{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

HW6solutions_fall11 - 7 A ± ² ³ ´ µ ¶ ¸ ¹ º»¼...

Info icon This preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
Homework 6, FINA 471 Fall, 2011 1. D. F = 1785*e 0.05*0.75 + 2.5*e 0.05*0.75 + 2.5*e 0.05*0.5 + 2.5*e 0.05*0.25 = $1860.90. 2. D. F = 0.012982*e (0.04-0.02)*0.5 = 0.013112$/¥. 3. D. The forward exchange rate of 0.013085 $/ ¥ is too cheap, relative to the fair forward price obtained in the previous problem. An arbitrager should long the forward contract and synthetically create a short forward position (sell yen in the spot market). 4. B. r 91 = (100-97.75)/100/4*91/90 = 0.005688. 5. C. Since we want to protect ourselves against an interest rate rise, we will short $5 million worth
Image of page 1
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 7. A. ± ² ³ ´ µ ¶· ¸ ¹ º»¼ ½ º ¾ ± ¿ÀÁÀ ³ ´ ÃÁÄ ¶· ¸ ´ÄÅÄ ´ÄÄà ¾ ± ÆÁÀÇÈ . 8. D. ² ± É ´ µ ¶· ¸ ¹ º»¼ ½ º ¾ ± ¿ÀÁÀÊ É ´ ÃÁÄ ¶· ¸ ´ÄÅÄ ´ÄÄà ¾ ± ÂÁËÊÈ 9. A. The future value of storage cost is 4.85 - 4.65*1.005 = $0.17675. The present value is 0.17675/1.005 = $0.17587. 10. B. The future value of storage cost at the end of the second month is 5.1 - 4.85*1.005 = $0.22575. The value at the beginning of the second month is 0.22575/1.005 = $0.22463....
View Full Document

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern