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土豆妮

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发表于 2011-3-6 12:00 | 只看该作者

Today, the spot rate on pounds sterling is $0.6960 and 90-day forward pounds are priced at $0.6925. The annualized forward discount is:

A)

2.022%.

B)

2.012%.

C)

1.005%.


Forward discount = ($0.6925 ? $0.6960) / $0.6960 × (360 / 90) = -0.02012

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土豆妮

UID
137525 
帖子
5724 
主题
885 
注册时间
2009-7-1 
最后登录
2011-3-29 
12#
发表于 2011-3-6 12:01 | 只看该作者

The 90-day forward rate is EUR:USD 0.9420. Given a forward premium of EUR:USD 0.0027, what is the annualized percentage forward discount or premium for the Euro?

A)
 1.146%.
B)
 1.150%.
C)
 11.500%.

Since we have a forward premium, we have to subtract it from the forward rate to get the spot rate of EUR:USD 0.9393. (Note that the $ is weaker in the forward market as it takes more dollars to buy one Euro.)

The annualized percentage forward premium = (0.0027 / 0.9393) × (360 / 90) × 100 = 1.150%

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土豆妮

UID
137525 
帖子
5724 
主题
885 
注册时间
2009-7-1 
最后登录
2011-3-29 
13#
发表于 2011-3-6 12:01 | 只看该作者

The spot and 30-day forward rates for the Australian dollar (AUD) are USD 0.3075 and USD 0.3120, respectively. The AUD is selling at a forward:

A)
 rate of USD 0.3075.
B)
 premium of USD 0.0045.
C)
 discount of USD 0.0045.

USD 0.3120 – USD 0.3075 = USD 0.0045 premium.

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