fbe436 hw4 solution

# K investor 1227 1244 toronto s c 05202 f90 05208

This preview shows page 1. Sign up to view the full content.

This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: investor) 9.33 9.37 9.20 The new table is: London iUK 12.44 12.44 New York iUS F(90) i\$C S (£/\$) 9.20 0.6203 0.6250 11.88 Covered Yields (for U.K. investor) 12.27 12.44 Problem #4.4: Given the following information calculate the implied Forward rate for 90 and 180 days. The eurocurrency rates are, DM 8.0%, \$ 5.5% for 90 days, 9.0%, 6.0% for 180 days, and the spot rate is 1.7100 DM/\$. The IRPT relation is: ( ( ) ) T F ( +T ) 1 + i 360 = . S 1 + i* T 360 where S, F are American quotes (\$/fc). For 90 days: 1 + 0.055 F 4 ⇒ F(90) = 1/1.7205 \$/DM. = 0.08 1 1.7100 1 + 4 For 180 days: 1 + 0.06 F 2 ⇒ F (180) = 1/1.7349 \$/DM. = 0.09 1 1.7100 1 + 2 5 FBE 436 Answers to Problem Set #4 Problem #4.5: JBC company has a known cash payment of SF50,000,000 to be made to a Swiss supplier in 100 days. The company wishes to fix or lock-in the nominal \$ price of this payment using currently available rates. The spot rate available to the company is 2.50SF/\$, the forward rate for maturity in 100 days is 2.465SF/\$, and JBC faces a \$ interest rate of 12.0% and an SF interest of 6.0%. Given thi...
View Full Document

## This note was uploaded on 01/16/2010 for the course FBE 436 at USC.

Ask a homework question - tutors are online