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1 D 6 7 8 9 20 21 22 23 24 25 26 27 28 29 30 31 Martin Balinsky, a foreign exchange trader at Credit Suisse (Warsaw), is exploring uncovered interest arbitrage possibilities. He wants to invest $10,000,000, or its zloty equivalent, in an uncovered interest arbitrage between U.S. dollars and Polish zloty. He faces the following exchange rate and interest rate quotes. What is the value of his position at the end? State all amounts in whole numbers, except for the rates which should be to four decimal places. Value Zloty Equivalent Assumptions 32 33 34 35 36 37 38 Arbitrage funds available Spot rate (zloty/S) 90 day forward rate (zloty/S) Expected 90-day spot rate (zloty/S) Actual spot rate after 90 days (zloty/S) Annual U.S. dollar interest rate. Annual Polist zloty interest rate U.S. Dollars 1 Spot (zloty/S) Polish zloty START $15,000,000 4.50 4.60 4.80 4.40 5.00% 7.00% Annual U.S. dollar interest rate 5.000% 90 days Profit/(loss)-zloty 7.000% Annual Polish zloty interest rate Rate? (zloty/S) END 1 D 6 7 8 9 20 21 22 23 24 25 26 27 28 29 30 31 Martin Balinsky, a foreign exchange trader at Credit Suisse (Warsaw), is exploring uncovered interest arbitrage possibilities. He wants to invest $10,000,000, or its zloty equivalent, in an uncovered interest arbitrage between U.S. dollars and Polish zloty. He faces the following exchange rate and interest rate quotes. What is the value of his position at the end? State all amounts in whole numbers, except for the rates which should be to four decimal places. Value Zloty Equivalent Assumptions 32 33 34 35 36 37 38 Arbitrage funds available Spot rate (zloty/S) 90 day forward rate (zloty/S) Expected 90-day spot rate (zloty/S) Actual spot rate after 90 days (zloty/S) Annual U.S. dollar interest rate. Annual Polist zloty interest rate U.S. Dollars 1 Spot (zloty/S) Polish zloty START $15,000,000 4.50 4.60 4.80 4.40 5.00% 7.00% Annual U.S. dollar interest rate 5.000% 90 days Profit/(loss)-zloty 7.000% Annual Polish zloty interest rate Rate? (zloty/S) END
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Related Book For
An Introduction to Statistical Methods and Data Analysis
ISBN: 978-1305269477
7th edition
Authors: R. Lyman Ott, Micheal T. Longnecker
Posted Date:
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