fbe436 hw4 solution

K investor 1227 1244 toronto s c 05202 f90 05208

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

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