國(guó)際財(cái)務(wù)管理課后習(xí)題答案chapter-【實(shí)用文檔】doc

國(guó)際財(cái)務(wù)管理課后習(xí)題答案chapter-【實(shí)用文檔】doc文檔可直接使用可編輯，歡迎下載

CHAＰTER5ＴＨＥＭＡRKETFORFOREＩGNEXCＨANGE國(guó)際財(cái)務(wù)管理課后習(xí)題答案chapter-【實(shí)用文檔】doc文檔可直接使用可編輯，歡迎下載SUGＧESTEDAＮSWEＲＳANDＳOLUTＩONSTOＥND－OF—CHAPＴER

QUESTIONSＡNDＰRＯBLEＭSQUESＴIONS1.Giveａｆｕlldefinitiｏnｏftｈｅｍａrketｆｏrfoｒeignexｃhａnge。２．Whatisthｅdifferencｅbeｔweeｎthｅｒetaｉlorcliｅntｍarkｅｔaｎｄthｅwholesalｅｏｒｉｎterbankmarketfｏrｆoreignexｃhaｎge？Answｅr：Themaｒketｆorfｏreｉgnexｃｈａｎgｅcanbeviｅｗeｄasatｗo-ｔiermａrket.Ｏnetierisｔhｅwhｏlｅsalｅorｉntｅrbａnｋmａrｋeｔandtｈeothertieristｈereｔailorclientmarkｅｔ。InｔernａｔｉｏｎalbaｎksprovｉdetｈecｏreoｆtheFＸｍaｒket.Theystａndwilｌingtobｕｙorseｌlfｏｒeigｎｃurrencyｆoｒtheirownａccoｕnt．Theseinternationalbａnksseｒvetｈeｉrretａｉｌcliｅnts,ｃorporatｉｏnsｏrｉｎdiｖｉdｕals，inｃonｄuｃtiｎgforeiｇncommeｒceormａｋiｎgiｎternatｉonaｌｉnvestｍentinfinａｎcialasseｔsthatreqｕiｒesfｏrｅｉgneｘchange。Ｒｅｔａiltrａnsactionsａccouｎtfoｒonlyabｏｕｔ１4perｃｅntofFXtraｄes。Theｏthｅr86pｅｒcｅｎtisiｎtｅrbaｎktｒaｄｅsbetweenｉnｔｅrnａt(yī)ｉonalbanｋs，ｏrnoｎ-bankdeaｌｅrslargeenoｕｇｈtoｔransａｃtintｈeinteｒｂaｎkmarｋet。3。Whoaｒethemarkeｔpａｒticipantsｉnthefｏreignｅｘchanｇeｍarket?Ａｎswer：ＴｈemarｋｅtpａrｔicｉｐantｓthatcｏmprisetheＦXmarkeｔcanｂｅcａt(yī)egｏｒiｚeｄiｎtofｉvegrouｐs:intｅrnationalｂankｓ,bankcuｓtomerｓ,non-ｂankdeａｌers,FＸｂrokers,ａndcｅnｔrａlｂaｎks.InterｎaｔionaｌｂanksprovidｅtheｃoreoftheFXｍａｒket．Ａpproximately100ｔo20０bａnkｓｗorldｗｉdemａkeamarkeｔinforｅignｅxｃhangｅ，ｉ.e.,ｔheyｓtａnｄwillingtoｂuyorsellfｏreｉgncuｒrenｃyfoｒthｅirownａｃcounｔ．Ｔheseinternationａlbａnksseｒvetｈeirreｔaiｌｃlｉeｎtｓ，theｂaｎkcustoｍｅrｓ,ｉｎcoｎｄｕctｉngｆorｅｉgnｃｏｍmerceoｒｍakingｉｎtｅｒnａt(yī)iｏnalｉnｖｅstmentｉnfｉnａncｉalasseｔｓｔhaｔｒeqｕｉresｆoｒeigｎexcｈａngｅ．Non-bａnkｄｅaｌersarelargenon—banｋfiｎａｎciａｌinstiｔutions，ｓuchａsｉｎvesｔmentbａｎks，mutualfuｎds,pｅnｓｉonfuｎdｓ，andｈedgefunds，wｈoｓesiｚeanｄｆreｑuｅnｃyofｔｒaｄesmakeｉtcｏsｔ—eｆfeｃtivetoestａｂliｓhtｈeirowndeaｌingrooｍstoｔrａｄedirｅctlyｉntheinterbaｎkｍaｒｋｅtｆｏrｔheｉｒforｅignexｃhａnｇenｅｅds.Mostiｎｔerbankｔraｄesａrespｅculativｅoｒarbiｔｒagetｒansactiｏnsｗherｅｍａrketpartｉｃiｐantｓaｔtｅmptｔocorｒｅcｔlｙjudgｅｔｈefutｕredireｃtioｎoｆpricemovementｓｉnonecuｒreｎcｙｖersuｓanｏtｈeｒoｒａｔtｅｍｐttoprofｉtfromtｅmporarypricedｉｓcrepanciesincurrenciesbetwｅe(cuò)nｃｏmpｅtｉngdealers．FXｂrokersmatｃhdealeｒorderｓｔobuｙandｓellcｕrｒｅnciｅsfｏraｆee，buｔdonｏttakeaposｉtiontｈｅｍsｅlｖes。Interbanｋｔraｄersuseaｂroｋｅｒpｒimarilytodｉssemiｎaｔｅasｑuicｋlyａspossｉbleａcurrｅncｙｑuoteｔomａnyotheｒdｅaleｒs.Centrａlbanｋssomｅtｉmｅｓiｎtｅｒｖｅnｅｉnｔhefoｒeｉｇnexchangeｍaｒketinanatteｍptｔｏｉnｆlueｎcｅtｈeprｉｃeｏfitscurrｅnｃyａgaｉnｓtthatofａmajortradinｇpaｒｔneｒ，ｏraｃountrｙｔhaｔiｔ“fixes"or“pegs"itscurreｎcyagａinst.Ｉnterｖentiｏnisｔｈｅｐrｏｃｅｓｓofuｓinｇforeigncuｒrencyreseｒvesｔoｂuyｏne'sｏwncuｒreｎcｙinorｄertｏdecrｅaseｉtｓｓupplyａndthusincｒeaｓeitsvａlueｉnｔｈefｏreignexchangemａrkｅt，oｒalternａt(yī)ivｅｌｙ,sellinｇoｎe’sownｃurrencyforfoｒｅiｇncurrencyinｏｒdertｏｉｎｃreaseitssupｐlｙandloweriｔsprice.4。Howarefｏreｉgnｅxｃhanｇetｒaｎsａctiｏｎｓｂetwｅe(cuò)nｉnternatｉonalbanksseｔtlｅd？Ａｎswｅr:Theinterｂankｍarketisanｅtworkｏfｃorreｓpondenｔbａnｋiｎgｒelａt(yī)ionsｈips，ｗitｈlarｇecommｅｒciａｌbaｎksｍaintaｉniｎgｄemanddepositａccoｕntswｉthｏｎeａnothｅr,calledcｏrｒｅｓpｏndeｎｔbａｎｋaccｏｕntｓ.Thecｏrrespｏndentbankaｃcoｕntnetworkallｏwsforthｅe(cuò)ｆfｉcientfuncｔioｎｉngofｔhｅfｏreignexｃhangemarkｅt.Aｓanexampleofhowｔheneｔworkofcorrespoｎdentｂaｎｋaccountsfaciｌiｔieｓiｎｔerｎaｔionａlforeigneｘchａngeｔｒansactｉonｓ,consideraＵ。S．impｏrteｒdesiringtoｐurchaｓemｅrchanｄｉｓeinvｏｉｃediｎguilderｓfromaDutchｅxpｏrtｅｒ.ThｅＵ.S。ｉmpoｒterｗｉllcｏntaｃthiｓｂaｎｋandinｑｕｉｒeaboutｔheｅxchａnｇerate。IftheＵ．Ｓ．ｉｍpｏrtｅrａcｃeptsthｅoｆｆｅredexchanｇerａt(yī)e,thebanｋwilｌdeｂitｔheU．Ｓ．importeｒ’ｓaccoｕntfｏrthepurcｈaseofthｅDuｔchguildeｒs．ThebaｎkｗｉｌliｎstrucｔitscoｒｒeｓpondeｎtbankｉnｔｈeNetheｒlanｄstｏdｅbititsｃｏｒｒｅｓponｄentｂanｋaccounｔthｅａppropｒiａt(yī)eamountofｇuiｌｄeｒsaｎｄｔocredittheDuｔchexportｅr'ｓbaｎkaccount.Theiｍｐorｔeｒ'sbａｎkwillthendebitｉtsｂookstooffsetｔhedebitofU.S.iｍporｔer’saｃcounｔ，ｒeflｅｃtiｎgtｈedecｒｅaseｉｎｉtscｏrrｅsponｄｅntbaｎkaccoｕntbaｌancｅ。５.Whatｉsmeanｔbyａcurｒencytradｉngatａdiscoｕntorａt(yī)aprｅｍiuminthｅfｏrｗaｒdmarkeｔ?Ansｗeｒ：Theforwarｄmａrketinｖｏlvescoｎtrａctingtｏｄａyｆｏrｔｈefｕturepｕrchasｅorsａｌeofｆoreignｅxchａnge.Tｈeｆｏrwardpｒｉcemaｙbethesａmeasthｅspoｔpricｅ，ｂutuｓｕallyitishigｈer（aｔapｒeｍｉｕm）ｏrｌower（ａt(yī)ａdiscount)thａnthespotprｉce。

6。WｈｙdoesmostｉnｔｅrbａnｋcurrencytradingworldwiｄeinvolvetheU.S。dollａr?Ａnsｗer：Tｒａｄinginｃｕrrencｉeswｏrldｗiｄeisagaiｎｓtacｏmmoncurrencythathａsinternａt(yī)ｉoｎａlapｐｅaｌ。Tｈatcurrｅnｃyhａsbｅe(cuò)ntheU。S．ｄollarｓincetｈeendofWorlｄWarII.Howeｖｅr,theeuroaｎdJapanesｅyeｎhavestarｔｅdtobeusedmuｃhmｏreaｓiｎteｒnａｔionａｌcurreｎciesｉnrｅceｎtyears。Ｍｏreimｐｏrｔantｌy,trａdｉngwoulｄｂｅe(cuò)xceedｉｎglycｕmbersomeanddiffｉｃulｔｔｏmaｎageifｅａchtｒadeｒmａdeamarketagaiｎstaｌｌotherｃuｒrｅncｉeｓ。7。Ｂanｋｓfindiｔneｃessarｙtoaccｏｍmoｄaｔetｈｅｉrｃlieｎts'nｅｅdstoｂuyoｒseｌｌＦXｆｏrward,ｉnmａnｙinstaｎｃesfoｒhｅｄgingpurposes.Ｈowｃａnthｅｂanｋeliｍｉnateｔhecurrencｙeｘｐoｓureithaｓｃreatedforｉｔsｅｌｆbyacｃommｏdaｔｉngacｌient’ｓfｏrｗardｔｒansaｃｔiｏn?Ａｎsｗer：Sｗaｐtｒａnsａcｔｉoｎsｐrｏｖideamｅansforthebａｎktｏｍｉtigatｅthecurｒｅncｙｅxpｏsureinafｏrwarｄｔrａdｅ。Aｓwａptranｓaｃtiｏniｓtｈeｓimultaneoｕsｓａle（orpurchasｅ）ofsｐotforeｉgnexchangeaｇainstafoｒwardpuｒchaｓｅ(orｓaｌe）ofａｎapproximａt(yī)elyequａｌamｏuntofthｅforeigncuｒreｎcy。Tｏｉlluｓtｒate，sｕppｏｓｅaｂankcustomｅrwantstobuyｄollaｒsthreemｏntｈsfoｒwarｄagainｓtBｒiｔishpoundsｔerling.Thｅbanｋcanhandlｅthistradefoｒｉｔscuｓtｏｍerandsimuｌtaneouｓlｙneutralizetｈｅe(cuò)xchａngeraｔeriskiｎthｅtrａdｅbyselｌｉng（ｂｏrｒｏｗed）Bｒitishpｏuｎdsterlingspotagａinstdoｌlars.Thebanｋwilｌlｅｎdthedollarsforｔhｒeｅmoｎthsｕnｔilthｅyａｒeneｅｄeｄｔoｄelivｅragａinstthedｏllarｓithaｓsｏldforwａｒd．TheBrｉtiｓhｐｏundsｒecｅivｅｄｗiｌlbeｕsedtｏlｉqｕidａｔeｔｈeｓｔerｌingloａｎ．８．ＡCD/$bankｔrａｄerｉscuｒreｎｔlｙｑuotiｎgasmalｌfigurebid—askoｆ35－40,ｗhentherestofｔhemａrketistrａｄingaｔＣD1．343６-CD1．3441.Whatiｓimｐlieｄａbｏｕtthetraｄer’sbｅliefsbyhiｓprices？Ansｗer：ＴhｅtraｄeｒmｕsｔthinktｈeCanａdｉaｎdolｌarisgoｉngｔoapprｅciａt(yī)eaｇainsttｈeＵ。S.dolｌａｒａndthereforehｅistryingtoiｎｃｒeａｓｅhisinventoryofＣanadiaｎdoｌlarsｂydｉsｃourａgｉｎgpurchaseｓｏfＵ。S．ｄoｌlarsｂyｓtanｄinｇｗiｌｌｉngtobuy＄ａt(yī)onlyCＤ1．３435/＄１．０0ａｎdofferinｇtoｓellfrｏminventorｙattｈeslightlｙｌｏｗerthanmarketpｒicｅｏfＣＤ1．３440／＄1.00.9。Whaｔistｒｉanguｌarａｒbiｔrａｇe？Whatiｓacoｎdiｔｉonｔhatwillgｉｖeｒiｓetoatriａngularａrbｉtragｅｏppｏrtuｎitｙ?Answer:TrｉａnｇulａｒarｂiｔrageｉｓtheｐｒｏcessoftradiｎｇoutoftheU．Ｓ．dollarｉnｔoaseｃondcurreｎcｙ，thｅｎtradingitforathirｄcｕrreｎcy,whｉcｈiｓinturntradedfoｒU.S。ｄolｌars。Thepurposeｉｓtoeａrnａnarbｉｔrageprofitviａt(yī)raｄinｇfromｔhｅsecondtothetｈirdcurreｎcywhenｔｈｅdirｅcｔｅxchaｎgebetｗeｅntheｔwoiｓnotｉnａliｇnmentｗiｔhtheｃｒosｓexｃhaｎgerate。Ｍost,bｕtnoｔaｌｌ,currencｙtraｎsaｃtｉonsgothｒｏｕｇhｔｈeｄoｌlar.Cerｔaｉｎｂanksspeciａlizeｉnｍakingａｄirectｍarketbetｗeenｎon－dｏｌｌarcuｒrｅnｃies，priciｎｇatanarrｏwerbid－asksprｅaｄthantheｃross—ｒatｅsprｅad．Ｎevｅrｔhelｅｓs，ｔheimpliedcross-raｔebid-asｋqｕotationsimposeadisciplineｏntheｎｏn—doｌlarmaｒketmakｅrs．Iftheirdirectｑuotｅsａrenotconsistｅntwithtｈecrｏsｓｅｘcｈangerateｓ,aｔriａｎgulaｒarｂitｒageprofitispossｉbｌe.?ＰROＢLEＭS1.UsinｇExhｉbit5.４，calculateacｒoｓs-ratｅmatrixfortheeuro，Swiｓsfranｃ,Japaｎeseｙｅn，ａndtｈeＢriｔisｈpoｕｎd。UｓeｔhemostｃuｒｒenｔＡmericanｔｅrmqｕｏteｓｔｏcａlcuｌatetｈｅcross-rateｓsotｈatthetriangｕlａrmａt(yī)rixreｓulｔingissimiｌartotheportｉｏnabovethediagonalinExhiｂit5。6.Ｓolutioｎ：Theｃｒoss-rateforｍｕlaweｗａnttouseis:Ｓ（j/ｋ)=Ｓ(＄／k）/S（$/j）。Ｔhｅtrｉaｎgulａrmatｒｉｘwillcｏntain４ｘ（４+１)/２=１0ｅlements.￥SF￡＄Ｅuro１3８.051．5４81.68７3１。311２Ｊapaｎ（1００）１．１214。497９。９４９８Sｗitzerland．4440。8４７０U.Ｋ1。9０７７２。ＵｓｉｎgEｘhiｂiｔ5．４,ｃalcuｌaｔeｔheoｎe—，thrｅe(cuò)－,ａndｓix－ｍoｎthｆoｒｗａrｄcrｏｓs-exchａngｅｒatesｂeｔｗeentheCａnaｄiandｏllａrandｔｈeSwｉssfｒａｎcusinｇtheｍostcurｒenｔqｕｏtatiｏns.Sｔateｔheforwaｒdcrｏss—rateｓｉn“Ｃanａｄiａｎ"ｔｅｒｍs。Soｌution:Thｅfoｒmulaｓwewanttｏｕseare：FN（ＣD／SF)=FN（＄/SF)/ＦN(＄／CＤ）ｏｒFN（CD/SF）=FN（CD／＄）／FＮ（SＦ/＄）.ＷewiｌｌusｅthetopfoｒmｕｌathatｕsesＡmericantｅｒmforwardeｘchａngerateｓ。F1（CD/SF）＝.８485/.8０37=1．0557F3（ＣＤ/SF）=．８5１７／．８043=１.0589Ｆ6（ＣD／SF）=。8５７3／。80５7＝1．０640

3.Restatetｈｅfoｌlowingoｎe—，threｅ-，aｎdsix-ｍｏnｔhｏutrｉghtｆｏrwardEuroｐeaｎtermbｉd—askquｏｔｅｓiｎfｏｒwaｒdpｏints．Ｓpot １。3４31－１.3４36One-Ｍｏntｈ? １.34３2—1．3４42Ｔhree-Month? １．34４8-１．3463Six-Month? 1.3４88-1。3508Solution：Ｏne－Montｈ??01－０6Three-Ｍonth ?１７－27Six—Moｎｔh??５7—72４。Ｕsingthｅｓpotandｏｕｔrightforwardquoｔesｉnproblem3，deterｍｉnｅｔｈｅｃorrｅｓpoｎdinｇｂid—asｋsｐreadsinpoｉnts。Soluｔiｏｎ：Ｓpoｔ ? ５Oｎe－Month? 10Tｈrｅｅ－Moｎtｈ ?１5Six—Ｍonth 2０5．UsingＥxhibit5.4，ｃａlculatetｈｅone-,tｈreｅ-，aｎdsix－moｎthfoｒwａrｄpｒemiｕmoｒdiｓｃoｕｎtfｏrthｅCaｎaｄiandollarvｅrsusｔhｅU．S．ｄollarusｉngAmｅriｃａnｔeｒmquoｔatioｎs.Foｒsiｍｐlicity，aｓsumeeachｍonthｈas30dａys。Wｈatiｓtheinｔerprｅtaｔionofyourｒeｓuｌｔs？Sｏluｔiｏｎ:Theforｍulawewanｔtouseiｓ：fN，CＤ=［(FＮ（＄/CＤ）－S（＄/ＣD／＄)/S（＄/CＤ）]x360/Nf1,ＣD=［（.８０3７—。8０37)/.80３7］x360/30＝.00０0ｆ3,CD＝［(。８０43-.803７）/。８０３7]x360/90=．0030f6，CD＝［(.8０57—．803７)/。８03７]ｘ3６0/18０＝.0050ＴhepatternｏfforｗａrdpremiumsｉｎｄicateｓｔｈaｔtheCａnadｉａndoｌlaristradinｇaｔａｎｉncreａsingpｒeｍｉuｍvｅｒｓustheU．Ｓ。ｄollａr。Thａt(yī)is,iｔｂｅcomｅｓｍoｒeexpeｎsiｖe(inbｏtｈabsolｕteaｎdperｃeｎtａgetｅrms)toｂuyａCanadiandoｌlarｆoｒwardfｏrU.Ｓ.dolｌarｓtheｆuｒthｅｒintotｈefuｔureonｅcoｎtracts。6.UsingExhiｂit5．4,calculａt(yī)ｅｔheone—，thｒeｅ-，anｄsｉx-moｎthfｏｒwardpremiumordiｓｃoｕｎtfortheU．Ｓ。dollａrveｒsustheBｒitishｐounｄusｉngEuropeaｎtｅrmｑuotaｔions.Ｆoｒsiｍplｉciｔy，assumeeacｈｍonｔhｈas30ｄayｓ.Ｗhatistheｉnｔerpretａt(yī)ｉonofyourresuｌｔs？Soｌutiｏn:Thefoｒmulａwewantｔoｕseis:fN，＄=［(FＮ(￡/$)—S（￡/＄)）/S（￡／$）］x３６0/Nf1,＄=［(．５2５1—.5２4２)／。５２4２]x３60/30=-．0023ｆ3，$＝[（.5２68—.524２)/.524２]ｘ360／9０=—。01９8ｆ6，＄＝［(．529０—。52４２)/。5２42]x360／１80=－.0183Tｈepatｔeｒnoffｏrwaｒdｐremiｕmｓiｎｄicａt(yī)esthatｔheBｒitｉshpouｎdistrａdingataｄiｓcｏｕｎtveｒｓuｓtheU.Ｓ.dollaｒ．Ｔhatｉs,iｔｂecomeｓmｏreｅxpensiｖetoｂｕyａU．S。doｌｌａrforwarｄforＢｒｉtiｓhpoundｓ（inａbsｏlutebuｔnｏtpercentａｇeterms）thefurtherintothefutureonecontrａcts。7。Gｉｖentheｆolloｗinginformａt(yī)ion,ｗhａt(yī)aretheNZＤ/SＧＤｃuｒｒｅｎcｙagaiｎstｃurreｎcybiｄ-askquｏｔａt(yī)iｏｎs？AmｅriｃanTerms EuｒopeａnTerms ＢankQｕotaｔｉoｎs Bid?Ask Bｉd?AsｋNewZｅaｌanｄｄollar 。７265 .７27２? 1。375１?1.3７６5Sinｇapoｒeｄollaｒ 。6135?。6140? 1.６２87?１.6300Solution：Equaｔion５.１2frｏmthｅteｘtiｍｐliesＳb（NＺD/SGD)=Sb（＄／ＳGＤ)ｘSb（ＮZD/$）=．6１3５x1．3765＝。８44５．Tｈeｒｅcipｒoｃaｌ，1／Ｓb(NZD／ＳＧD）=Sａ（SＧＤ／NZD）＝1。1841.Ａnaｌｏgouｓly，ｉｔisimplｉedｔhａt(yī)Sａ（ＮZD/SGD）=Sa（$／SGＤ）ｘＳa(NZD／＄）=．6１4０x1.3７6５=.８452。Thereciprｏｃaｌ,１/Sa(NＺD／SGD）＝Ｓｂ(ＳGD／NZD）=１．1832。Tｈｕs，ｔheＮＺD／ＳGDbｉd-aｓｋsｐreａdisNZD０.8445－NＺD０.8４５2andtheSGＤ/NZＤspreａdiｓSGD1。183２-ＳGD1．１８41．８． AsｓumeｙouareatraｄerwｉｔｈDeｕtｓcheBaｎk．Fromthequｏtescreｅnｏnyourｃｏmｐｕterterminaｌ，younoticethatDresdnｅrBanｋisqｕoｔing€０.76２7/$1．00aｎdCreｄｉtSuｉsseisoffeｒｉnｇSＦ1。１８06／$1。０0.YoulｅarnｔhatUBSiｓmａkingａdｉrecｔmａrkeｔbetweｅntheＳwiｓsｆrａnｃaｎdｔｈeeｕrｏ,withacurrｅnt€/ＳFquoteoｆ。６3９5.Showhoｗｙｏｕcaｎｍakeatrianｇularaｒbiｔrageprｏｆitbytrａdingaｔtheseprices.(Iｇnoｒeｂid—askspｒeadsforthiｓpｒoｂlem．）Aｓsumeｙouｈave$５，000,0０0withｗｈichtoconduｃｔtheaｒｂｉtrage。WｈatｈａppensiｆyouiｎitiallyｓeｌldｏllａrsforSwisｓfｒaｎcｓ？Ｗhat€/SＦpｒicewｉlleliｍｉnatetｒianｇulａrａrbiｔｒagｅ？Solutｉon：ToｍａｋｅatriaｎgulａraｒbitrageprofitｔheDeutscheＢanktrａｄerｗoｕldselｌ＄５，000,０0０toDｒｅsdnerＢankat€0．7６２7/$1.00。Ｔhistradewouldyieｌd€3，813,５００＝$５，０00，000x.7627.TheDeutscｈｅBanktraｄｅrwouｌｄthenｓellｔheeuｒosｆoｒSwｉsｓｆｒancstoＵnionBaｎkｏfSwitzerlandataｐriｃeoｆ€0．6395/SF1．00，yieldiｎｇSF5，963,２53=€３，813,５００/。6395。ThｅDeuｔsｃheBａnktradｅrwilｌrｅsellｔheSwiｓsfranｃｓtoCreditSuiｓｓｅfor＄5,０５1，０36=SF5，963,２53/1。1806，yieldingaｔrｉangulararbitｒａgeprofｉｔoｆ＄51,036．IfｔheＤｅｕtｓcheBanｋtraｄerinｉtｉａllｙsold$５，00０，000foｒSwissfrancｓ，instｅadofeｕｒos，thetradewoulｄｙieldSF5，903,000=$５，000，000x1。１8０6。TheSｗiｓsfｒancswｏulｄinturnbeｔradｅdforｅuｒostoＵBSfoｒ€3，774,969=SF５，９０3，０0０ｘ.6395．ThｅｅｕrｏｓwoｕldbｅresoldtoＤrｅsｄnerＢaｎkfor＄４,949,４8１=€3,774,969／。７６27,oralｏｓsof＄50,519．Thｕs，ｉtisnecｅssarytocｏnducｔthetriａｎguｌaｒarbiｔrageinthｅcoｒrｅcｔｏrｄer．TheS（€/ＳＦ）crｏssexｃｈangeｒateｓhｏuｌdbe.762７／１．1806＝．646０。Ｔhiｓｉｓaneｑｕilｉbriｕmrateａｔwhｉchatｒiａnguｌararbitｒａｇeprｏfｉtwilｌnotｅxisｔ.(Thｅstudeｎtcａnｄetｅrminethｉsfｏｒhiｍself。)AproｆitresuｌｔｓfｒｏmthｅｔriangulaｒarbiｔragewhｅｎdollarｓaｒefｉrstsoldfｏｒeurosｂecａuseSwiｓｓｆraｎcsａrepｕrcｈａsedfoｒeurosatｔｏoloｗarateiｎcｏmparisｏntotｈeequilibriｕmcross—raｔe，i.ｅ。，Sｗissｆrａnｃsarepuｒｃhａseｄｆoronly€0.６395/SＦ1.00ｉｎsteadofthenｏ-arbiｔragerateoｆ€０。646０/SF1。00．Sｉmilaｒlｙ，ｗhendolｌaｒsarefirsｔsolｄfｏｒSwisｓｆraｎcs，anarｂｉtrａgelossresuｌtsｂｅｃaｕseSwisｓfｒａnｃsaresoldfｏreuｒosattoolowaratｅ，ｒesultingintｏｏfewｅuroｓ.Thａt(yī)is,eachＳwisｓfｒancissoｌdfor€0。6３95／SＦ1。00inｓteadoftheｈigherｎo-arbｉｔrａgerateof€0。6460／ＳF１.00.9.?Thecurrentspoｔexchaｎgeratｅis＄１．95/￡ａndthethree－monthfoｒｗardratｅｉs$1.9０/￡。Basedｏnyｏuranalｙsisoｆthｅｅｘchａngｅrate，ｙoｕarｅprｅttycoｎfideｎtthaｔthｅspoｔexｃhangｅｒatｅwｉｌｌbe$1.92／￡intｈrｅe(cuò)ｍonthｓ．Assumeｔhａt(yī)yoｕｗouｌdliketobuyｏrsell￡1，0００，０00。ａ.?Ｗhatactｉoｎｓdoｙｏuｎeedtotaｋｅｔｏspeｃulateintheｆｏｒwａｒdmarket？Whatｉｓtｈeexpeｃteddｏｌlaｒｐrofｉｔｆｒoｍsｐｅculation?b． Whａt(yī)ｗouｌdbeyourｓｐeｃulatｉｖｅprｏfitindollarｔｅrmsiｆtｈｅspoteｘcｈａnｇeｒａt(yī)eaｃｔｕallyｔuｒｎsoｕttoｂｅ$1．8６/￡.Ｓoｌutｉon：a. Iｆyoubｅlievethespotexchanｇｅrateｗilｌbｅ＄1.92/￡intｈreeｍonths,yoｕshｏuｌdｂuｙ￡１，000，00０foｒwａrdfｏr＄1.90/￡.Yoｕrexｐectedpｒｏｆｉtwiｌｌbe：＄２０，０0０=￡1,0０0，０0０ｘ(＄1.92—$１.９０）.b。 Iftheｓpｏtexｃhａnｇerateactuａlｌytｕｒnsｏuttobe＄１.８6/￡iｎthｒeemonths，ｙｏuｒlossfｒomtheｌongpositiｏnwiｌｌbｅ:—$40,000=￡1，000，00０x($１．86－$1．90)。10. ＯｍｎiAdvisoｒｓ，ａｎinｔernａt(yī)ionaｌｐｅnsiｏnｆundｍanaｇｅｒ，pｌanstoselleqｕitｉesｄenoｍｉnaｔｅｄinＳｗissFraｎｃｓ(CHF）anｄｐｕrchａseaneqｕｉｖalenｔamouｎｔoｆeqｕitiｅsdｅnominatedinSoｕthAfriｃanＲanｄs(ＺＡR).?? Omniwilｌｒeａlｉｚeｎｅtpｒoceｅdsof３mｉllioｎCHFａt(yī)theｅｎdof3０ｄaｙｓandwanｔｓtｏelimｉnａt(yī)eｔheriskthａt(yī)ｔheZARwilｌaｐprｅciaterelａt(yī)ｉvetoｔheＣHFｄuringｔhiｓ30－ｄaypｅriod。ThｅfollowingｅxhibitｓhoｗscuｒｒeｎｔexchaｎgeratesbetｗeentｈeZAR，CHＦ，aｎdtheU。S。dollaｒ（USD）。CurｒｅnｃｙＥｘchangeRａt(yī)eｓZAR/ＵSDＺＡR/USDＣＨF/USDCHＦ/USDMaturityBidAskＢiｄAｓkＳpot6.2６8１6.2７8９1。５2821．５34330—day6.2538６．26411。5226１。52859０—day6。21046.220０1。50５81．５115DescriｂeｔｈecuｒrenｃyｔｒansactionthatOmnisｈｏuldundｅrtａketoelｉmiｎatecｕrｒｅncyｒisｋｏveｒｔｈe３0—dａｙｐｅrｉod.Calculateｔheｆollｏwｉng:?TheCHF/ZＡRcross—ｃｕrrencyrateOmnｉｗｏuｌｄuseinvaｌuinｇthｅＳｗｉssｅqｕｉtypoｒｔfolio.?? ?TheｃurｒenｔvａlueofOmnｉ’sSｗisseqｕityportｆoｌiｏiｎＺＡR。?Tｈeannualizｅdｆorwardpremiuｍｏrdiｓcouｎtａt(yī)whichtheＺARｉsｔraｄingvｅrｓustheＣHF.CFAGuidｅlineAnｓｗer：Toeｌｉｍinaｔethｅcuｒrencyrｉsｋarisingｆroｍtheｐossibｉｌitｙｔhａt(yī)ZＡRｗillaｐｐｒｅcｉａt(yī)eagainsttheＣHFoｖertｈenext3０-dａyperiod,Omnishoｕｌdsell30-ｄayfoｒwaｒdＣHFagaｉnst３０—dayforwardＺAＲdeｌｉvery（sell30-ｄayforwａrdCHFａgainstUSDａndbuy30-dａyforwardZARagainstＵＳＤ）。Theｃalcｕlaｔionｓareasfolｌows：????Usｉngthecｕrrｅncｙcrosｓrａt(yī)eｓoftwofｏｒｗaｒdfｏreｉgnｃｕｒrｅｎciesａｎdthｒeecｕrrencieｓ ? ?（CHＦ，ZAR，USD），ｔhｅe(cuò)xcｈａngeｗｏuｌｄbｅasｆollｏｗs:?? --30ｄａyfoｒｗaｒdCＨＦaｒｅsoldｆorUＳD。Doｌlａrsareｂoughtattheforwardselling ?? priceofCHF１.５２85=＄1（doneataｓkｓｉdebｅｃaｕｓｅgoｉnｇfromcurｒeｎcyｉnto??? doｌlaｒs)? ?-—30ｄayforwaｒdＺARarｅpurcｈaｓｅdforUＳD.Dｏllarsaｒesｉmｕltaneousｌysoldto??? ｐurｃhasｅZARaｔｔｈerateof６。２538=＄1(ｄonｅattｈｅbidsｉｄebecausegoiｎｇｆｒｏm ?ｄoｌlarｓintｏcurrencｙ) ?—－Fｏｒｅvｅrｙ１.5285CHFｈｅlｄ，６。2538ＺＡRaｒeｒeceiｖｅd；thusｔｈecｒosscｕrｒｅncyrateis ?1.5285CHF／６.２538ZAR=0．24４411３9８。 ??Ａｔthetimeofexｅcｕtionofthefｏｒwaｒdｃｏnｔracｔs,ｔhｅｖａｌｕeofthe3millionCＨＦ? ??ｅquｉtｙpｏrtｆolioｗｏuldbe3，00０,０00CHF/0．２４44１1398=12，274,38６．６5ZAR。? ?TｏｃalcｕlatｅtheannｕalｉzeｄｐrｅｍiｕmordisｃoｕntoｆtｈeＺARａｇaｉnsttheＣHFrequireｓ ?? comｐaｒｉsonoｆthespｏtｓellｉngeｘcｈａｎgeｒatetｏｔhefoｒwａrdsｅllingpriceoｆCHFfor? ?ZＡR.?? ?Spｏｔratｅ=1．53４3CHF/6。26８1ＺAR=0。24477９１20 ?? 30dayｆoｒｗａrｄaskrate1.5285CHF/6。25３8ZAR=0。2４4４1１398 ? Ｔheｐremium／dｉsｃountformｕlaｉs: ???［(fｏｒwａrdraｔe–ｓpotrａt(yī)e）／spotrate］x(360/＃daycｏｎｔraｃt）＝ ? ?［（0。24４４１1３9８–0。24477912）/0．2447７９１2]x（３60/3０)=??? ?-1。8027１26％=-１。80％ｄｉscoｕｎtＺAＲｔｏＣＨF

MINICASE：SＨＲEWSBURYHERBＡＬPRODUCTS，ＬTＤ．ＳhreｗsbｕrｙHeｒbａlProductｓ，lｏｃaｔeｄincenｔralEｎglａndcｌosetｏtheWelsｈｂordｅｒ，isanold—lineprｏduｃeｒoｆｈeｒｂalｔeａs,sｅaｓｏｎｉngs,andmedｉcines.ItsprｏducｔsaremaｒketedallｏverｔｈｅUnitedKingdomanｄinｍａｎypａｒtsoｆcontｉnｅｎtalEuropeaswelｌ。ShrewsbｕryHerbａｌgeｎｅrａlｌyiｎvoicｅsinBriｔishｐoundstｅrlingｗhｅnitｓｅllｓｔoforｅiｇｎcｕｓtomersinordｅrｔｏguardagainstadｖｅｒseeｘchaｎgerａt(yī)eｃhａnges.Neｖｅrtｈeｌess，ithａｓjuｓtrｅｃｅivedanｏrｄerｆromａlargewholesalerinｃentraｌFrancefｏr￡320，000ofitｓproducｔｓ，cｏnditiｏnaｌuｐonｄeliverybｅｉｎgmａｄeｉnｔhreemonｔhs’timeaｎdtheｏrdeｒinvoicｅdineuｒｏｓ。Shrewsｂurｙ’sｃontｒoller，ＥｌｔonPeteｒs，ｉsconcernedwitｈwheｔｈertｈepｏuｎdｗilｌaｐpreciateveｒsｕstｈeeｕrｏovertheｎextthreｅｍonths,thuseliｍiｎatingalｌｏｒｍosｔoｆtｈepｒoｆiｔwhｅnｔheeuｒoｒｅceｉvablｅispaid。Ｈｅthinｋstｈisiｓanｕnlｉkｅlypoｓsibilitｙ,butｈeｄecｉdeｓｔocontａcｔｔhefirｍ’sbanｋｅｒforsuggｅstioｎsabｏuｔhｅdgｉngtheｅｘcｈaｎｇerateexｐosｕre.Ｍｒ。Petｅrｓlearｎsｆroｍthebanｋｅrｔhaｔthecuｒｒｅntspotexchａngeｒａt(yī)eis€/￡iｓ€1。4537，tｈuｓｔheiｎｖoｉｃeamountｓhoｕｌdbe€465，18４。Mr．Ｐetｅｒsalｓolearｎsｔhaｔthethreｅ－ｍonthｆorwarｄｒatesｆorthepoｕnｄaｎdｔheｅuｒoｖｅｒsｕstheU。S．dollarare＄1.899０/￡１.00anｄ$１．3１54/€1。00，respｅctively.Tｈebaｎｋeroｆferstｏseｔupafｏrwardｈedgｅforseｌlingthｅe(cuò)ｕroreceivaｂlｅfｏrpｏｕndｓteｒlｉｎgbaｓｅｄonthe€/￡fｏｒwａrdcｒｏss-ｅxｃhangeratｅimpｌicitiｎｔheｆoｒｗarｄratesａgaiｎstthｅdollar．Ｗhａt(yī)wouldyoudoifyｏuwereＭｒ.Ｐeterｓ？SuggestｅdSoｌutiｏntoＳhreｗsbuｒyHerbalPrｏducｔs，Lｔd．NotｅtｏIｎstrｕctor：Thiｓelemｅｎtａｒycａsepｒovidesａnintuitivelookaｔhedgingexｃhangerateｅxposure。Studentsshoｕldnoｔｈaｖediffｉcuｌｔｙwitｈitevenｔhougｈｈｅdgｉngｗiｌｌnotb