On the basis of the following information, calculate the price of a call option on the Australian dollar: Spot exchange rate (USD/AUD) 0.75 Exercise exchange rate (USD/AUD) 0.70 Interest rate on the US dollar (per cent per annum 8 Interest rate on the Australian dollar (per cent per annum) 10 Time to expiry 90 Standard deviation (per cent) 10 Note:-

On the basis of the following information, calculate the price of a call option on the Australian dollar: Spot exchange rate (USD/AUD) 0.75 Exercise exchange rate (USD/AUD) 0.70 Interest rate on the US dollar (per cent per annum 8 Interest rate on the Australian dollar (per cent per annum) 10 Time to expiry 90 Standard deviation (per cent) 10 Note:-

International Financial Management

14th Edition

ISBN:9780357130698

Author:Madura

Publisher:Madura

Chapter20: Short-term Financing

Section: Chapter Questions

Problem 4ST

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Assume the following information: Spot rate of U.S. dollar Quoted Price AUD1.2500/USD 180-day forward rate of U.S. dollar 180-day Australian interest rate (a periodic rate) 180-day U.S. interest rate (a periodic rate) AUD1.2800/USD 4.75% 3.10% A. What USD-denominated percent rate of return can a US investor earn if they attempt covered interest arbitrage? (to two decimal places like 6.54%) B. What AUD-denominated percent rate of return can an Australian investor earn if they attempt covered interest arbitrage? (to two decimal places like 6.54%) C. Given this information, who has a covered interest arbitrage opportunity? Answer either "Australian investors" or "U.S. investors". D. What changes in the 2 quoted prices above would likely occur to eliminate any further possibilities of covered interest arbitrage? (answer with just or 1) Spot rate of U.S. dollar 180-day forward rate of U.S. dollar
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You are given that the annual Australian dollar interest rate is 1% and the United States annual interest rate is 2.5%. The spot rate for the United States dollar is SA1.20. (a) Using interest rate parity, calculate the forward rate premium of the United States dollar with respect to the Australian dollar. (b) Using your answer to (a), calculate the onc-ycar forward rate
The following table shows the midmarket (i.e., average of the bid and offer) for the current YEN/GBP spot exchange rate as well as for GBP and YEN 270-day LIBOR (annualized): Spot (YEN/GBP) 270-day LIBOR (GBP) 270-DAY LIBOR (YEN) 1.2089 5.25% 1.25% 1. What is the forward premium or discount for a 270-day forward contract for YEN/GBP?
Consider the spot rates between the Thai Baht (THB), the New Zealand (NZD), the Canadian Dollar (CAD): CADO.81834/NZD THB25.8750/CAD THB20.8199/NZD Which of the following is the closest to the riskless arbitrage that is possible at these rates? a. 0.9833% b. 1.7034% ○ c. 1.6749% ○ d. None of the options in this question.
The current USD/EUR exchange rate is [de] dollar per euro. The one-year forward exchange rate is [fe]. The one-year USD interest rate is [rus]% p.a. semiannually compounded. Estimate the one-year EUR interest rate (p.a. semiannually compounded, stated in percent). Inputs: de, fe, rus = 1.85, 1.75, 1.31 Tip: Use the CIP
You observe the following quoted money market rates: Bid Ask Spot exchange rate AUD1.185/USD AUD1.189/USD 95-day Forward exchange rate AUD1.341/USD AUD1.349/USD 95-day USD interest rate 5.57% p.a. 6.38% p.a. 95-day AUD interest rate 7.71% p.a. 8.81% p.a. What will your profit (in USD) be 95 days from now if you borrow USD3 million today and invest in Australia and then convert back to USD? In your calculations assume 360 days per year. a. -USD 361,605.85 b. -USD 352,934.10 C. -USD 272,802.68 d. -USD322,300.31 e. None of the options in this question.
A call option on Canadian dollar has a strike (exercise) price of $0.75 per CAD. The present CAD exchange rate is $0.77 per CAD. This CAD call option has an intrinsic value of: A) Positive $0.02 per CAD. B) Zero intrinsic value. C) Negative $0.02 per CAD. D) Positive $0.75 per CAD.
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The following are the spot and the swap forward rates of the AUD/USD Spot 1.2500–1.2550 One-month 40–20 This means that the US dollar is selling at a forward discount. the US dollar is selling at a forward premium. the Australian dollar is selling at a forward discount. after allowing for transaction costs, both currencies sell at par.
How to get the ans -1,874 basis points? pls explain with steps shown clearly Spot exchange rate (AUD/USD) 1.7624/1.7864 Six- month expected spot rate (AUD/USD) 1.4880/1.5120; Australian six-month interest rate 4.55/5.05% pa US six-month interest rate 1.18/1.68% pa Calculate the precise outward uncovered margin from an Australian perspective.