BÀI TẬP TÀI CHÍNH QUỐC TẾ

A. Spot Market
1. From a Frenchman's point of view, which of each pair of quotes is the direct quote?
Which is the indirect quote?
a. GBP/EUR 1.17: the direct quote
EUR/GBP 0.8: the indirect quote
b. USD/EUR 0.88: the direct quote
EUR/USD 1.13: the indirect quote
B. Forward Market
1. Compute the forward discount or premium for the Mexican peso whose 90-day forward
rate is $.102 and spot rate is $.10. State whether your answer is a discount or premium.
P= (F-S)/S x 360/n
= (0.102-0.1)/0.1 x 360/90= 0.8 >0 => The unit currency is trading at premium
C. Futures Market
2. Assume that a March futures contract on Mexican pesos was available in January for $.09
per unit. Also assume that forward contracts were available for the same settlement date at
a price of $.092 per peso. How could speculators capitalize on this situation, assuming zero
transaction costs? How would such speculative activity affect the difference between the
forward contract price and the futures price?
Speculators could purchase peso futures contract for $.09 per unit, and sell peso forward contract at $.092
per unit. When the pesos are received (as a result of the futures position) on the settlement date, the
speculators would sell the pesos to fulfill their forward contract obligation. Therefore, they can receive
$.002 per unit profit.
Many speculators take advantage of the strategy described above, they would place upward pressure on
futures prices and downward pressure on forward prices. Thus, the difference between the forward
contract price and futures price would be eliminated
D. Options Market
7. One year ago, you sold a € put option with details as below:
- Premium: $.04 per unit
- Strike price: $1.22
- Contract size: 100,000 €
Assume one year ago:
- Spot rate: 1€ = $1.20
- One-year forward rate exhibited a discount of 2%, and the one-year futures price was the
same as the one-year forward rate
- Assume from one year ago to today the euro depreciated against the dollar by 4 percent
=> S(today) = 1.2*(1-4%) = $1.152
a. Assume that your counterparty will exercise the put option today. Calculate your profit/loss
b. Assume that instead of taking a position in the put option one year ago, you sold a futures
contract on 100,000 euros with a settlement date of one year. Determine your profit/ loss.
a. sold a € put option
P = + $.04 per unit
X = + $1.22
S = - $1.20,
S(today) = -$1.152
- Contract size: 100,000 €
profit/loss per unit= P+X-S (today) = 0.04+1.22-1.152 = -$0.028
total loss: -0.028x100,000 =
b. One-year forward rate = 1.2*(1-2%) = $1.176 the one-year futures price
profit/ loss = 1.176-1.152=0.024
Total profit = 0.024 *100,000 = $2,400