标题: Reading 18: Currency Exchange Rates-LOS b 习题精选 [打印本页]
作者: 土豆妮 时间: 2011-3-6 11:35 标题: [2011]Session 4-Reading 18: Currency Exchange Rates-LOS b 习题精选
Session 4: Economics for Valuation
Reading 18: Currency Exchange Rates
LOS b: Calculate and interpret the spread on a foreign currency quotation, and explain how spreads on foreign currency quotations can differ as a result of market conditions, bank/dealer positions, and trading volume.
A foreign currency is quoted at $1.5558 - 70. The percentage spread is closest to:
Percent spread = [(Ask price – Bid price)/Ask price] × 100
Percent spread = [(1.5570 – 1.5558)/1.5570] × 100 = 0.07707%
作者: 土豆妮 时间: 2011-3-6 11:35
Today’s spot CAD bid exchange rate is EUR:CAD 1.425 and the ask exchange rate is EUR:CAD 1.435. The percent spread is closest to:
The percentage spread is the same irrespective of how the quote is made. The percentage spread is calculated as: (1.435 ? 1.425) / 1.435 × 100 = 0.697%
作者: 土豆妮 时间: 2011-3-6 11:36
Assume that the EUR:USD six-month forward exchange rate is quoted at 1.2102 ? 1.2112. What is the bid-ask spread as a percentage of the ask price based on a direct quote for euros?
Our quote is in terms of the number of dollars per euro, and a direct quote for euros is the number of euros per dollar. So, we must invert the rates given to get USD:EUR = 0.8256 ? 0.8263. The spread is the difference between the bid and the ask or 0.8263 ? 0.8256 = 0.0007. The spread as a percent of the ask price is (0.0007 / 0.8263) or 0.0847%. Rounding is per market convention.
作者: 土豆妮 时间: 2011-3-6 11:36
Because of the uncertainty involved in forward contracts, dealers will quote bid-ask spreads on longer-term forward contracts that are:
The further into the future the quote, the more volatile the price, and the wider the spread.
作者: 土豆妮 时间: 2011-3-6 11:36
A bank in the U.S. is quoting a bid of CAD:USD 0.9350 and an ask of CAD:USD 0.9400. For a direct U.S. quote, what is the percentage spread?
% spread = (ask price ? bid price) / ask price × 100
(0.9400 ? 0.9350) / 0.9400 × 100 =
(0.005 / 0.9400) × 100 = 0.5319%
作者: 土豆妮 时间: 2011-3-6 11:36
Suppose the spot CHF:USD exchange rate quotation is 0.7910 - 0.7917. The percentage bid-ask spread on the USD is:
The bid-ask spread = [(0.7917 ? 0.7910) / 0.7917] × 100 = 0.0884%
作者: 土豆妮 时间: 2011-3-6 11:37
A bid-ask spread on a foreign currency will be narrower the:
|
A) |
more actively traded the currency and the smaller the transaction. | |
|
B) |
less actively traded the currency and the smaller the transaction. | |
|
C) |
more actively traded the currency and the larger the transaction. | |
The more actively a currency is traded, and the larger the transaction, the narrower the spread.
作者: 土豆妮 时间: 2011-3-6 11:37
Which of the following will cause a currency's bid-ask spread to widen? The:
|
A) |
bid-ask spread is for a small transaction rather than a large one. | |
|
B) |
government has recently become more stable. | |
|
C) |
bid-ask spread is a spot quote rather than a forward quote. | |
The bid is the price at which the bank will buy foreign currency, and the ask is the price at which the bank will sell foreign currency. The more actively a currency is traded, the narrower the spread. Forward spreads are wider than spot spreads. The smaller the transaction size, the wider the spread. The greater the exchange-rate volatility, the greater the bid-ask spread.
作者: 土豆妮 时间: 2011-3-6 11:38
Which of the following statements about foreign currency bid-ask spreads is least accurate? Foreign currency bid-ask spreads:
|
A) |
decrease as the size of the transaction decreases. | |
|
B) |
are not directly affected by bank and currency dealer positions. | |
|
C) |
are a function of transaction volume and volatility. | |
Bid-ask spreads are size related in that the smaller the transaction the larger the spread.
作者: 土豆妮 时间: 2011-3-6 11:38
The percentage spread between foreign currency quotations is equal to the:
|
A) |
ask price minus the bid price divided by the ask price multiplied by 100. | |
|
B) |
ask price minus the bid price divided by the bid price multiplied by 100. | |
|
C) |
ask price divided by the bid price. | |
% spread = [(ask price – bid price) / ask price] × 100
作者: 土豆妮 时间: 2011-3-6 11:38
Given a foreign currency quotation bid of $0.8955 and an ask of $0.9045 what is the percentage bid-ask spread, and who profits from it?
% spread = [(ask price bid ? price) / ask price] × 100
= [(0.9045 ? 0.8955) / 0.9045 ] × 100 = 0.9950%
The bid-ask spread is how banks make their profit on foreign currency transactions.
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