excel中replace怎么用1.  A foreign exchange trader with a U.S. bank took a short position of £5,000,000 when the $/£ exchange rate was 1.55.  Subsequently, the exchange rate has changed to 1.61.  Is this movement in the exchange rate good from the point of view of the position taken by the trader?  By how much has the bank’s liability changed because of the change in the exchange rate?
2.  Restate the following one-, three-, and six-month outright forward European term bid-ask quotes in forward points.
Spot                1.3431-1.3436
One-Month        1.3432-1.3442
Three-Month        1.3448-1.3463
Six-Month            1.3488-1.3508
3.  Using the spot and outright forward quotes in problem 3, determine the corresponding bid-ask spreads in points.
Solution: 
Spot            5
One-Month        10
Three-Month        15
Six-Month        20
4.  Given the following information, what are the NZD/SGD currency against currency bid-ask quotations?
                American Terms    European Terms
    Bank Quotations        Bid    Ask        Bid    Ask
New Zealand dollar    .7265    .7272        1.3751    1.3765
Singapore dollar          .6135    .6140        1.6287    1.6300
5.    Doug Bernard specializes in cross-rate arbitrage.  He notices the following quotes:
    Swiss franc/dollar = SFr1.5971?$
    Australian dollar/U.S. dollar = A$1.8215/$
    Australian dollar/Swiss franc = A$1.1440/SFr慢工出细活英语
    Ignoring transaction costs, does Doug Bernard have an arbitrage opportunity based on these quotes?  If there is an arbitrage opportunity, what steps would he take to make an arbitrage profit, and how would he profit if he has $1,000,000 available for this purpose.
6.    Assume you are a trader with Deutsche Bank.  From the quote screen on your computer terminal, you notice that Dresdner Bank is quoting €0.7627/$1.00 and Credit Suisse is offering SF1.1806/$1.00.  You learn that UBS is making a direct market between the Swiss franc and the euro, with a current €/SF quote of .6395.  Show how you can make a triangular arbitrage profit by trading at these prices.  (Ignore bid-ask spreads for this problem.)  Assume you have $5,000,000 with which to conduct the arbitrage.  Wh
at happens if you initially sell dollars for Swiss francs?  What €/SF price will eliminate triangular arbitrage?
7.    The current spot exchange rate is $1.95/£ and the three-month forward rate is $1.90/£. Based on your analysis of the exchange rate, you are pretty confident that the spot exchange rate will be $1.92/£ in three months. Assume that you would like to buy or sell £1,000,000.
position of the day
a.    What actions do you need to take to speculate in the forward market?  What is the expected dollar profit from speculation?
b.    What would be your speculative profit in dollar terms if the spot exchange rate actually turns out to be $1.86/£.
8.    Omni Advisors, an international pension fund manager, plans to sell equities denominated in Swiss Francs (CHF) and purchase an equivalent amount of equities denominated in South African Rands (ZAR).           
Omni will realize net proceeds of 3 million CHF at the end of 30 days and wants to eliminate the risk that the ZAR will appreciate relative to the CHF during this 30-day period.  The following exhibit shows current exchange rates between the ZAR, CHF, and the U.S. dollar (USD).
Currency Exchange Rates
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ZAR/USD
ZAR/USD
CHF/USD
CHF/USD
Maturity
Bid
Ask
Bid
Ask
Spot
6.2681
6.2789
1.5282
1.5343
30-day
6.2538
6.2641
1.5226
1.5285
90-day
6.2104
6.2200
1.5058
1.5115
a.Describe the currency transaction that Omni should undertake to eliminate currency risk over the 30-day period.
b.Calculate the following:
•  The CHF/ZAR cross-currency rate Omni would use in valuing the Swiss equity portfolio.
            •  The current value of Omni’s Swiss equity portfolio in ZAR.
strtrim函数的用法•  The annualized forward premium or discount at which the ZAR is trading versus the CHF.
MINI CASE:  SHREWSBURY HERBAL PRODUCTS, LTD.
Shrewsbury Herbal Products, located in central England close to the Welsh border, is an old-line producer of herbal teas, seasonings, and medicines.  Its products are marketed all over the United Kingdom and in many parts of continental Europe as well.
Shrewsbury Herbal generally invoices in British pound sterling when it sells to foreign customers in order to guard against adverse exchange rate changes.  Nevertheless, it has just received an order from a large wholesaler in central France for £320,000 of its products, conditional upon delivery being made in three months’ time and the order invoiced in euros.
Shrewsbury’s controller, Elton Peters, is concerned with whether the pound will appreciate versus the euro over the next three months, thus eliminating all or most of the profit when the euro receivable is paid.  He thinks this is an unlikely possibility, but he decides to contact the firm’s banker for suggestions about hedging the exchange rate exposure.
menubar
Mr. Peters learns from the banker that the current spot exchange rate is €/£ is €1.4537, thus the invoice amount should be €465,184.  Mr. Peters also learns that the three-month forward rates for the pound and the euro versus the U.S. dollar are $1.8990/£1.00 and $1.3154/€1.00, respectively.  The banker offers to set up a forward hedge for selling the euro receivable for pound sterling based on the €/£ forward cross-exchange rate implicit in the forward rates against the dollar.

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