<HW4>
1. Selling Currency Call Options. Mike Suerth sold a call option on Canadian dollars for $.01 per unit. The strike price was $.76, and the spot rate at the time the option was exercised was $.82. Assume Mike did not obtain Canadian dollars until the option was exercised. Also assume that there are 50,000 units in a Canadian dollar option. What was Mike’s net profit on the call option?
ANSWER:
Premium received per unit = $.01
Amount per unit received from selling C$ = $.76
Amount per unit paid when purchasing C$ = $.82
Net profit per unit = –$.05
Net Profit = 50,000 units × (–$.05) = –$2,500
2. Speculating with Currency Put Options. Alice Duever purchased a put option on British pounds for $.04 per unit. The strike price was $1.80 and the spot rate at the time the pound option was exercised was $1.59. Assume there are 31,250 units in a British pound option. What was Alice’s net profit on the option?
ANSWER:
Profit per unit on exercising the option = $.21
Premium paid per unit = $.04
Net profit per unit = $.17
Net profit for one option = 31,250 units × $.17 = $5,312.50
3. Speculating with Currency Put Options. Bulldog, Inc., has sold Australian dollar put options at a premium of $.01 per unit, and an exercise price of $.76 per unit. It has forecasted the Australian dollar’s lowest level over the period of concern as shown in the following table. Determine the net profit (or loss) per unit to Bulldog, Inc., if each level occurs and the put options are exercised at that time.
ANSWER:
Possible Value Net Profit (Loss) to
of Australian DollarBulldog, Inc. if Value Occurs
$.72 –$.03
.73 –.02
.74 –.01
.75 .00
.76 .01.
4. Speculating with Currency Call Options. Randy Rudecki purchased a call option on British pounds for $.02 per unit. The strike price was $1.45 and the spot rate at the time the option was exercised was $1.46. Assume there are 31,250 units in a British pound option. What was Randy’s net profit on this option?
ANSWER:
Profit per unit on exercising the option = $.01
Premium paid per unit = $.02
Net profit per unit = –$.01
Net profit per option = 31,250 units × (–$.01) = –$312.50
5. Speculating with Currency Put Options. Auburn Co. has purchased Canadian dollar put options for speculative purposes. Each option was purchased for a premium of $.02 per unit, with an exercise price of $.86 per unit. Auburn Co. will purchase the Canadian dollars just before it exercises the options (if it is feasible to exercise the options). It plans to wait until the expiration date before deciding whether to exercise the options. In the following table, fill in the net profit (or loss) per unit to Auburn Co. based on the listed possible spot rates of the Canadian dollar on the expiration date.
ANSWER:
Possible Spot Rate Net Profit (Loss) per Unit
of Canadian Dollar to Auburn Corporation
on Expiration Date if Spot Rate Occur
$.76 $.08
.79 .05
.84 .00
.87 –.02
.89 –.02
.91 –.02
<HW5>
- 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?
先將 10,000 新台幣換成約 1951.2195 人民幣(10,000 / 5.125),再將1951.2195 人民幣換成約 200.1251 英鎊(1951.2195 / 9.75),最後將 200.1251 英鎊換成約 10,072.2963 新台幣(200.1251 x 50.33),故獲利 10,072.2963 – 10,000 = 72.2963 新台幣。
2.請問以下的報價是否有套利空間?如果有,如何操作?
Euro/USD=1.2
Euro/Pound=0.8
Pound/USD=1.4
有,以一開始持有美元為例,將 1 美元換成 1.2 歐元(1 x 1.2),再將1.2 歐元換成 1.5 英鎊(1.2 x ),最後將1.5 英鎊換成約 1.0714 英鎊(1.5 x ),故獲利 1.0714 – 1 = 0.0714 美元
3.
試根據下列數據回答以下問題: 即期匯率 30.0 NT/US
遠期匯率 30.5 NT/US(90 天期遠期外匯) 預期匯率 30.3 NT/US(90 天期) 台灣利率 5%
美國利率 3%
(1) 此例中有拋補的利率平價說是否成立?
5% – 3% ≠ x x 100% = 6.67%
公式左邊二國利率差距為 2%,與右邊遠期與即期匯率差距百分比 6.67% 差距明顯,所以,有拋補的利率平價說不能成立。
(2) 依據未拋補的利率平價理論,你應該選擇新台幣存款或美元存款?
依據未拋補的利率平價說:
比較 id 與 (if + E) 的大小
5% 比較 3% + [(Ee – E) / E] x
5% < 3% + x = 7.0%
表示台灣的投資報酬率低於美國,故投資人應選擇美元存款。
<HW6>
1. 假設美國有位進口商從瑞士輸入掛錶,交貨及付款日是在訂單日期的六個月後,付款貨幣為瑞士法郎;美國進口商可用下列哪一種方式消除匯率風險?
(A)買瑞士法郎遠期合約
(B)賣瑞士法郎遠期合約
(C)向銀行借瑞士法郎,在即期匯率轉換成美元存到銀行
(D)在即期匯率買進瑞士法郎
答案:(A)
2. 根據下列的資料:
———————————————————————————————-
遠期匯率
通貨 報價方式 即期匯率 30天 90天 180天
———————————————————————————————–
英鎊 美式 1.8814 1.8706 1.8628 1.8536
———————————————————————————————–
請問一單位美元在即期市場,可以買到幾單位的英鎊?
(A)0.5315
(B)1.8814
(C)0.5368
(D)1.8628
答案:(A)
3. 根據第2題的資料,請問市場預期英鎊在90天後會升值還是貶值?預期升值率或貶值率是多少?
(A)會升值, 升值率為0.57%
(B)會升值, 升值率為0.78%
(C)會貶值, 貶值率為0.99%
(D)會貶值, 貶值率為1.48%
答案:(C)
4. 根據下列的資料:
———————————————————————————————-
即期匯率 30天期遠期匯率
通貨 報價方式 買價 賣價 買價 賣價 ———————————————————————————————–
日圓 歐式 105.26 106.38 102.04 103.09
———————————————————————————————–
請問一單位日圓在即期市場的買價是多少?
(A)0.0098
(B)0.0097
(C)0.0095
(D)0.0094
答案:(D)
5. 根據上題的資料,請問一單位日圓的30天期遠匯買價是多少?
(A)0.0098
(B)0.0097
(C)0.0096
(D)0.0095
答案:(B)
6. 根據第4題的資料,請問一單位美元的即期買賣價差是多少?
(A)1.02%
(B)1.04%
(C)1.06%
(D)1.08%
答案:(C)
7. 根據第4題的資料,請問一單位日圓的30天期遠匯買賣價差是多少?
(A)1.02%
(B)1.04%
(C)1.06%
(D)1.08%
答案:(A)
8. 假設一年期利率在美國是5.5%,在歐元區是4%;目前歐元兌美元即期匯率為US$1.22/€,請問根據國際費雪效應條件(IFE)預測之一年後即期匯率為何?
(A)1.0204
(B)1.1235
(C)1.1564
(D)1.2376
答案:(D)
9. 假設一盎司黃金在美國的售價為US$35,在英國的售價為£12.5,則美元兌換英鎊的美式報價是多少?
(A)2.8
(B)0.3571
(C)0.08
(D)2.86
答案:(A)
10. 假設未來一年的預期通貨膨脹率在美國是3.6%,在加拿大是5.2%,目前即期匯率是US$0.8100/ C$,則PPP所預測的一年後即期匯率是多少?
(A)0.6324
(B)0.7977
(C)0.8225
(D)1.2158
答案:(B)
11. 一單位外國貨幣兌換多少本國貨幣的匯率表示方式,稱為:
(A)直接匯率
(B)間接匯率
(C)複式匯率
(D)遠期匯率
(E)差別匯率
答:(A)
12. 若以直接匯率的方式來表示,當匯率上升時,代表本國貨幣:
(A)升值
(B)貶值
(C)不受影響
(D)不一定
答:(B)
13. 若本國貨幣相對外國貨幣貶值,在其他情況不變下,本國的進口量將會:
(A)增加
(B)不變
(C)下降
(D)不一定
答:(C)
14. 依據購買力平價說,本國通貨膨脹率大於外國通貨膨脹率,則:
(A)匯率下降
(B)出口增加
(C)進口減少
(D)匯率上升
(E)資本內流
答:(D)
15. 在其他情況不變下,大幅提高進口關稅會造成:
(A)匯率下降
(B)進口增加
(C)匯率上升
(D)本國人對外國的產品需求增加
答:(A)
16. 在其他情況不變下,下列哪一項因素變動,會使本國貨幣升值?
(A)本國相對物價水準上漲
(B)本國進口關稅下降
(C)對外國貨偏好提高
(D)本國的相對生產力提高
(E)本國利率下降
答:(D)
17. 假設其他情況不變下,當本國利率和外國利率的差距擴大時,本國貨幣會:
(A)升值
(B)貶值
(C)不變
(D)不一定
答:(A)
18. 下列哪一種因素最有可能造成本國貨幣貶值?
(A)外國物價水準不變,而本國物價水準上漲
(B)預期本國貨幣會升值
(C)本國利率水準上升,而外國利率水準不變
(D)本國提高進口關稅
(E)本國人對外國貨的偏好降低
答:(A)
19. 若 1 美元兌換新台幣的匯率從 20 升為 25,表示新台幣貶值了:
(A) 20%
(B) 25%
(C) 5%
(D) 10%
(E) 50%
答:(A)
20. 下列有關購買力平價說的敘述,何者是錯誤的?
(A)本國相對物價水準上升,匯率將會上升
(B)本國相對物價水準上升,表示本國貨幣的購買力下降
(C)購買力平價說的長期解釋能力低於短期的解釋能力
(D)購買力平價說有一些缺點
(E)購買力平價說雖然有一些缺點,但是它仍是很重要的匯率理論
答:(C)