Assume these were the quoted NOK spot, one-year forward rates, one-year fixed interest rates in late...
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Assume these were the quoted NOK spot, one-year forward rates, one-year fixed interest rates in late November (usual notation: number of NOK per unit of foreign currency) Spot bid/ask NOK USD EUR GBP 9.0836 / 9.0871 10.7508/ 10.7569 11.9685 / 11.9723 1-year fixed interest 9.0490/ 9.0705 10.8062 10.8186 11.9620 / 11.9709 0.4250 / 0.4750 0.7030/0.7530 -0.3340 -0.2840 0.5122 0.5634 synthetic-forward bid-ask rates for NOK/USD, NOK/ (a) What are the one-year EUR, and NOK/GBP? 1-year forward bid/ask (b) Are there any arbitrage opportunities? In case, how may you hypothetically have exploited that? (c) Assume you are the CFO of a salmon farm, which is, among others, exporting to the United Kingdom. You will receive a payment of GBP 2,000,000 one year from now and you would like to remove the exchange-rate risk associated Assume these were the quoted NOK spot, one-year forward rates, one-year fixed interest rates in late November (usual notation: number of NOK per unit of foreign currency) Spot bid/ask NOK USD EUR GBP 9.0836 / 9.0871 10.7508/ 10.7569 11.9685 / 11.9723 1-year fixed interest 9.0490/ 9.0705 10.8062 10.8186 11.9620 / 11.9709 0.4250 / 0.4750 0.7030/0.7530 -0.3340 -0.2840 0.5122 0.5634 synthetic-forward bid-ask rates for NOK/USD, NOK/ (a) What are the one-year EUR, and NOK/GBP? 1-year forward bid/ask (b) Are there any arbitrage opportunities? In case, how may you hypothetically have exploited that? (c) Assume you are the CFO of a salmon farm, which is, among others, exporting to the United Kingdom. You will receive a payment of GBP 2,000,000 one year from now and you would like to remove the exchange-rate risk associated
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Related Book For
Spreadsheet Modeling & Decision Analysis A Practical Introduction to Management Science
ISBN: 978-0324656633
5th edition
Authors: Cliff T. Ragsdale
Posted Date:
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