In: Finance
4. Suppose the rate of appreciation of the dollar relative to the yen over the next 90 days is normally distributed with mean of -1% and a standard deviation of 3%. Use a spreadsheet program to graph the distribution of the future yen–dollar exchange rate. If the current spot exchange rate is ¥99 /$, and the 90-day forward rate is ¥98.30/$,describe the distribution of yen profits or losses from selling $5,000,000 forward.
Below is the normal curve with mean -1% and Standard Deviation 3%
Mean | ||
-4 | -0.1300000 | 0.0044610 |
-3.75 | -0.1225000 | 0.0117532 |
-3.5 | -0.1150000 | 0.0290894 |
-3.25 | -0.1075000 | 0.0676349 |
-3 | -0.1000000 | 0.1477283 |
-2.75 | -0.09250 | 0.30311875 |
-2.5 | -0.08500 | 0.58427668 |
-2.25 | -0.07750 | 1.05798839 |
-2 | -0.07000 | 1.79969888 |
-1.75 | -0.06250 | 2.87591063 |
-1.5 | -0.05500 | 4.31725319 |
-1.25 | -0.04750 | 6.08830285 |
-1 | -0.04000 | 8.06569082 |
-0.75 | -0.03250 | 10.03791441 |
-0.5 | -0.02500 | 11.73551089 |
-0.25 | -0.01750 | 12.88893723 |
0 | -0.01000 | 13.29807601 |
0.25 | -0.00250 | 12.88893723 |
0.5 | 0.00500 | 11.73551089 |
0.75 | 0.01250 | 10.03791441 |
1 | 0.02000 | 8.06569082 |
1.25 | 0.02750 | 6.08830285 |
1.5 | 0.03500 | 4.31725319 |
1.75 | 0.04250 | 2.87591063 |
2 | 0.05000 | 1.79969888 |
2.25 | 0.05750 | 1.05798839 |
2.5 | 0.06500 | 0.58427668 |
2.75 | 0.07250 | 0.30311875 |
3 | 0.08000 | 0.14772828 |
3.25 | 0.08750 | 0.06763494 |
3.5 | 0.09500 | 0.02908942 |
3.75 | 0.10250 | 0.01175319 |
4 | 0.11000 | 0.00446101 |