Reference no: EM131996317
1. Spot RUB per one USD = 56.8139; one-year RUB interest rate = 7.75%; one-year USD interest rate = 1.75%. Answer with True or False:
a. The two-year forward exchange rate is RUB per one USD 63.119
b. The one-year RUB forward discount is 5.57%
c. The RUB is a premium currency because F > S
d. Both the spot and the forward rate are quoted European style
2. Three months ago, Bank C bought 170 contracts of April 2018 short-term interest rate futures at a price of 98.20. The contract expires today, and the spot short-term interest rate is 2.35%. Answer with True or False:
a. Total profit USD 233,750
b. Profit per contract USD 1,375
c. Total loss USD 233,750
d. Loss per contract USD 1,375
3. The March 2018 USD per one RUB contract trades at 0.01970 (contract size = RUB 2,500,000). The March 2018 USD per one EUR contract trades at 1.2030 (contract size = EUR 125,000). A trader who wishes to take a Long March RUB/Short March EUR position with a neutral view on the USD should use the following hedge ratio:
a. 3 RUB contracts per 1 EUR contract
b. 1 RUB contract per 3 EUR contracts
c. 1 RUB contract per 1 EUR contract
d. None of the above
4. Spot USD per one GBP = 1.4165; one-year GBP interest rate = 3.50%; one-year USD interest rate = 1.75%. Answer with True or False:
a. The one-year forward exchange rate is GBP per one USD 0.7181
b. The one-year forward exchange rate is USD per one GBP 1.4409
c. The one-year forward exchange rate is USD per one GBP 1.3925
d. The one-year forward exchange rate is GBP per one USD 0.6940
e. The British pound trades at a forward discount to the US dollar.
f. The British pound trades at a forward premium to the US dollar.