Suppose the spot $/¥ exchange rate is 0.007, the I -year continuously compound dollar - denominated interest rate is 5% and the I -year continuously compounded yen - denominated interest rate is 1%. What is the I - year forward exchange rate? Question 14 options: $0.0083265 $0.0072857 $0.0093673 $0.0083682 $0.0082850

Suppose the spot $/¥ exchange rate is 0.007, the I -year continuously compound dollar - denominated interest rate is 5% and the I -year continuously compounded yen - denominated interest rate is 1%. What is the I - year forward exchange rate? Question 14 options: $0.0083265 $0.0072857 $0.0093673 $0.0083682 $0.0082850

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter10: Measuring Exposure To Exchange Rate Fluctuations

Section: Chapter Questions

Problem 33QA

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Question 1 Consider the option on currency HKD against the USD: Current spot rate is HKD7.50 for 1 USD:· Risk-free HKD rate of interest is 5% p.a.· Risk-free USD rate of interest is 2% p.a.· Volatility (σ) of the currency returns is 20% p.a.· Maturity of the option is 3 months.· Strike rate of the option is HKD8.00 for 1 USD· The currency options are European in nature (a) Draw the terminal payoff diagram for the holder of the currency call option on HKD. (b) Draw the terminal payoff diagram for the holder of the currency put option on USD. (c) How much does it cost to hold (i.e., buy) a call-HKD option? Use the Garman Kohlhagen model. (d) What is the minimum terminal exchange rate for the holder of the call-HKD option to profit fromholding the currency option?…
please answer the question2 with the data in question1
Consider the following money market information being quoted: Which of the following statements is true? Particulars GBP Interest Rate THB Interest Rate Spot Rate 1-year Expected Spot Rate Bid Rate 6.100% 10.550% THB5.6601/GBP THB5.9037/GBP C. Ask Rate 6.125% 10.625% THB5.6622/GBP THB5.9961/GBP a. There is an arbitrage which can only be made by initially borrowing GBP and then investing in THB. b. More than one of the options in this question are correct. The THB is selling at a premium to the GBP in the future. O d. There is an arbitrage which can only be made by initially borrowing THB and then investing in GBP.
If spot AUD/USD = 0.7351, 255 day interest rates are : AUD = 2%, USD = 2.9%, the implied 255 day AUD/USD FX swap rate is: a. -0.0047 b. 0.0048 c. 0.0049 d. -0.0046 PLEASE EXPLAIN HOW YOU COME UP WITH THE ANSWER, THANK YOU
Find the hedge ratio a 1-period at-the-money put option on ¥300,000. The spot exchange rate is ¥100 = $1.00. In the next period, the yen can increase in dollar value by 15 percent or decrease by 10 percent. The risk-free rate in dollars is i$ = 5%; The risk-free rate in yen is i¥ = 1%. A.-0.44 B.-0.66 C.-0.60 D.-0.40
Suppose you observe the following one-year interest rates, spot exchange rates and futures prices. Futures contracts are available on €10,000. How much risk-free arbitrage profit could you make on one contract at maturity from this mispricing? Exchange Rate Interest Rate APR So($/EL F380(S/E) $1.45 €1.00 is 4% $1.48 = €1.00 3% (Note: If you are unable to view the image shown above, you can download it: interestTable.PNG) O $159.22. O $153.10. $439.42. Onone of the options.
Suppose that a commodity’s respective forward prices for 1 year and 2 years are $150 and $158. The 1-year effective annual interest rate is 5.9%, and the 2-year interest rate is 6.6%. You will pay a fixed rate of $153.85906 in a 2-year swap and receive the floating rate. At the time you enter the swap contract, its value to you is... A.$0.0084 B.$–0.0084 C.$0.0051 D.. $–0.0051 E.$000000
Suppose we wish to borrow $10 million for 3 months, and that the quoted Eurodollar futures price is 94.80. If the interest rate on the loan is based on the 3-month LIBOR rate, what will we pay to repay the loan (that is, the total amount we need to repay including principal and interest based on LIBOR)? Question 16 options: $10, 160, 000.00 $10, 130,000.00 $10, 115,000.00 $10, 640,000.00 $10,520,000.00
Vijay
The exchange rate is ¥99/€, the yen-denominated interest rate is 1.5%, the euro- denominated interest rate is 3.5%, and the exchange rate volatility is 10%. Based on the Black-Scholes option pricing model, what is N(d1) when computing the price of a 90-strike yen-denominated euro call with 6 months to expiration? 0.744911 0.829755 0.892849 0.639698 0.721683
You are given the folloving spot rates: Time Spot Rate 1 3.0% 2. 3.5% 3. 4.0% 4. 4.5% Bill enters into a four-year interest rate swap where the floating rate resets annually. The notional amount of the swap is 1000 the first year, 1500 the second year, 2500 the third year, and 3000 the fourth year. Determine the swap interest rate. Possible Answers A 4.3% 4.5% 4.7% 4.8% 4.9%