b. What is the annual forward premium on the yen for all maturities? (Assume that the U.S. dollar is the home currency.) The annual forward premium is: Spot rateMid-Rate -Forward rateMid-Rate Forward rateMid-Rate The annual forward premium for all maturities is calculated below: Forward premium= Period Spot 1 month 2 months 3 months 6 months 12 months 24 months Days Forward 0 30 60 90 180 380 720 Bid Rate \/$ 85.60 86.20 86.03 85.57 84.43 84.17 83.11 -x(360/Days) Ask Rate \/$ 85.65 86.24 86.08 85.61 84.46 84.21 83.16 Forward Premium -8.281 % -2.998 0.164 2.795 1.705 1.498

b. What is the annual forward premium on the yen for all maturities? (Assume that the U.S. dollar is the home currency.) The annual forward premium is: Spot rateMid-Rate -Forward rateMid-Rate Forward rateMid-Rate The annual forward premium for all maturities is calculated below: Forward premium= Period Spot 1 month 2 months 3 months 6 months 12 months 24 months Days Forward 0 30 60 90 180 380 720 Bid Rate \/$ 85.60 86.20 86.03 85.57 84.43 84.17 83.11 -x(360/Days) Ask Rate \/$ 85.65 86.24 86.08 85.61 84.46 84.21 83.16 Forward Premium -8.281 % -2.998 0.164 2.795 1.705 1.498

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Assume the following information is available for the United States and Europe: Nominal interest rate Expected inflation Spot rate One-year forward rate a. Does IRP hold? IRP -Select- $ U.S. 4% 2% $ in this case. b. According to PPP, what is the expected spot rate of the euro in one year? Do not round intermediate calculations. Round your answer to three decimal places. EUROPE 6% 5% $1.13 $1.10 c. According to the IFE, what is the expected spot rate of the euro in one year? Do not round intermediate calculations. Round your answer to three decimal places. d. Reconcile your answers to parts (a) and (c). Parts a and c combined say that the forward rate premium or discount is [-Select- of the euro. ✓the expected percentage appreciation or depreciation
if the spot rate is NZ$0.50/$ and the forward rate is NZ$0.55/$.The spot exchange rate and the forward rate are C$1.03/$ and C$107/$.COMPUTE the percentage change in the NZ$/C$ during this period.
A3)
Please use this information to answer the question below: A US firm's expected Accounts Receivables in Euro Zone due in 1 year Current Spot Rate (SR) for EUR Annual interest rate in US (Rh) Annual interest rate in Euro Zone (RF) EUR 15,000,000 USD 1.25 5% O USD 17,578,125 OEUR 13,392,857 EUR 18,750,000 USD 16,741,071 12% If the firm uses money market hedge, one year from now, their accounts receivables will fetch them:
eBook You use today's spot rate of the Brazilian real to forecast the spot rate of the real for one month ahead. Today's spot rate is $0.4517. Assume that you obtain the end-of-month spot exchange rates of the Brazilian real during the end of each of the last 6 months. End of Value of Month Brazilian real 1 $0.4255 2 0.4202 3 0.4194 4 0.4502 5 6 0.4598 0.4517 Use the value-at-risk method to determine the maximum percentage loss of the Brazilian real over the next month based on a 5 percent confidence level. Do not round intermediate calculations. Round your answer to two decimal places. % Forecast the exchange rate that would exist under these conditions. Do not round intermediate calculations. Round your answer to four decimal places.
Suppose you observe the following quotes between the euro and the Mexican peso (Mex$): 1/1/14: Mex$20/€ 1/1/15: €.08/Mex$ Find the percentage change in the value of the euro from the Mexican point of view. Round intermediate steps and your final answer to four decimals. .375 -60 -375 .60 none of the above
Suppose the interest rate in Japan is 2% p. a. and the interest rate in the US is 3.6% p. a. What is the (approximate) forward premium for the yen?
2. Complete the following table specifying the under and over valuation for each set of currencies. Show all your procedure for each answer: Real E.R. Theoretical E.R. % of % of Undervaluation Overvaluation (specify currency) (specify currency) USD 1.14 / EUR USD 1.52 / Punt TRY 4.85 / USD MXP 17.90 / USD USD 0.012 / JPY ¥ GBP {0.629 / USD USD 1.70 /EUR USD 1.50 / Punt TRY 4.73 / USD MXP 18.15 / USD USD 0.019/ JPY ¥ GBP (0.613/USD
Assume 1 euro = $1.1 in the 180-day forward market and the 180-day risk-free rate is 8% in the U.S. and 4% in France. What is the spot rate? Question 3 options: a. 1.1902 b. 1.0788 c. 1.1523 d. 1.1002
if the spot rate is nz $0.50 and the forward rate is nz $0.55/$. the spot exchange and the forward rate are c$1.03/$ and c$1.07/$. compute the percentage changr in the nz$/c$ durring this period.
Assume that interest rate parity holds. The Mexican interest rate is 50 percent, and the U.S. interest rate is 8 percent. Subsequently, the U.S. will interest rate decreases to 7 percent. According to interest rate parity, the peso's forward O a. premium; decrease O b. premium: increase O c. discount; decrease O d. discount; increase
3

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