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Bai Tap Foreign Investment Tong Hop

The document contains 5 questions related to foreign exchange markets. Question 1 provides exchange rates and asks the customer to calculate amounts received when buying and selling different currencies. Question 2 discusses a turbine sale contract between an American and British company, and asks about hedging the transaction using forwards and futures. Question 3 asks about spot and forward rates between USD, VND, and JPY over a 9 month period. Question 4 discusses forward rates between USD and JPY based on interest rates in each country. Question 5 asks about percentage changes in currency values and generating arbitrage profits between EUR, USD, and GBP.

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112 views4 pages

Bai Tap Foreign Investment Tong Hop

The document contains 5 questions related to foreign exchange markets. Question 1 provides exchange rates and asks the customer to calculate amounts received when buying and selling different currencies. Question 2 discusses a turbine sale contract between an American and British company, and asks about hedging the transaction using forwards and futures. Question 3 asks about spot and forward rates between USD, VND, and JPY over a 9 month period. Question 4 discusses forward rates between USD and JPY based on interest rates in each country. Question 5 asks about percentage changes in currency values and generating arbitrage profits between EUR, USD, and GBP.

Uploaded by

Vân Trương
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© © All Rights Reserved
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You are on page 1/ 4

PART 1: (7 marks)

Question 1: (1.5 mark)


a. How long will customers receive money from the date of signing a contract to buy and sell
foreign currency at Foreign Exchange Market ?. (0.25 mark)
.......................................................................................................................................................................
.......................................................................................................................................................................
b.The bank does not charge a fee or commision for foreign currency trading. How does the bank
can earn profit? (0.25 mark)
.......................................................................................................................................................................
.......................................................................................................................................................................
c. If the U.S. dollar appreciates from 1.25 Swiss franc per $ to 1.5 francs per $, then the franc
depreciates from ………. U.S. dollars per franc to ………… U.S. dollars per franc. (filling in
the gap) (0.5 marks).

d. The buyer of a futures contract is said to have a ……………. position and the seller of a
futures contract is said to have a ……………. position in futures. (filling in the gap) (0.5 mark).

Question 2: (2 marks)

The Exchange rate has updated on May 16th at Vietcombank as follow:


USD/CHF= 1.2541/611
GBP/USD= 1.7651/91
AUD/USD= 1.1021/32
USD/HKD= 7.8760/70
USD/ JPY = 110.65/111.65
Suppose that there are some transactions taking place at the bank. Calculate the amount of
money customers will receive when buying and selling foreign currencies.
a). The customer want to sell CHF 1,000,000. How much HKD the customer will receives? (0.5)
b). How much HKD customer needed to buy CHF 1,000,000? (0.5)
c). How much JPY recevies for selling GBP 1,000,000? (0.5)
d). You have GBP and want to buy AUD. How much AUD do you receive per GBP? ( 0.5)
Question 3: (3.5 marks)

Dayton- An American company has concluded a turbine sale to Crown-A British corporation for
GBP 30,000,000 in 25th March, 2019. The payment is due in 30th June, 2019 (95 days). With the
current sport rate GBP/USD 1.2980/1.3000, Dayton would like to earn minimum acceptable
margin at USD 38,670,000. Below this amount, Dayton would be losing money. As the results,
its CFO-Mr. Ricardo decided to using derivatives to hedge the transaction risk with 40% using
forward, 40% using future contract and the remaining uncovered. Based on the given
information, answer the listed questions:
Dayton-Crown contract’s information
Money market rate RUK=2.00-3.00%pa RUS=1.5-2.5%pa

Future contract (GBP Enter at $1.3680 Liquidate at $1.310


contract: 62,500 GBP each)
95 day-spot rates GBP/USD 1.3130/1.3250

* Forward contract
a) What rate should Ricardo use to convert GBP to USD in this contract? Show calulation
(0.25 mark)
b) Calculate the amount of USD receipt based on the hedging strategy. (0.75 mark)
*Future contract
a) Will Ricardo take short or long position? Would he loss or get profit? (0.25 mark)
b) Calculate the amount of USD receipt based on the hedging strategy. (0.75 mark)
*Contract: calculating the total amount of USD Dayton will receive in 95 days. (0.5
mark)

PART 2:
Question 1.

Spot rate :
USD/VND = 15,445 – 15,454
USD/JPY = 115.45 – 115.54
RVND 6.15 – 7.45% / per year
RJPY: 2.15 – 2.75%
RUSD: 3.35 -3.95%.

Term of contract is 9 months

a/ Calculating spot rate of (JPY/VND) .


b/ Calculating 9 month forward rate of ( USD/VND).
c/ Calculating 9 month forward rate of JPY/VND.

Question 2.
Assume the following information:
Spot : USD/JPY 105-106
– U.S. dollar depositing rate : 6%
– U.S. dollar borrowing rate : 6.5%
– Japanese Yen depositing rate : 3%
– Japanese Yen borrowing rate : 3.25%

Assume that : 360 days in a year. 1 month has 30 days.


a./ An American exporter will receive JPY-denominated payment in one year. What will
be the number of JPY it will have to deliver to bank in exchange for each dollar he/ she
will receive?
 b./ An American importer will have to make a payment in Japanese Yen in one year.
What is the forward price quoted to the importer?
c/. The company -US based conduct – will pay JPY 1M in next 6 months. Calculating the
amount of USD that the company will pay in 6 month. Note: The hedging by signing
forward contract.

Question 3: Assume that two months ago exchange rate between USD and Mexican
pesos was USD/MXP15.95 (or 15.95 pesos per USD).  Current exchange rate is
USD/MXP 14.50.  Calculate the appreciation or depreciation of Mexican pesos against
USD. 

Question 4: The Venezuelan political and economic crisis deepened in late 2002 and
early 2003. On January 1st, 2003, the bolivar was trading at Bs1400/$. By February 1st,
its value had fallen to Bs1950/$. Many currency analysts and forecasters were predicting
that the bolivar would fall an additional 40% from its February 1st value by early summer
2003.
a) What was the percentage change in January?
b) Forecast value for June 2003?

Question 5: Suppose you see the following rates on your screen:

EUR/USD 1.3810-1.3815
GBP/USD 1.6510-1.6520
GBP/EUR 1.1985-1.2005

Can you generate triangular arbitrage profits. If yes how much? Assume that you can
mobilize Euro10,000,000

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