Exercise1: Cross courses (8 points) For the day of 21/04/2016, we observe on the square of Mexico. the following courses
Posted: Tue Apr 26, 2022 10:50 am
Exercise1: Cross courses (8 points)
For the day of 21/04/2016, we observe on the square of
Mexico. the following courses:
• USD/MXN • 1.1020 - 1.1030
• GBP/MXN: 1.8195 - 1.8230
•EUR/MXN:1.2745-1.2760
Work to do :
1 Calculate the following cross prices (bid-ask):
EUR/USD; GBP/EUR; GBP/USD.
2) At what price would an individual buy the EUR/USD?
3) At what price does an individual sell the GBP/EUR?
a Give the courses to the certain of the Mexican peso
compared
to previous currencies.
Exercise2: Arbitration (4 points)
In the middle of the day, we observe on the foreign
exchange market
in cash the following courses:
•100 JPY/USD=0.7530
•CHF/USD=0.7185
•CHF/JPY=95.3120
Work to do :
1) Show that there is an arbitrage opportunity.
2) Qualify this arbitrage opportunity.
3) If this arbitrageur holds $100,000, calculate the gain
resulting from the arbitrage opportunity.
Exercise3: Arbitration (2 points)
If the yen is quoted at 0.0093 dollars and the euro at
1.3560 dollars at New
York:
1) What should the yen rate be in Paris?
2) If the rate of the yen (100) is equal to 0.64 euro in
France,
What is going on ?
Exercise 4: Currency risk (4 points)
On January 10, a French industrialist sells equipment to
English customer for a price of 5 million GBP, to be
delivered in
March, paid 20% on order (January 10) and the balance
on
May 31st. The manufacturer's rule is to cover all his risks
of
exchange through forward purchases or sales. On
January 10, the
Spot exchange rate is EUR/GBP = 0.9480 - 83.
Work to do :
1) Calculate the gain or loss if the forward exchange rate
is EUR/GBP=0.9488-92
2) Calculate the gain or loss if the forward exchange rate
is EUR/GBP = 0.9464 - 67.
For the day of 21/04/2016, we observe on the square of
Mexico. the following courses:
• USD/MXN • 1.1020 - 1.1030
• GBP/MXN: 1.8195 - 1.8230
•EUR/MXN:1.2745-1.2760
Work to do :
1 Calculate the following cross prices (bid-ask):
EUR/USD; GBP/EUR; GBP/USD.
2) At what price would an individual buy the EUR/USD?
3) At what price does an individual sell the GBP/EUR?
a Give the courses to the certain of the Mexican peso
compared
to previous currencies.
Exercise2: Arbitration (4 points)
In the middle of the day, we observe on the foreign
exchange market
in cash the following courses:
•100 JPY/USD=0.7530
•CHF/USD=0.7185
•CHF/JPY=95.3120
Work to do :
1) Show that there is an arbitrage opportunity.
2) Qualify this arbitrage opportunity.
3) If this arbitrageur holds $100,000, calculate the gain
resulting from the arbitrage opportunity.
Exercise3: Arbitration (2 points)
If the yen is quoted at 0.0093 dollars and the euro at
1.3560 dollars at New
York:
1) What should the yen rate be in Paris?
2) If the rate of the yen (100) is equal to 0.64 euro in
France,
What is going on ?
Exercise 4: Currency risk (4 points)
On January 10, a French industrialist sells equipment to
English customer for a price of 5 million GBP, to be
delivered in
March, paid 20% on order (January 10) and the balance
on
May 31st. The manufacturer's rule is to cover all his risks
of
exchange through forward purchases or sales. On
January 10, the
Spot exchange rate is EUR/GBP = 0.9480 - 83.
Work to do :
1) Calculate the gain or loss if the forward exchange rate
is EUR/GBP=0.9488-92
2) Calculate the gain or loss if the forward exchange rate
is EUR/GBP = 0.9464 - 67.