Considering the calculations you have done so far, you need to attend to a number of...

 

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Considering the calculations you have done so far, you need to attend to a number of import and export transactions for goods that companies in the United States expressed interest in. You are a US firm who wants to import wine from France. The producer in France informed you that the current cost of the wine that you want to import is €2,500,000. The wine in France can be shipped to the United States immediately but you have three months to conduct payment Forward rates: Currencies Spot 3 month (90 6 month (180 days) 9 month (270 days) 12 month (360 days) days) 1.30009 1.30611 1.31217 1.31825 1.32436 $/e 1.14134 1.14743 1.15354 1.15969 1.16587 Bank applies 360 day-count convention to all currencies (for this assignment apply 360 days in all calculations). Annual borrowing and investment rates for your company: Country 6 months rates 3 month rates Invest 9 month rates 12 month rates Borrow Borrow Invest Borrow Invest Borrow Invest United States 2.687% 2.554% 2.713% 2.580% 2.740% 2.607% 2.766% 2.633% Britain 0.786% 0.747% 0.794% 0.755% 0.801% 0.762% 0.809% 0.770% Europe 0.505% 0.480% 0.510% 0.485% 0.515% 0.490% 0.520% 0.495% Assume you entered into the forward hedge for the import from France. Two months have passed since you entered into the hedge. Interest rates are the same as before. The spot exchange rate of the $/C is now 1.14720. Calculate the value of your forward position. Please use a 360 day-count convention, since the bank also used a 360 day-count convention with the forward quotes provided to you. Also remember for interest rates use risk free rates provided under scenario 1. Show answer in this row: (S loss or gain for long/short position in forward) Show your workings in the columns below the answers Considering the calculations you have done so far, you need to attend to a number of import and export transactions for goods that companies in the United States expressed interest in. You are a US firm who wants to import wine from France. The producer in France informed you that the current cost of the wine that you want to import is €2,500,000. The wine in France can be shipped to the United States immediately but you have three months to conduct payment Forward rates: Currencies Spot 3 month (90 6 month (180 days) 9 month (270 days) 12 month (360 days) days) 1.30009 1.30611 1.31217 1.31825 1.32436 $/e 1.14134 1.14743 1.15354 1.15969 1.16587 Bank applies 360 day-count convention to all currencies (for this assignment apply 360 days in all calculations). Annual borrowing and investment rates for your company: Country 6 months rates 3 month rates Invest 9 month rates 12 month rates Borrow Borrow Invest Borrow Invest Borrow Invest United States 2.687% 2.554% 2.713% 2.580% 2.740% 2.607% 2.766% 2.633% Britain 0.786% 0.747% 0.794% 0.755% 0.801% 0.762% 0.809% 0.770% Europe 0.505% 0.480% 0.510% 0.485% 0.515% 0.490% 0.520% 0.495% Assume you entered into the forward hedge for the import from France. Two months have passed since you entered into the hedge. Interest rates are the same as before. The spot exchange rate of the $/C is now 1.14720. Calculate the value of your forward position. Please use a 360 day-count convention, since the bank also used a 360 day-count convention with the forward quotes provided to you. Also remember for interest rates use risk free rates provided under scenario 1. Show answer in this row: (S loss or gain for long/short position in forward) Show your workings in the columns below the answers

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Liability to be settled by the US Firm in 3 months or 90 days 2500000 The fir... View the full answer