國際金融典型題型

1、一、名詞1、American option 2、foreign exchange rate 3、Absolute purchasing power parity、 4、Currency Swap 5、Fisher Effect 6、Intrinsic Value、 7、hedge 8、Call Option 9、Money Markets 10、Transaction Exposure、11、operating exposure 12、European Option 13、systematic risk 14、the law of one price 二、計算1、Jason Smith is

2、a foreign exchange trader with Citibank. He notices the following quotes.Spot exchange rate SFr1.6627/$Six-month forward exchange rate SFr1.6558/$Six-month $ interest rate 3.5% per yearSix-month SFr interest rate 3.0% per yeara. Ignoring transaction costs, is the interest rate parity holding?b. Is t

3、here an arbitrage possibility? If yes, what steps would be needed to make an arbitrage profit? Assuming that Jason Smith is authorized to work with $1,000,000 for this purpose, how much would the arbitrage profit be in dollars?Solution:a. For six months, rSFr = 1.50% and r$ = 1.75%. Because the exch

4、ange rate is in SFr/$ terms, the appropriate expression for the interest rate parity relation is , or The left side of this expression isThe right side of the expression is: 1 + rSFr = 1.0150. Because the left and right sides are not equal, IRP is not holding.b. Because IRP is not holding, there is

5、an arbitrage possibility: Because 1.0133 90 days -Forward-90 (kr/$)6.17206.1980 kr 30,860,000.00 1.0125 kr 31,245,750.00 5.000%Danish kroner interest (3-month)John Duell generates a covered interest arbitrage (CIA) profit because he is able to generate an even higher interest return in Danish kroner

6、 than he gives up by selling the proceeds forward at the forward rate.3、The current spot exchange rate is $1.95/ and the three-month forward rate is $1.90/. Based on your analysis of the exchange rate, you are pretty confident that the spot exchange rate will be $1.92/ in three months. Assume that y

7、ou would like to buy or sell 1,000,000.a.What actions do you need to take to speculate in the forward market? What is the expected dollar profit from speculation?b.What would be your speculative profit in dollar terms if the spot exchange rate actually turns out to be $1.86/.Solution: a.If you belie

8、ve the spot exchange rate will be $1.92/ in three months, you should buy 1,000,000 forward for $1.90/. Your expected profit will be: $20,000 = 1,000,000 x ($1.92 -$1.90).b.If the spot exchange rate actually turns out to be $1.86/ in three months, your loss from the long position will be: -$40,000 =

9、1,000,000 x ($1.86 -$1.90).4、Unilevers affiliate in India, Hindustan Lever, procures much of its toiletries product line from a Japanese company. Because of the shortage of working capital in India, payment terms by Indian importers are typically 180 days or longer. Hindustan Lever wishes to hedge 8

10、.5 million Japanese yen payable. Although options are not available on the Indian rupee (Rs), forward rates are available against the yen. Additionally, a common practice in India is for companies like Hindustan Lever to work with a currency agent who will, in this case, lock in the current spot exc

11、hange rate in exchange for a 4.85% fee. Using the following exchange rate and interest rate data, recommend a hedging strategy.Hint: Compare the un-hedged position, forward hedge, money market hedge and Indian currency Agent hedge, and get your recommendation.Spot rate (/$) 120.60 Spot rate, rupees/

12、dollar (Rs/$) 47.75 180-day forward rate (/Rs) 2.4000 Expected spot rate in 180 days (/Rs) 2.6000 180-day Indian rupee investing rate8.000%180-day Japanese yen investing rate1.500%Currency agents exchange rate fee4.850%Hindustan Levers cost of capital12.00%AssumptionsValues180-day account payable, J

13、apanese yen () 8,500,000 Spot rate (/$) 120.60 Spot rate, rupees/dollar (Rs/$) 47.75 Implied (calculated) spot rate (/Rs) 2.5257 (120.60 / 47.75) 180-day forward rate (/Rs) 2.4000 Expected spot rate in 180 days (/Rs) 2.6000 180-day Indian rupee investing rate8.000%180-day Japanese yen investing rate

14、1.500%Currency agents exchange rate fee4.850%Hindustan Levers cost of capital12.00%Spot RiskHedging AlternativesValuesRate (Rp/$)Assessment1. Remain Uncovered, settling A/P in 180 days at spot rateIf spot rate in 180 days is same as current spot 3,365,464.34 2.5257 RiskyIf spot rate in 180 days is s

15、ame as forward rate 3,541,666.67 2.4000 RiskyIf spot rate in 180 days is expected spot rate 3,269,230.77 2.6000 Risky2. Buy Japanese yen forward 180 daysSettlement amount at forward rate (Rs) 3,541,666.67 2.4000 Certain3. Money Market HedgePrincipal A/P () 8,500,000.00 discount factor for yen invest

16、ing rate for 180 days 0.9926 Principal needed to meet A/P in 180 days () 8,436,724.57 Current spot rate (/Rs) 2.5257 Indian rupee, current amount (Rs) 3,340,411.26 Hindustan Levers WACC carry-forwad factor for 180 days 1.0600 Future value of money market hedge (Rs) 3,540,835.94 Certain4. Indian Curr

17、ency Agent HedgePrincipal A/P () 8,500,000.00 Current spot rate (/Rs) 2.5257 Current A/P (Rs) 3,365,464.34 Plus agents fee (4.850%) 163,225.02 Hindustans WACC carry-forwad factor for 180 days on fee 1.0600 Total future value of agents fee (Rs) 173,018.52 Total A/P, future value, A/P + fee (Rs) 3,538

18、,482.87 CertainEvaluation of AlternativesThe currency agent is the lowest total cost, in CERTAIN future rupee value, of all certain alternatives.5、Do problem 1 over again, this time assuming more realistically that a swap bank is involved as an intermediary. Assume the swap bank is quoting five-year

19、 dollar interest rate swaps at 10.7% - 10.8% against LIBOR flat.Solution: Alpha will issue fixed-rate debt at 10.5% and Beta will issue floating rate-debt at LIBOR + 1%. Alpha will receive 10.7% from the swap bank and pay it LIBOR. Beta will pay 10.8% to the swap bank and receive from it LIBOR. If t

20、his is done, Alphas floating-rate all-in-cost is: 10.5% + LIBOR - 10.7% = LIBOR - .20%, a .20% savings over issuing floating-rate debt on its own. Betas fixed-rate all-in-cost is: LIBOR+ 1% + 10.8% - LIBOR = 11.8%, a .20% savings over issuing fixed-rate debt.6、Katya Berezovsky is a currency speculat

21、or for madera Capital of Los Angeles. Her latest speculative position is to profit from her expectation that the U.S. dollar will rise significantly against the Japanese yen. The current spot rate is 120.00/$. She must choose between the following 90-day options on the Japanese yen:Call on yen Put o

22、n yen Strike price (yen/US$) 125.00 125.00 Premium (US$/yen)$0.00046$0.00003(1) Should she buy a call on yen or a put on yen? (2) What is Katyas break even price on her option of choice in part (1) ? (3) What is Katyas gross profit and net profit if the end spot rate is 140 yen/$? AssumptionsValuesCurrent spot rate (Japanese yen/US$) 120.00 in US$/yen$0.00833Maturity of option (days) 90 Expected ending spot rate in 90 days (yen/$) 14