国际金融典型题型.docx

国际金融典型题型.docx

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国际金融典型题型

一、名词

1、Americanoption2、foreignexchangerate3、Absolutepurchasingpowerparity、4、CurrencySwap5、FisherEffect6、IntrinsicValue、7、hedge

8、CallOption9、MoneyMarkets10、TransactionExposure、11、operatingexposure12、EuropeanOption13、systematicrisk14、thelawofoneprice

二、计算

1、JasonSmithisaforeignexchangetraderwithCitibank.Henoticesthefollowingquotes.

SpotexchangerateSFr1.6627/$

Six-monthforwardexchangerateSFr1.6558/$

Six-month$interestrate3.5%peryear

Six-monthSFrinterestrate3.0%peryear

a.Ignoringtransactioncosts,istheinterestrateparityholding?

b.Isthereanarbitragepossibility?

Ifyes,whatstepswouldbeneededtomakeanarbitrageprofit?

AssumingthatJasonSmithisauthorizedtoworkwith$1,000,000forthispurpose,howmuchwouldthearbitrageprofitbeindollars?

Solution:

a.Forsixmonths,rSFr=1.50%andr$=1.75%.BecausetheexchangerateisinSFr/$terms,theappropriateexpressionfortheinterestrateparityrelationis

or

Theleftsideofthisexpressionis

Therightsideoftheexpressionis:

1+rSFr=1.0150.Becausetheleftandrightsidesarenotequal,IRPisnotholding.

b.BecauseIRPisnotholding,thereisanarbitragepossibility:

Because1.0133<1.0150,wecansaythattheSFrinterestratequoteismorethanwhatitshouldbeasperthequotesfortheotherthreevariables.Equivalently,wecanalsosaythatthe$interestratequoteislessthanwhatitshouldbeasperthequotesfortheotherthreevariables.Therefore,thearbitragestrategyshouldbebasedonborrowinginthe$marketandlendingintheSFrmarket.Thestepswouldbeasfollows:

Ø

Borrow$1,000,000forsixmonthsat3.5%peryear.Needtopayback$1,000,000×（1+0.0175）=$1,017,500sixmonthslater.

ØConvert$1,000,000toSFratthespotratetogetSFr1,662,700.

ØLendSFr1,662,700forsixmonthsat3%peryear.WillgetbackSFr1,662,700×（1+0.0150）=SFr1,687,641sixmonthslater.

ØSellSFr1,687,641sixmonthsforward.Thetransactionwillbecontractedasofthecurrentdatebutdeliveryandsettlementwillonlytakeplacesixmonthslater.So,sixmonthslater,exchangeSFr1,687,641forSFr1,687,641/SFr1.6558/$=$1,019,230.

Thearbitrageprofitsixmonthslateris1,019,230–1,017,500=$1,730.

2、JohnDuell,aforeignexchangetraderatJ.P.MorganChase,caninvest$5million,ortheforeigncurrencyequivalentofthebank'sshorttermfunds,inacoveredinterestarbitragewithDenmark.UsingthefollowingquotescanJohnDuellmakeacoveredinterestarbitrage（CIA）profit?

Pleaselisthisarbitragestepsandcalculatethearbitrageprofits.

Spotexchangerate（kr/$）

6.1720

3-monthforwardrate（kr/$）

6.1980

USdollar3-monthinterestrate

3.000%

Danishkroner3-monthinterestrate

5.000%

Assumptions

Value

Arbitragefundsavailable

$5,000,000

Spotexchangerate（kr/$）

6.1720

3-monthforwardrate（kr/$）

6.1980

USdollar3-monthinterestrate

3.000%

Danishkroner3-monthinterestrate

5.000%

ArbitrageRuleofThumb:

Ifthedifferenceininterestratesisgreaterthantheforwardpremium/discount,orexpectedchangeinthespotrateforUIA,investinthehigherinterestyieldingcurrency.Ifthedifferenceininterestratesislessthantheforwardpremium（orexpectedchangeinthespotrate）,investintheloweryieldingcurrency.

Differenceininterestrates（ikr-i$）

2.000%

Forwarddiscountonthekrone

-1.678%

CIAprofitpotential

0.322%

ThistellsSteveShithatheshouldborrowdollarsandinvestinthehigheryieldingcurrencytheDanishkroner,forCIAprofit.

U.S.dollarinterestrate（3-month）

START

3.000%

END

$5,000,000.00

→

→

1.0075

→

→

$5,037,500.00

↓

5,041,263.31

↓

$3,763.31

↓

↑

↓

↑

↓

↑

Spot（kr/$）

--------------->90days---------------->

Forward-90（kr/$）

6.1720

6.1980

↓

↑

↓

↑

↓

↑

kr30,860,000.00

→

→

1.0125

→

→

kr31,245,750.00

5.000%

Danishkronerinterest（3-month）

JohnDuellgeneratesacoveredinterestarbitrage（CIA）profitbecauseheisabletogenerateanevenhigherinterestreturninDanishkronerthanhe"givesup"bysellingtheproceedsforwardattheforwardrate.

3、Thecurrentspotexchangerateis$1.95/£andthethree-monthforwardrateis$1.90/£.Basedonyouranalysisoftheexchangerate,youareprettyconfidentthatthespotexchangeratewillbe$1.92/£inthreemonths.Assumethatyouwouldliketobuyorsell£1,000,000.

a.Whatactionsdoyouneedtotaketospeculateintheforwardmarket?

Whatistheexpecteddollarprofitfromspeculation?

b.Whatwouldbeyourspeculativeprofitindollartermsifthespotexchangerateactuallyturnsouttobe$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）.

4、Unilever’saffiliateinIndia,HindustanLever,procuresmuchofitstoiletriesproductlinefromaJapanesecompany.BecauseoftheshortageofworkingcapitalinIndia,paymenttermsbyIndianimportersaretypically180daysorlonger.HindustanLeverwishestohedge8.5millionJapaneseyenpayable.AlthoughoptionsarenotavailableontheIndianrupee（Rs）,forwardratesareavailableagainsttheyen.Additionally,acommonpracticeinIndiaisforcompanieslikeHindustanLevertoworkwithacurrencyagentwhowill,inthiscase,lockinthecurrentspotexchangerateinexchangefora4.85%fee.Usingthefollowingexchangerateandinterestratedata,recommendahedgingstrategy.

Hint:

Comparetheun-hedgedposition,forwardhedge,moneymarkethedgeandIndiancurrencyAgenthedge,andgetyourrecommendation.

Spotrate（¥/$）

120.60

Spotrate,rupees/dollar（Rs/$）

47.75

180-dayforwardrate（¥/Rs）

2.4000

Expectedspotratein180days（¥/Rs）

2.6000

180-dayIndianrupeeinvestingrate

8.000%

180-dayJapaneseyeninvestingrate

1.500%

Currencyagent'sexchangeratefee

4.850%

HindustanLever'scostofcapital

12.00%

Assumptions

Values

180-dayaccountpayable,Japaneseyen（¥）

8,500,000

Spotrate（¥/$）

120.60

Spotrate,rupees/dollar（Rs/$）

47.75

Implied（calculated）spotrate（¥/Rs）

2.5257

（120.60/47.75）

180-dayforwardrate（¥/Rs）

2.4000

Expectedspotratein180days（¥/Rs）

2.6000

180-dayIndianrupeeinvestingrate

8.000%

180-dayJapaneseyeninvestingrate

1.500%

Currencyagent'sexchangeratefee

4.850%

HindustanLever'scostofcapital

12.00%

Spot

Risk

HedgingAlternatives

Values

Rate（Rp/$）

Assessment

1.RemainUncovered,settlingA/Pin180daysatspotrate

Ifspotratein180daysissameascurrentspot

3,365,464.34

2.5257

Risky

Ifspotratein180daysissameasforwardrate

3,541,666.67

2.4000

Risky

Ifspotratein180daysisexpectedspotrate

3,269,230.77

2.6000

Risky

2.BuyJapaneseyenforward180days

Settlementamountatforwardrate（Rs）

3,541,666.67

2.4000

Certain

3.MoneyMarketHedge

PrincipalA/P（¥）

8,500,000.00

discountfactorforyeninvestingratefor180days

0.9926

PrincipalneededtomeetA/Pin180days（¥）

8,436,724.57

Currentspotrate（¥/Rs）

2.5257

Indianrupee,currentamount（Rs）

3,340,411.26

HindustanLever'sWACCcarry-forwadfactorfor180days

1.0600

Futurevalueofmoneymarkethedge（Rs）

3,540,835.94

Certain

4.IndianCurrencyAgentHedge

PrincipalA/P（¥）

8,500,000.00

Currentspotrate（¥/Rs）

2.5257

CurrentA/P（Rs）

3,365,464.34

Plusagent'sfee（4.850%）

163,225.02

Hindustan'sWACCcarry-forwadfactorfor180daysonfee

1.0600

Totalfuturevalueofagent'sfee（Rs）

173,018.52