Final - SI

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[鍵入文字]東吳大學105學年度國際經營與貿易學系碩士班國際財務管理期末考試卷2017.04.24

1. Comparison of techniques for hedging Receivables.

a. Assume that Soochow Co. expects to receive S$500,000 in one year. The existing spot rate of the Singapore dollar is $.60. The one-year forward rate of the Singapore dollar is $.62. Soochow created a probability distribution for the future spot rate in one year as follows:

Future spot rate

probability

$.61 50%

$.63 20%

$.67 30%

b. Assume that one-year call options on Singapore dollars are available with an exercise of $.60 and a premium of $.03 per unit. One-year put options on Singapore dollars are available, with an exercise price of $.63 and a premium of $.04 per unit.

c. Assume the following money market rates:

U.S. Singapore

Deposit rate 8% 5%

Borrowing rate 9% 6%

Given this information, determine whether a forward hedge, money market hedge, or a currency options hedge would be most appropriate. The compare the most appropriate hedge to an unhedged strategy, and decide whether Soochow should hedge its receivables position.

2. Assume the following information is available:

Taiwan Demark

Real rate of interest required by investor s

2% 2%

Nominal interest rate 15% 11%

Spot rate - $5.13

One-year forward rate - $4.97

Use (1) the differential in expected inflation and (2) the differential interest rates to forecast the percentage change in the Denmark kroner over the next year.

3. Assume the one-year-free rate in U.S. is 5.5%, and in the Euro area is 4%. Now, the spot rate is US$1.22/€.

So according to the International Fisher Effect, what is the expected change in the spot rate in one year?

4. 何謂The Big Mac Index大麥克指數，並舉例 5. 何謂Real interest rate實質利率，並舉例

6. 何謂Absolute form of PPP絕對購買力平價，並舉例

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7. If kr/NT$=4.9, €/NT$=36.7, €/kr=7.4, and you have NT$1,000.

Please show how to use triangular arbitrage to make a profit, and show the implied cross exchange rate between kr and €.

8. 1. Central Bank quotes the following for the British pound and the China CNY:

Quoted Bid Price Quoted Ask price

Value of a British Pound in NTD 50.33 NTD 50.66 NTD

Value of a China CNY in NTD 4.963 NTD 5.125 NTD

Value of a British Pound in China CNY 9.7195 CNY 9.75 CNY

Assume you have NTD 10,000 to conduct triangular arbitrage. What is your profit from implementing this strategy?

9. 2009年3月20日，如果美國美元存款年利率為6%，英國英鎊存款年利率為5%，英鎊與美元的即

期匯率為GBP1=USD1.4507.若某英國投資者將100萬英鎊兌換成美元存入美國進行拋補套利，若一

年後即期匯率為

（1）不變（1年期期匯匯率為GBP1=USD1.4400）;

（2）變為GBP1=USD1.4800(1年期期匯匯率為GBP1=USD1.4200).

其拋補套利的結果如何?（不考慮成本）(http://si.secda.info/scu00114159scu/?p=937)

10.何謂Mark to Market(逐日盯市制度)

11.何謂Currency Put Options(賣出選擇權)，請舉例說明。

12.何謂 Indirect rates（間接報價），請舉例。

13.匯率曝險有哪些?請說明舉例。

14.何謂現金匯率與即期匯率

15.Currency Strangles. Assume the following options are currently available for British pounds (₤):

 Call option premium on British pounds= $.04 per unit

 Put option premium on British pounds= $.03 per unit

 Call option strike price= $1.56

 Put option strike price= $1.53

 One option contract represents ₤31,250.

(1) Construct a worksheet for a long strangle using these options.

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(2) Determine the break-even point(s) for a strangle.

(3) If the spot price of the pound at option expiration is $1.55, what is the total profit or loss to the strangle buyer?

(4) If the spot price of the pound at option expiration is $1.50, what is the total profit or loss to that strangle writer?

16.請找currency swap的範例，說明其中間的機制，與其定價結果。

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