What are the cash flows associated with the swap

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Reference no: EM13897926

1. Consider the following spot and forward rates for the yen per euro exchange rates:

Spot 30 Days 60 Days 90 Days 180 Days 360 Days

146.30 145.75 145.15 144.75 143.37 137.85

Is the euro at a forward premium or discount? What are the magnitudes of the forward premiums or discounts when quoted in percentage per annum for a 360-day year?

2. As a currency trader, you see the following quotes on your computer screen:

Exch. Rate Spot 1-Month 2-Month 3-Month 6-Month

USD> EUR 1.0435 > 45 20 > 25 52 > 62 75 > 90 97 > 115

JPY> USD 98.75 > 85 12 > 10 20 > 16 25 > 19 45 > 35 USD > GBP 1.6623 > 33 30 > 35 62 > 75 95 > 110 120 > 130

a. What are the outright forward bid and ask quotes for the USD>EUR at the 3-month maturity?

b. Suppose you want to swap out of $10,000,000 and into yen for 2 months. What are the cash flows associated with the swap?

c. If one of your corporate customers calls you and wants to buy pounds with dollars in 6 months, what price would you quote?

Reference no: EM13897926

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