536-1a_HW[1]

536-1a_HW[1] - 536-1a_HW 11S Topic 1 Foreign Exchange...

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536-1a_HW, 11S FIN 536 – SU Page 1 of 9 Topic 1 Foreign Exchange Market P6.3 –- Solution CHANGING CURRENCY VALUE: SHOW ALL YOUR WORK CLEARLY Symbol ISO code LC as the Base currency $ as the Base currency Y CNY NA NA NA NA HK$ HKD HKD appre. 0.26% $ depre. -0.26% Rp IDR IDR depre. -33.33% $ appre. 50.00% W KRW KRW depre. -18.18% $ appre. 22.22% RM MYR MYR depre. -28.57% $ appre. 40.00% P PHP PHP depre. -20.59% $ appre. 25.93% S$ SGD SGD depre. -10.63% $ appre. 11.89% NT$ TWD TWD depre. -14.98% $ appre. 17.63% Bht THB THB depre. -37.50% $ appre. 60.00% P6.12 -- Solution CHANGING CURRENCY VALUE: SHOW ALL YOUR WORK CLEARLY a) -28.2051% b) Exam Sample Problem 1 CHANGING CURRENCY VALUE: SHOW ALL YOUR WORK CLEARLY S 0 % change relative to $ S 1 1. 236.21 CK/$ Czech Koruna appreciated 5 % ??? 2. 0.9500 $/€ Euro appreciated 28% ???? 3. 1.5623 SF/$ ???? 1.2800 SF/$ 4. 1.0308 €/$ ???? 1.0219 €/$ Exam Sample Problem 1 – Solution 1. 224.96 CK/$ 2. 1.2160 $/€ 3. $ depreciated 18.08% (or SF appreciated 22.07%) 4. $ depreciated 0.86% (or € appreciated 0.87%) Exam Sample Problem 2 CHANGING CURRENCY VALUE: SHOW ALL YOUR WORK CLEARLY The following quotations are available: 08/11/02 07/14/03 0.9701 $/€ 1.1300 $/€ 1. Is the Euro appreciated or depreciated? What is the percentage change in the value of Euro? 2. Is the dollar appreciated or depreciated? What is the percentage change in the value of $? Exam Sample Problem 2 – Solution 1. Appreciation, 16.48% 2. Depreciation, -14.15% $ / 3250 % 40 1 1950 1 1 1 Bs S
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FIN 536 – SU Page 2 of 9 P6.1 -- Solution CROSS RATES: SHOW ALL YOUR WORK CLEARLY a) 1.426*24.75 =35.29 Ruble/€ b) 10000*35.29 = Ruble 352,900 P6.15 -- Solution CROSS RATES: SHOW ALL YOUR WORK CLEARLY a) 16.4603 Peso/€ Exam Sample Problem 3 CROSS RATES: SHOW ALL YOUR WORK CLEARLY The following quotations are available: Switzerland 1.2542 SF/$ Euro 1.2359 $/€ UK 1.8101 $/£ Japan 117.34 ¥/$ 1. What is the cross rate of SF/£? 2. What is the cross rate of €/£? 3. What is the cross rate of SF/€? 4. What is the cross rate of ¥/£? 5. What is the cross rate of ¥/SF? 6. What is the cross rate of ¥/€? Exam Sample Problem 3 – Solution 1. 2.2703 SF/£ 2. 1.4646 €/£ 3. 1.5501 SF/€ 4. 212.40 ¥/£ 5. 93.56 ¥/SF 6. 145.02 ¥/€ P6.7 – Solution TRIANGULAR CURRENCY ARBITRAGE: SHOW ALL YOUR WORK CLEARLY 1. Compare implied cross rate with the market cross rate ==> Yes, there is an arbitrage opportunity 2. Step a) Use SF1 to buy ¥ at the Blanc Bank ==> Receive ¥80 b) Use ¥80 to buy $ at the Fuji Bank ==> $0.6667 c) Use $0.6667 to buy SF at the Rushmore Bank ==> SF1.0667 d) Profit = SF 0.0667 per SF. 3. Explain Specific impact…. .; S at the Blanc bank, S at the Fuji bank, S at the Rushmore bank. Explain………
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This note was uploaded on 11/07/2011 for the course FIN 536 taught by Professor Staff during the Spring '11 term at S.F. State.

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536-1a_HW[1] - 536-1a_HW 11S Topic 1 Foreign Exchange...

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