Question
In: Finance
Suppose that you are a trader in Australia and you see the following quotes on your...
Suppose that you are a trader in Australia and you see the following quotes on your screen:
Spot exchange rate : 0.9999 Singapore dollar (SGD) per Australian dollar (AUD)
270-day forward rate : 0.9000 SGD per AUD
270-day AUD interest rate 12% per annum (p.a.)
270-day SGD interest rate 1% p.a.
Given these quotes, which way will capital flow? Explain why. Suppose that you have AUD 100,000. Can you make a profit (in AUD) with these quotes? If the spot exchange rate and the interest rates were to stay the same, at what 270-day forward rate would there be no capital flows?
Solutions
jeff jeffy answered 2 years agoRelated Solutions
You are a trader in Tokyo in Japan and observe the following quotes on the trading...
You are a trader in Tokyo in Japan and observe the following
quotes on the trading screen for the Japanese Yen (JPY), Australian
dollar (AUD), and US dollar (USD):
AUD per USD (AUD/USD) 1.3618 – 1.3762 JPY per AUD (JPY/AUD)
77.95 – 78.78 JPY per USD (JPY/USD) 105.29 – 105.82
Suppose that you have 200,000 JPY in your trading account and
interest rates are 0. Can you identify any positive arbitrage
opportunities by using these quotes? Explain and show your...
You are a trader in Tokyo in Japan and observe the following quotes on the trading...
You are a trader in Tokyo in Japan and observe the following
quotes on the trading screen for the Japanese Yen (JPY), Australian
dollar (AUD), and US dollar (USD):
AUD per USD (AUD/USD) 1.3618 – 1.3762
JPY per AUD (JPY/AUD) 77.95 – 78.78
JPY per USD (JPY/USD) 105.29 – 105.82
Suppose that you have 200,000 JPY in your trading account and
interest rates are 0. Identify all positive arbitrage opportunities
by using these quotes. Final answers in JPY.
James Clark is a foreign exchange trader with Citibank. He notices the following quotes. __________________________________________________________________________________________________ Spot...
James Clark is a foreign exchange trader with Citibank. He
notices the following quotes.
__________________________________________________________________________________________________
Spot exchange rate USD1.2051/SFr
Six-month forward exchange rate USD1.1922/SFr
Six-month $ interest rate 8% per year
Six-month SFr interest rate 10% per year
___________________________________________________________________________________________________
Is there an arbitrage opportunity? If yes, determine the
arbitrage profit in Swiss Francs. Assume that James Clark is
authorized to work with $1,000,000. Input your answer without any
currency information.
You see the following quotes: St = $1.2050/£, Ft+6 = $1.2100/£, i£ = 4%, and i$...
You see the following quotes: St = $1.2050/£, Ft+6 = $1.2100/£,
i£ = 4%, and i$ = 3%.
(a) Do these rates offer covered interest arbitrage
opportunity?
(b) If yes, which way the arbitrage capital move? Calculate the
arbitrage profit.
1a A Global Forex trader gives the following quotes for the Swiss Franc spot, one month,...
1a
A Global Forex trader gives the following quotes for the Swiss
Franc spot, one month, three months and six months to US based
treasurer
USD 1.0356/60
4/6
9/8 14/11
Calculate outright price for Spot, One – Month, Three- Month,
Six Months
b
If the trader wished to buy 10,000 Swiss francs for one and
three months forward, how much would he pay in dollars?
c
If he wished to purchase 20,000 US dollars three-Month Forward
Contract and Six-Month...
Suppose you are a currency trader and you have the following information: Spot rate: $1.30/£ The...
Suppose you are a currency trader and you have the following
information:
Spot rate: $1.30/£
The one-year interest rate for the U.S. dollar: 3%
The one-year interest rate for the pound: 2%
1. Please calculate the one-year forward rate based on the
Interest Rate Parity.
2. If the actual one-year forward is quoted at $1.28/£, do you
find a covered interest arbitrage opportunity? Please explain.
3. If there exists a covered interest arbitrage opportunity,
then show all the necessary procedures...
Suppose you get the following quotes from Bank A and B on Euro. Bank...
Suppose you get the following quotes from Bank A and B on
Euro.
Bank
A
Bid Ask Bank
B Bid
Ask
USD1.2610/EU USD1.2630/EUR USD1.2640/EUR USD1.2660/EUR
You realize that you can use local arbitrage to take advantage
of the quotes difference. If you could put as much as $1 million
into the arbitrage, how much would be your arbitrage profits? To
get full credits, you need to include step by step instructions on
how to carry out this strategy.
Suppose your bank quotes you an ask price of USD 2.50 / GBP anda bid...
Suppose your bank quotes you an ask price of USD 2.50 / GBP and
a bid price of USD 2.00 / GBP. If you buy USD 5,000 worth of GBP
and immediately sell them back, how many USD do you have left after
both transactions?
Suppose you receive the following quotes from a dealer. The bid and ask prices for USD...
Suppose you receive the following quotes from a dealer. The bid
and ask prices for USD are MYR4.15 and MYR4.18, respectively. The
same dealer also quotes the bid and ask prices for GBP to be at
MYR5.10 and MYR5.15. Given the following quotes, calculate the USD
cost of obtaining GBP10,000.
A. $8,058
B. $8,196
C. $12,200
D. $12,410
Suppose you get the following exchange rate quotes:
MYR4.4365/USD, MYR3.34/AUD, and USD0.74/AUD. Determine the
triangular arbitrage profit that is possible if you...
Consider the following two quotes: 1. In Australia, the story has been quite different. Investment spending...
Consider the following two quotes:
1. In Australia, the story has been quite different. Investment
spending here has been at a historically high level over much of
the past decade. This has been primarily due to the strength of
investment in the resources sector, which reached its highest share
of activity in more than a century. So, unlike in other countries,
there has been a significant addition to the capital stock in
Australia over the past decade. We are seeing...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- "Ethical Considerations" Please respond to the following: Reflect upon the responsibilities placed on auditors by the...
- A Japanese company has a bond outstanding that sells for 93 percent of its ¥100,000 par...
- What is the difference among the principles of modularization, abstraction, encapsulation, and separation of interface and...
- An investment project costs $20,100 and has annual cash flows of $4,400 for six years. ...
- PUT IN JAVA PROGRAMMING The StockB class: Design a class named StockB that contains the following...
- Draw a DFA for the following ( ∑ = {0,1}): Set of all strings with.
- In the article from Forbes notes that the goal of a leader is not to clone...
ADVERTISEMENT