During your internship with the currency trading desk of an investment bank, you are provided with...
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During your internship with the currency trading desk of an investment bank, you are provided with the information below and required to complete items a) to e) below. Currency £ * Spot rate ¥160.90/£ 90-day forward rate ¥158.49/£ Annual interest rate 6.00% 2.00% a) Calcualte the 90-day annualised forward premium for the against £ (10 marks) b) Determine whether Interest Rate Parity holds in this scenario and discuss the implications (10 marks) c) After 30 days, the 60-day forward rate becomes ¥157.45/£. Calculate the mark-to-market value of your original position of selling £5m for delivery against the * in 90 days at ¥158.49/£. (30 marks) d) One of your clients has asked what the difference is between forwards and futures. Provide a simple comparison between futures and forwards. (25 marks) e) One of your managers is interested to review the various exchange rate regimes adopted by central banks. Provide an overview of the exchange rate regimes. (25 marks) [100 marks] During your internship with the currency trading desk of an investment bank, you are provided with the information below and required to complete items a) to e) below. Currency £ * Spot rate ¥160.90/£ 90-day forward rate ¥158.49/£ Annual interest rate 6.00% 2.00% a) Calcualte the 90-day annualised forward premium for the against £ (10 marks) b) Determine whether Interest Rate Parity holds in this scenario and discuss the implications (10 marks) c) After 30 days, the 60-day forward rate becomes ¥157.45/£. Calculate the mark-to-market value of your original position of selling £5m for delivery against the * in 90 days at ¥158.49/£. (30 marks) d) One of your clients has asked what the difference is between forwards and futures. Provide a simple comparison between futures and forwards. (25 marks) e) One of your managers is interested to review the various exchange rate regimes adopted by central banks. Provide an overview of the exchange rate regimes. (25 marks) [100 marks]
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Related Book For
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
Posted Date:
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