SM and FM Transaction Problem Set 1 sol

SM and FM Transaction Problem Set 1 sol - Solutions: FX...

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Solutions: FX Spot / Forward Market Transactions Problem Set #1 Forward and Spot Prices Quotes for Foreign Currencies: From Wall Street Journal Today: 01/15/XX (Wednesday) 1-month latter: 02/15/XX (Tuesday) 6-months latter: 07/15/XX (Monday) 1. Today (1/15/XX), you bought 100 million JY in the spot market from Credit Suisse First Boston (CSFB), and sold it back to CSFB one month latter : Your cash flows today, are: + JY 100,000,000 - $ 827,000 Your cash flows on 2/15/XX are: - JY 100,000,000 + $ 746,900 Your profit/loss is: - $ 80,100 CSFB’s cash flows today, are: - JY 100,000,000 + $ 827,000 CSFB’s cash flows on 2/15/XX are: + JY 100,000,000 - $ 746,900 CSFB’s profit/loss: + $ 80,100 2. Today (1/15/XX), you bought a one-month forward contract for 100 million JY from Credit Suisse First Boston (CSFB) : Your cash flows today, are: None Your cash flows on 2/15/XX are: + JY 100,000,000 - $ 828,500 - JY 100,000,000 + $ 746,900 Your profit/loss (in the FM) is: - $ 81,600 CSFB’s cash flows today, are:
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SM and FM Transaction Problem Set 1 sol - Solutions: FX...

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