spot rate is USD 0.7500 - USD 0.7505. The 6-month forward points are 10-20. What is the outright 6-month forward quotation? 0 USD 0.7510 - USD 0.7520 0 USD 0.7490 - USD 0.7485 0 USD 0.7510 - USD 0.7525 None of the answers is correct. QUESTION 19 Assume you are a French investor. You see that stock for British Airways has a bid price of EUR 36 and an ask price of EUR 36.5 on the...