标题: Reading 18: Currency Exchange Rates-LOS f 习题精选 [打印本页]
作者: 土豆妮 时间: 2010-4-13 15:59 标题: [2010]Session 4-Reading 18: Currency Exchange Rates-LOS f 习题精选
Session 4: Economics: Economics for Valuation
Reading 18: Currency Exchange Rates
LOS f: Calculate and interpret the spread on a forward foreign currency quotation and explain how spreads on forward foreign currency quotations can differ as a result of market conditions, bank/dealer positions, trading volume, and maturity/length of contract.
The three-month forward rate for the Byzantine solidus (BYZ) against the Venetian ducat (VEN) is quoted as 11.98 – 12.03 VEN/BYZ. The bid-ask spread on the direct quote to a Byzantine investor is closest to:
作者: 土豆妮 时间: 2010-4-13 15:59
The three-month forward rate for the Byzantine solidus (BYZ) against the Venetian ducat (VEN) is quoted as 11.98 – 12.03 VEN/BYZ. The bid-ask spread on the direct quote to a Byzantine investor is closest to:
The direct quote for a Byzantine investor is BYZ/VEN. The bid and ask quotes are 1 / 11.98 = 0.0834 BYZ/VEN and 1 / 12.03 = 0.0831 BYZ/VEN. The spread is 0.0834 ? 0.0831 = 0.0003 BYZ/VEN.
作者: 土豆妮 时间: 2010-4-13 15:59
Assume that the USD/GBP six-month forward rate is quoted at a bid of 1.72546 and an ask of 1.72776. What is the spread on the indirect quote for a U.S. dealer?
作者: 土豆妮 时间: 2010-4-13 15:59
Assume that the USD/GBP six-month forward rate is quoted at a bid of 1.72546 and an ask of 1.72776. What is the spread on the indirect quote for a U.S. dealer?
For an indirect quote, the bid and ask prices must be converted to GBP/USD. This is accomplished by taking the reciprocal of each and then subtracting the bid from the ask price.
1 / 1.72546 USD/GBP = 0.579556 GBP/USD
1 / 1.72776 USD/GBP = 0.578784 GBP/USD
The spread is 0.578784 ? 0.579556 = 0.000772 GBP/USD
作者: 土豆妮 时间: 2010-4-13 15:59
Which of the following statements best describes a six month forward foreign currency spread? The six month forward foreign currency spread:
|
A) |
is the same as the spot spread. | |
|
B) |
tends to be smaller than the spot spread. | |
|
C) |
tends to be larger than the spot spread. | |
作者: 土豆妮 时间: 2010-4-13 16:00
Which of the following statements best describes a six month forward foreign currency spread? The six month forward foreign currency spread:
|
A) |
is the same as the spot spread. | |
|
B) |
tends to be smaller than the spot spread. | |
|
C) |
tends to be larger than the spot spread. | |
The forward foreign currency spreads tend to be larger than the spot spreads.
作者: 土豆妮 时间: 2010-4-13 16:00
An American wants to buy six cases of champagne. Each case costs 390 SEK. If the SEK/USD exchange rate is 6.90, what is the USD cost of the champagne?
作者: 土豆妮 时间: 2010-4-13 16:00
An American wants to buy six cases of champagne. Each case costs 390 SEK. If the SEK/USD exchange rate is 6.90, what is the USD cost of the champagne?
Total SEK cost = 390 × 6 = 2,340 SEK. Invert the quote = 1 / 6.9 = 0.1449 USD/SEK.
Total dollar cost = 0.1449 USD/SEK × 2,340 SEK = USD339.13
作者: 土豆妮 时间: 2010-4-13 16:00
In an attempt to reduce her inventory, a dealer holding excess foreign currency should:
|
A) |
move the midpoint of her direct quote up. | |
|
B) |
move the midpoint of her direct quote down. | |
|
C) |
quote a narrower bid-ask spread. | |
作者: 土豆妮 时间: 2010-4-13 16:00
In an attempt to reduce her inventory, a dealer holding excess foreign currency should:
|
A) |
move the midpoint of her direct quote up. | |
|
B) |
move the midpoint of her direct quote down. | |
|
C) |
quote a narrower bid-ask spread. | |
To reduce inventory, a dealer holding excess foreign currency should move the midpoint of her direct quote down. If the dealer narrows the spread, her bid price would rise at a time when she does not want to buy.
作者: 土豆妮 时间: 2010-4-13 16:01
If the liquidity on a foreign currency forward contract decreases, the direct quote:
|
A) |
spread will narrow and the indirect quote spread will widen. | |
|
B) |
spread will widen and the indirect quote spread will narrow. | |
|
C) |
and the indirect quote spreads will widen. | |
作者: 土豆妮 时间: 2010-4-13 16:01
If the liquidity on a foreign currency forward contract decreases, the direct quote:
|
A) |
spread will narrow and the indirect quote spread will widen. | |
|
B) |
spread will widen and the indirect quote spread will narrow. | |
|
C) |
and the indirect quote spreads will widen. | |
Both the direct quote and the indirect quote spreads will widen as the liquidity on a foreign currency forward decreases.
作者: luqian55 时间: 2010-5-31 06:15
thanks
作者: annyyu 时间: 2011-1-7 04:56
re
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