Assume the canadian spot rate is 1.18C$/US$, the swiss franc spot rate is 1.29CHF/US$ and the...

Assume the canadian spot rate is 1.18C$/US$, the swiss franc spot rate is 1.29CHF/US$ and the market cross rate is 1.11CHF/C$

A. Calculate the implied cross rate of CHF/C$.

B. Calculate the triangular profit. Assume you have US $1,000 to work with. State the currencies you need to buy and sell in order to earn the arbitrage profit

Expert Solution

jeff jeffy answered 1 hour ago

Let us assume that around Dec. 2019, the spot exchange rate between the Swiss Franc and...

Let us assume that around Dec. 2019, the spot exchange rate between the Swiss Franc and U.S. dollar was 1.0485 (USD per SWF). Interest rates in the United States and Switzerland were 0.75% and 0.25% per annum, respectively with continuous compounding. Assume also that the four-month forward exchange rate was 1.0630 (US$ per SWF) 1. Is there an arbitrage opportunity for you to make money? (Hint: Recall how to find no-arbitrage forward price!) 2. If there is NO arbitrage opportunity,...

Assume that Canadian dollar is equal to $0.80 and the Swiss franc is equal to $0.71.

Assume that Canadian dollar is equal to $0.80 and the Swiss franc is equal to $0.71. Then the value of the Swiss franc in terms of Canadian dollars (C$/SFr) is: a) 0.3621 Canadian dollars b) 0.8875 Canadian dollars c) 1.1267 Canadian dollars d) 2.51 Canadian dollars.

In early 2012, the spot exchange rate between the Swiss Franc and U.S. dollar was 1.0404 ($ per franc).

In early 2012, the spot exchange rate between the Swiss Franc and U.S. dollar was 1.0404 ($ per franc). Interest rates in the United States and Switzerland were 0.25% and 0% per annum, respectively, with continuous compounding. The 3-month forward exchange rate was 1.0300 ($ per franc). What arbitrage strategy was possible? How does your answer change if the forward exchange rate is 1.0500 ($ per franc).

Q6) In early 2012, the spot exchange rate between the Swiss Franc and U.S. dollar was...

Q6) In early 2012, the spot exchange rate between the Swiss Franc and U.S. dollar was 1.0404 ($ per franc). Interest rates in the U.S. and Switzerland were 0.25% and 0% per annum, respectively, with continuous compounding. The three-month forward exchange rate was 1.0300 ($ per franc). What arbitrage strategy was possible?

In early 2012, the spot exchange rate between the Swiss Franc and U.S. dollar was 1.0404...

In early 2012, the spot exchange rate between the Swiss Franc and U.S. dollar was 1.0404 ($ per franc). Interest rates in the U.S. and Switzerland were 0.25% and 0% per annum, respectively, with continuous compounding. The three-month forward exchange rate was1.0300 ($ per franc). What arbitrage strategy was possible? How does your answer change if the exchange rate is 1.0500 ($ per franc).

The spot rate for the Swiss Franc is $1.05/CHF. A dealer quotes $1.0475/CHF for the 90-day...

The spot rate for the Swiss Franc is $1.05/CHF. A dealer quotes $1.0475/CHF for the 90-day forward rate. If the interest rate in the US is 4% and the interest rate in Swizerland is 8%, can you arbitrage? Show the details. Use 100,000 as the notional amount. a. At what forward rate will it not be possible to arbitrage? c. Continuing with the previous question, If the inflation rate in the US was 7% and 2% in Croatia, what is...

You have the following market data. Spot price for the Swiss Franc is $1.198 per Franc....

You have the following market data. Spot price for the Swiss Franc is $1.198 per Franc. Two-month forward price is $1.247 per Franc. U.S. dollar LIBOR for two months is a continously compounded rate of 2.92% per annum. Swiss LIBOR for two months is a continuously compounded rate of 2.32% per annum. Underlying asset for this contract (i.e., the quantity of Swiss Francs to be delivered in two months) is 500,000 Swiss Francs. What is the total net profit if...

The spot and 30-day forward rates for the Swiss franc are $0.9075 and $0.9120 respectively. The...

The spot and 30-day forward rates for the Swiss franc are $0.9075 and $0.9120 respectively. The Swiss franc is said to be selling at an annualized forward

Q-2 (25p) Let us assume that around Dec. 2019, the spot exchange rate between the Swiss...

Q-2 (25p) Let us assume that around Dec. 2019, the spot exchange rate between the Swiss Franc and U.S. dollar was 1.0485 (USD per SWF). Interest rates in the United States and Switzerland were 0.75% and 0.25% per annum, respectively with continuous compounding. Assume also that the four-month forward exchange rate was 1.0630 (US$ per SWF). Is there an arbitrage opportunity for you to make money? (Hint: Recall how to find no-arbitrage forward price!) If there is NO arbitrage opportunity,...

The Wall Street Journal reported the following spot and forward rates for the Swiss franc ($/SF)....

The Wall Street Journal reported the following spot and forward rates for the Swiss franc ($/SF). Spot $ 0.8227 30-day forward $ 0.8554 90-day forward $ 0.8565 180-day forward $ 0.8612 a. Was the Swiss franc selling at a discount or premium in the forward market? Discount Premium b. What was the 30-day forward premium (or discount) percentage? (Do not round intermediate calculations. Input your answer as a percent rounded to 2 decimal places.) c. What was the 90-day forward...

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