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1、一、名词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、计算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 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%
