If the covered interest arbitrage transaction is not conducted, it will be repaid one year later100 (1+6%) =1.06 million USD.
In the case of guaranteed interest arbitrage, at the beginning of the year, US$ 6,543.8+00,000 was converted into Deutsche Mark, and 654.38+000 * 0.644 = 644,000 Deutsche Mark was deposited in the German bank.
After signing the forward exchange rate of the swap transaction, one year later, the principal and interest are calculated as 64.4 (1+10%) = 708,400 marks. According to the forward exchange rate agreement, 70.84/0.6265 =1130,000 USD, and the net profit is 165438+.
2. Given the following basic exchange rates, calculate the exchange rate:
(1) USD/DM = 1.6920, USD/CHF = 1.3899. Find the exchange rate DM/SFr?
Solution: USD/DM
1.6920: 1
X: 1 x = 1.6920 USD.
USD/CHF = 1.3899
1.3899: 1
1.6920:y y = 1.692/ 1.3899 = 1.2 174
DM/SFr = 1/ 1.2 174 = 0.82 14
(2) USD/DM = 1.6920, GBP/USD = 1.68 12, and calculate the exchange rate of DM/GBP?
Solution: Similar to (1), DM/GBP =11.6920/1.6812 = 0.3515.
(3) USD/CHF = 1.3894/ 1.3904, USD/DM =1.6911.6922, and calculate the exchange rate DM/CHF.
Solution: DM/SFR =1.3894 ÷1.6922 ~1.3904 ÷1.695438+07 = 0.821667.
(4) GBP/USD =1.68081.6816, USD/DM =1.69171.6922, how about that?
Solution: GBP/DM =1.6808×1.6917 ~1.6816×1.6922 = 2.8434/2.822.
Step 3 repeat the first question
4. Suppose that the spot exchange rate of USD against RMB in the market on a certain day is 1 USD =8.2 RMB, the 6-month interest rate of USD is 4% annualized, and the 12-month interest rate is 4.5%; 6-month interest rate of RMB 65438+ annual interest rate of 0.5%, 12-month interest rate of 2%. Please calculate the forward exchange rate of USD against RMB for 6 months and 12 months according to the above materials. ( )
Solution: 8.2 (1+1.5% ÷ 2)/x = (1+4% ÷ 2) (simple interest calculation, semi-annual interest rate equals annual interest rate divided by 2).
The 6-month forward exchange rate of USD against RMB x=8.0995.
8.2( 1+2%)/y =( 1+4.5%)
The forward exchange rate of USD against RMB 12 months is y=8.0038.
5. On a certain day, the spot exchange rate in London foreign exchange market is 1 GBP, which is equal to 1.6955/ 1.6965 USD, and the three-month forward discount is 50/60 points, so the three-month forward exchange rate is calculated.
Solution: GBP/USD = (1.6955-0.005)/(1.6965-0.006) =1.6905/.
(Note: Generally, the long-term premium is large on the left and small on the right, for example, the premium is generally 50/60 and the premium is generally 60/50).
6. Quotation in Frankfurt foreign exchange market on a certain day:
USD/DM =2.0 170/2.0270
Find the buying price and selling price of MD/USD (the calculation result is accurate to 4 decimal places).
Solution: MD/USD =1÷ 2.0270/1÷ 2.0170 = 0.4933/0.4958.