Questions 1-6 Given the following quotes for the euro, direct in Frankfurt, Germany, for the Canadian...
Questions 1-6 Given the following quotes for the euro, direct in Frankfurt, Germany, for the Canadian dollar, answer the following. (When calculating indirect quotes, round to 4 decimal places). Spot 90 day forward 180 day forward Bid 6558 .6553 .6546 Ask .6562 .6560 6553 2. (4 points) On a points basis, the 1 year direct forward rates are 37/29. Given this information what are the 1 year direct outright bid and ask quotes? 3. (2 points) The Canadian dollar is...
Questions 1-6. Given the following quotes for the euro, direct in Frankfurt, Germany, for the Canadian dollar, answer the following. (When calculating indirect quotes, round to 4 decimal places). Spot 90 day forward 180 day forward 6546 Bid 6558 .6553 Ask 6562 6560 6553 -12 4. (5 points) On a direct annual basis, the percentage premium or discount on the CS vs, the euro for the 90 day ask quote is about: 5. (5 points) On an indirect annual basis,...
Problem 1 The following quotes are given for CAD/EUR: 1.4530/14535, 15-10, 22-14,30-20 for the spot, one month, three months and six months forward contracts. a) calculate the outright quotations and the spread for the spot rate and the 3-month forward contract. b) how is the spread related to time to maturity of the forward contract? c) determine the percentage premium/ discount of the Canadian dollar with respect to the euro for the 3 months ask rates (annualized).
Assume the quotes indicated below are from a dealer in the NY currency market. Forward prices are quoted as the absolute forward premium or discount (not percentage) in basis points (one basis point = .0001). Part 1. Forward exchange rates 1a. If the dealer’s spot market quotes for the British pound (£) are 1.3195 1.3200, and the dealer’s 6-month forward quotes for the euro are: -20 -12, what are the dealer’s effective 6-month forward bid and ask prices for the...
Assume the quotes indicated below are from a dealer in the NY currency market. Forward prices are quoted as the absolute forward premium or discount (not percentage) in basis points (one basis point = .0001). Part 1. Forward exchange rates 1a. If the dealer’s spot market quotes for the British pound (£) are 1.3195 1.3200, and the dealer’s 6-month forward quotes for the euro are: -20 -12, what are the dealer’s effective 6-month forward bid and ask prices for the...
Dollar/Euro Forwards. Use the following spot and forward bid-ask rates for the U.S. dollar/euro (US$/euro€) from December 10, 2010, to answer the following questions: a. What is the mid-rate for each maturity? b. What is the annual forward premium for all maturities? c. Which maturities have the smallest and largest forward premiums? Period Bid Rate Ask Rate spot 1.32311.3231 1.32321.3232 1 month 1.32301.3230 1.32311.3231 2 months 1.32281.3228 1.32291.3229 3 months 1.32241.3224 1.32271.3227 6 months 1.32151.3215 1.32181.3218 12 months 1.31941.3194 1.31981.3198...
Assume the quotes indicated below are from a dealer in the NY currency market. Forward prices are quoted as the absolute forward premium or discount (not percentage) in basis points (one basis point = .0001). Part 1. Forward exchange rates 1 a. If the dealer’s spot market quotes for the Canadian dollar are 1.3218 1.3222, and the dealer’s 9-month forward quotes for the Canadian dollar are: -81 -77, what are the dealer’s effective 9-month forward bid and ask prices for...
Direct on the Dollar. Calculate the forward discount of the euro against the dollar (the dollar is the home currency) if the spot rate is $ 1.6257 divided by pound and the 6-month forward rate is $ 1.6045 divided by pound. Note: Use a 360-day year. The forward premium on the dollar is nothing%.
2. Suppose a Canadian agent (investor) with C$1.0 million is choosing between bank deposits denominated in either euro or Canadian dollars. Also suppose that the (one-year) interest rate paid on the C$ deposits is 1% (0.01) and on the euro deposit is 2% (0.02), the (one-year) forward C$-EURO exchange rate (FC$/€ ) is 1.60 and the current spot rate (EC$/€ ) is 1.65. Based on this information, answer the following questions. (a) What is the forward spread? Is the...
Question 4 (total of 50 points) A. Use Table 4.1 for the spot and forward bid-ask rates for the Japanese yen/U.S dollar (/S) exchange rate to answer the following questions. Table 4.1. Spot and Forward Bid-ask Rates Period Days Forward Bid Rate Ask Rate spot l month 6 months 24 months 30 180 720 114.23 113.82 112.05 106.83 114.27 113.87 112.11 106.98 1. Calculate the mid-rates from the bid-ask rate quotes 2. Calculate the forward premium on the different maturities...