Question
3. (Ch. 4) Spot Exchange Rate Movements. Suppose you have a buy AUDUSD position for some units of the AUD (Australian dollars). You bought the
3. (Ch. 4) Spot Exchange Rate Movements. Suppose you have a buy AUDUSD position for some units of the AUD (Australian dollars). You bought the AUD with the USD at St-1(AUDUSD) = 0.6857 on August 31 (seven days ago). Today is September 7, with St(AUDUSD) = 0.6792. What is the annualized percent change in the AUDUSD exchange movements in these seven days? (Annualize by multiplying 360/7). Does the AUD appreciate or depreciate against the USD in these seven days? (5 points)
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Theoretical Foundations For Quantitative Finance
Authors: Luca Spadafora, Gennady P Berman
1st Edition
9813202475, 978-9813202474
