标题: Reading 18: Currency Exchange Rates-LOS c 习题精选 [打印本页]
作者: 土豆妮 时间: 2011-3-6 11:39 标题: [2011]Session 4-Reading 18: Currency Exchange Rates-LOS c 习题精选
Session 4: Economics for Valuation
Reading 18: Currency Exchange Rates
LOS c: Calculate and interpret currency cross rates, given two spot exchange quotations involving three currencies.
Given an exchange rate of CAD:USD 0.9250 and CHF:USD 1.6250 what is exchange rate quoted in CHF:CAD?
(CHF:USD 1.6250) / (CAD:USD 0.9250) = CHF:CAD 1.7568
作者: 土豆妮 时间: 2011-3-6 11:40
Given P the direct quotes in U.S. dollars for the Mexican peso (MXN) and the Peruvian nuevo sol (PEN), determine the PEN:MXN bid-ask cross rates. Select the closest correct answer.
MXN:USD Bid/Ask: 0.11001 - 0.11036
PEN:USD Bid/Ask: 0.28818 - 0.28918
A) |
PEN:MXN 2.62890 - 2.64630. | |
B) |
PEN:MXN 2.61127 - 2.62867. | |
C) |
PEN:MXN 0.38300 - 0.38554. | |
This problem demonstrates the "Bid-Ask Matrix Method" to calculate the bid and ask quotes:
Step 1: Put the bid-ask quotes into a matrix. Use direct quotes in the common currency.
Currency |
Bid |
Ask |
MXN |
0.11001 |
0.11036 |
PEN |
0.28818 |
0.28918 |
Step 2: "Divide Out" the diagonals and take the reciprocal. Remember that the quotes are direct quotes for a USD investor.
(Remember to put MXN in the numerator - because MXN is in the numerator of the quote we are asked to calculate.)
MXNBid / PENAsk = 0.11001 / 0.28918 = MXNEN 0.38042,
1 / MXNEN 0.38042 = PEN:MXN 2.62867
MXNAsk / PENBid = 0.11036 / 0.28818 = PEN:MXN 0.38296,
1 / MXNEN 0.38296 = PEN:MXN 2.61127
Step 3: Quote : The PEN:MXN Bid-Ask is:
(Note: The lower number from Step 2 is the bid, the higher number is the ask.)
PEN:MXN 2.61127 to 2.62867
作者: 土豆妮 时间: 2011-3-6 11:40
Given the following quotes, USD:GBP 2.0000 and USD:MXN 8.0000, calculate the direct GBP:MXN spot cross exchange rate.
If we had 1 GBP we could buy 0.50 USD. That 0.50 USD would buy 4 Pesos. Alternately, you can invert the first quote to read GBP:USD 0.5000. Then, 0.5000GBP:USD x 8.0000USD:MXN = 4.0000GBP:MXN
作者: 土豆妮 时间: 2011-3-6 11:42
A bank in Canada is quoting USD:CAD bid 1.4950 ? ask 1.5005, and EUR:USD bid 0.9350 ? ask 0.9400. What is exchange rate bid and ask for EUR:CAD?
A) |
EUR:CAD 1.5904 ? 1.6048. | |
B) |
EUR:CAD 0.6254 ? 0.6264. | |
C) |
EUR:CAD 1.3978 ? 1.4105. | |
First invert the EUR:USD quote by 1 / 0.9350 = 1.0695 and 1 / 0.9400 = 1.0638 for a quote of USD:EUR 1.0638 ? 1.069. Then set up a bid-ask matrix.
1.4950 / 1.0695 = EUR:CAD 1.3978
1.5005 / 1.0638 = EUR:CAD 1.4105
The EUR:CAD bid-ask quote is 1.3978 ? 1.4105
作者: 土豆妮 时间: 2011-3-6 11:42
Given the following quotes for the Canadian dollar (CAD) and the British pound (GBP), determine the GBP:CAD bid-ask spread. (Note: Carry calculations to at least five decimal places)
USD:CAD 1.59031 ? 1.59701
USD:GBP 0.69459 ? 0.69686
A) |
GBP:CAD 2.29921 ? 2.31631. | |
B) |
GBP:CAD 2.28211 ? 2.29921. | |
C) |
GBP:CAD 2.28957 ? 3.28863. | |
We recommend using the following "Bid-Ask Matrix Method" to calculate the bid and ask quotes:
Step 1: Put the bid-ask quotes into a matrix as below:
Currency |
Bid |
Ask |
USD:CAD |
1.59031 |
1.59701 |
USD:GBP |
0.69459 |
0.69686 |
Step 2: “Divide Out” the diagonals.(Remember to put CAD in the numerator - because CAD is in the numerator of the quote we are asked to calculate.)
CADBid / GBPAsk = 1.59031 / 0.69686 = GBP:CAD 2.28211
CADAsk / GBPBid = 1.59701 / 0.69459 = GBP:CAD 2.29921
作者: 土豆妮 时间: 2011-3-6 11:43
An analyst observes that the exchange rate for Mexican pesos is USD:MXN 8.0000, and the exchange rate for Polish zlotys is USDLN 6.0000. The PLN:MXN exchange rate is closest to:
The cross rate of PLN:MXN is (USD:MXN 8) / (USDLN 6) = 1.3333 PLN:MXN.
作者: 土豆妮 时间: 2011-3-6 11:43
The current spot rates for currency exchange are as follows: USD:THB 0.02240 and THB:AUD 23.89923. What is the AUD:USD spot cross exchange rate?
The AUD:USD cross rate is calculated in the following manner:
Step 1: Multiply the two quotes together (THB will cancel out) to obtain USD:AUD as follows: USD:THB 0.02240 × THB:AUD 23.89923 = USD:AUD 0.53534.
Step 2: Take the reciprocal of this result to obtain AUD:USD as follows: 1 / USD:AUD 0.53534 = AUD:USD 1.86796
An alternative calculation method is as follows:
Step 1: Take the reciprocal of the USD:THB quote as: 1 / USD:THB 0.02240 = THB:USD 44.64286
Step 2: Divide this result by the THB:AUD quote as: THB:USD 44.64286 / THB:AUD 23.89923 = AUD:USD 1.86796
作者: 土豆妮 时间: 2011-3-6 11:44
Given the following bid-ask spreads, calculate the DKK:CHF bid ask spread:
- USD:CHF bid-ask 1.3096 ? 1.4528
- USDKK bid-ask 2.4365 ? 2.5843
Set up a bid-ask matrix using:
USD:CHF bid-ask 1.3096 ? 1.4528
USDKK bid-ask 2.4365 ? 2.5843
(USD:CHF 1.3096) / (USDKK 2.5843) = DKK:CHF 0.50675
(USD:CHF 1.4528) / (USDKK 2.4365) = DKK:CHF 0.59627
作者: 土豆妮 时间: 2011-3-6 11:44
If the CAD is trading at CAD:USD 0.6403 and the GBP is trading GBP:CAD 2.5207, the GBP:USD exchange rate is:
(CAD:USD 0.643) × (GBP:CAD 2.5207) = GBP:USD 1.6140.
作者: 土豆妮 时间: 2011-3-6 11:44
If the spot exchange rate between the British pound and the U.S. dollar is USD:GBP 0.7775, and the spot exchange rate between the Canadian dollar and the British pound is GBP:CAD 1.8325, what is the CAD:USA spot cross exchange rate?
First, convert USD:GBP 0.7775 to 1/0.7775 = GBP:USD 1.28617.
Then, divide GBP:USD 1.28617 by GBP:CAD 1.8325 = CAD:USD 0.70187.
作者: 土豆妮 时间: 2011-3-6 11:44
The Japanese yen is trading at USD:JPY 115.2200 and the Danish krone (DKK) is trading at DKK:JPY 16.4989. The DKK:USD exchange rate is:
The cross rate between USD and DKK is calculated in the following manner:
(JPY:USD)(DKK:JPY) = (1 / 115.2200) × 16.4989 = DKK:USD 0.1432 (the Yen cancels out)
作者: 土豆妮 时间: 2011-3-6 11:44
A Mexican dealer gives a quote of USD:MXN 8.00 - 8.10 and a London dealer quotes USD:GBP 2.00 - 2.10. What is the GBP:MXN bid and ask from the perspective of a Mexican dealer?
This result is determined as follows:
Step 1: Invert GBP quote.
First, we need to invert the GBP quotes to make the currency units GBP:USD. Then, when we multiply by the USD:MXN quote we will have the correct GBP:MXN units. (Remember that when you take the reciprocal of a quote, the bid becomes the ask and vice versa. So, for the bid we take the given ask)
Bid: 1.00000 / 2.10000USD:GBP = 0.47619GBP:USD
Ask: 1.00000 / 2.00000USD:GBP = 0.50000GBP:USD
Step 2: Calculate GBP:MXN bid-ask Prices.
Bid: 8.00000USD:MXN × 0.47619GBP:USD = 3.80952GBP:MXN, or 3.81GBP:MXN.
Ask: 8.10000USD:MXN × 0.50000GBP:USD = 4.05000GBP:MXN, or 4.05GBP:MXN.
Thus, the GBP:MXN bid-ask is: 3.81 - 4.05.
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