Name: Lê Hồng Thủy Class: LT1

Exercise 1: Calculate forward exchange rate in 5 following situations:

1. Spot JPY/VND = 200.92/218.83 2. Spot RUB/VND = 380/30
JPY interest rate: 1%-2% per year RUB interest rate: 1.5%-2.5% per year
VND interest rate: 8%-10% per year VND interest rate: 7%-9% per year
a. 3-month F (JPY/VND) = ? a. 3-month F (RUB/VND) = ?
F_bid = 200.92 * (1 + 8% * 3/12)/(1 + 2% * 3/12) F_bid=380*(1 + 7% * 3/12)/(1 + 2,5% * 3/12)
= 203.92 = 384,25
F_ask = 218.83 * (1 + 10% * 3/12)/(1 + 1% * 3/12) F_ask=430*(1+7% * 3/12 )/(1 + 2,5% * 3/12)
= 223.74 = 434,81
b. 6-month F (JPY/VND) = ? b. 6-month F (RUB/VND) = ?
F_bid = 200,92 * (1 + 8% * 6/12)/(1 + 2% * 6/12) F_bid=380*(1+ 7% * 6/12)/(1 + 2,5% * 6/12)
= 209,92 = 388,44
F_ask = 218,83 * (1 + 10% * 6/12)/(1 + 1% * 6/12) F_ask=430*(1 + 7% * 6/12)/(1 + 2,5% * 6/12)
= 228,63 = 439,56
3. Spot SGD/VND = 16,700/00 4. Spot AUD/VND = 16,150/750
SGD interest rate: 1.5%-3% per year AUD interest rate: 2%-3% per year
VND interest rate: 8%-10% per year VND interest rate: 8%-10% per year
a. 30-day F (SGD/VND) = ? a. 30-day F (AUD/VND) = ?
F_bid = 16.700 * (1 + 8% * 30/360)/(1 + 3% * F_bid = 16.150 * (1 + 8% * 30/360) / (1 + 3%
30/360) = 16.769 * 30/360) = 16.217
F_ask = 16.800 * (1 + 10% * 30/360)/(1 + 1.5% * F_ask = 16.750 * (1 + 10% * 30/360) / (1 +
30/360) = 16.919 2% * 30 / 360) = 16.861
b. 60 day F (SGD/VND) = ? b. 60 day F (AUD/VND) = ?
F_bid = 16.700 * (1 + 8% * 60/360)/(1 + 3% * F_bid = 16.150 * (1 + 8% * 60/360) / (1 + 3%
60/360) = 16.838 * 60/360) = 16.284
F_ask = 16.800 * (1 + 10% * 60/360)/(1 + 1.5% * F_ask = 16.750 * (1 + 10% * 60/360) / (1 + 2
60/360) = 17.037 % * 60/360) = 16,972
5. Spot AUD/HKD = 7.0865/00
AUD interest rate: 3.25%-4.75% per year
HKD interest rate: 6%-7.5% per year
 a. 30-day F (HKD/AUD) = ?
F_bid (AUD / HKD) = 7,0865 * (1 + 6% * 30/360) / (1 + 4,75% * 30/360) = 7,0939
F_ask (AUD / HKD) = 7,0900 * (1 + 7,5% * 30 / 360) / (1 + 3,25% * 30/360) = 7,1150
b. 60 day F (HKD/AUD) = ?
F_bid (AUD / HKD) = 7,0865 * (1 + 6% * 60/360) / (1 + 4,75% * 60/360) = 7 , 1011
F_ask (AUD / HKD) = 7,0900 * (1 + 7,5% * 60/360) / (1 + 3,25% * 60/360) = 7,1400

Exercise 2:
1. A multinational company is going to
hedge for an inflow of 100,000 USD in the
future. This firm engages in a forward
contract to buy USD by VND in the next 90
days with current annual interest rate of USD
and VND are respectively 1.5-2.5% and 6-
8%. At the contract time, the spot rate of
USD/VND is 21,000/21,500. Define profit/
loss of the firm at maturity if the spot rate of
USD/VND in the next 90 days will
respectively be: 20,933/21,625;
21,058/21,750; 21,183/21,875;
21,308/22,000; 21,433/22,125. Diagram?
2. An American exporter will receive an
amount of 500,000CHF from a Swiss
importer in the next 3 months. This
American firm engages in a forward contract
to sell CHF for USD in the next 03 months
with current annual interest rate of CHF and
USD are respectively 1.25-2.00% and 2.5-
3.5%. At the time of signing (present), the
spot rate of CHF/USD is 0.4880/20. Define
profit/ loss at maturity if the CHF/USD spot
rate at maturity will respectively be:
0.4686/0.4748; 0.4786/0.4848;
0.4886/0.4948; 0.4986/0.5048;
0.5086/0.5148. diagram?
3. Customer is engaging in an Option
contract (American type) to buy 350,000
USD by VND in 180 days. Strike price is
defined as 180-day forward exchange rate
with 135 VND/USD premium. The current
USD/VND spot rate is 20,000/20,500. The
USD and VND annual interest rate are
respectively 1.5-2.5% and 7.5-10%. Define
profit/ loss of this customer at maturity in
the next 180 days if the spot rate at maturity
of USD/VND will respectively be :
19,629/20,500; 20,129/21,000; 20494/
21,365; 20,629/21,500; 21129/22,000.
Define the Break-even point? Diagram?

4. Customer is engaging in an Option

contract (American type) to sell 350,000
USD by VND in 120 days. Strike price is
defined as 120-day forward exchange rate
with 164 VND/USD premium. The current
USD/VND spot rate is 20,000/20,500. The
USD and VND annual interest rate are
respectively 1.5-2.5% and 8.0-11%. Define
profit/ loss at maturity if the spot rate at
maturity of USD/VND will respectively be :
20,000/20,818; 20,200/20,982;
20,364/21,146; 20,500/21,500/
21,000/22,000. Define the Break-even
point? Diagram?