Problem Sets (2)

Chapter 8
Problem 8.3 Amber McClain, Amber McClain, the currency speculator we met earlier
in the chapter,sells eight June futures contracts for 500,000 pesos at the closing price
quoted in Exhibit 8.1

a. What is the value of her position at maturity if the ending spotrate is $0.12000/Ps?
b. What is the value of her position at maturity if the ending spotrate is $0.09800/Ps?
c. What is the value of her position at maturity if the ending spotrate is $0.11000/Ps?

Problem 8.4 Black River Investments. Jennifer Magnussen, a currency trader for
Chicago-based Black River Investments, uses the following futures quotes on the British
pound to speculate on the value of the British pound.

British Pound Futures, US$/pound (CME)                

              Open
Maturity Open High Low Settle Change High Interest

March 1.4246 1.4268 1.4214 1.4228 0.0032 1.4700 25,605

June 1.4164 1.4188 1.4146 1.4162 0.0030 1.4550 809

a. If Jennifer buys 5 June pound futures, and the spot rate at maturity is
$1.3980/pound, what is the value of her position?
b. If Jennifer sells 12 March pound futures, and the spot rate at maturity is
$1.4560/pound, what is the value of her position?
c. If Jennifer buys 3 March pound futures, and the spot rate at maturity is
$1.4560/pound, what is the value of her position?
d. If Jennifer sells 12 June pound futures, and the spot rate at maturity is
$1.3980/pound, what is the value of her position?