fin536_ex_3_solutions[1]

fin536_ex_3_solutions[1] - Fin 350, Exercises 3, Ch6 FX...

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Fin 350, Exercises 3, Ch6 FX Markets 1. (Spot Quotations) Two banks give the following quotes on the euro at the same time: Citibank NY $1.1840-60/€ Barclays London: $1.1820-38/€ (1) What types of quotes are from the banks (from the US’s perspective), direct or indirect? (2) What are the bid prices and ask prices of € from the banks? (3) What are the bid prices and ask prices of $ from the banks? (4) Do you see a chance of profit from these quotes? 2. (Triangular Arbitrage) Assume the following quotes. Can you profit from them? If so, describe your steps and calculate your profit with $1,000,000 investment. Citibank quotes $1.92/£; UBS quotes €1.50/£; Deutsche Bank quotes $1.15/€ 3. (Exchange rate changes) Calculate the percentage change in exchange rates. S1 S2 Change in Exchange Rates Peso4/$ Peso10/$ $1.4/€ $1.6/€ ¥120/$ ¥100/$
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Fin 350, Exercises 3, Ch6 FX Markets 4. (Forward rates) Using the following exchange rates between US$ and Australian $,
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fin536_ex_3_solutions[1] - Fin 350, Exercises 3, Ch6 FX...

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