fin536_ex_5[1]

fin536_ex_5[1] - Fin536 Exercise 5 Ch10&8 FX...

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Fin536 Exercise 5 Ch10&8 FX forecasting and derivatives 1 1. Textbook: Chapter 10 Problems 8-15, Page 277-278 2. List different approaches to model fx rates and their implication for fx forecasting. 3. (News)What type of news can move the prices systematically in the FX markets: expected news or unexpected news? How could the exchange rate of one currency respond differently to the same news, e.g., interest rate raise on that currency? 4. What is a currency future? How to compute its price? Plot the payoff profile for a long and a short position in a currency future respectively. 5. What is the mark-to-market rule in futures trading? How can a buyer of futures avoid actual delivery of the FX in the contract at maturity day? 6. (Mark-to-market) You enter a long position in a € future contract with the size of €125,000 today. The futures expire in 90 days. The interest rates are i $ =1% and i =3%. The current spot rate is $1.4/€. Assume 360 days a year.
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fin536_ex_5[1] - Fin536 Exercise 5 Ch10&8 FX...

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