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4 pls 4) The Singapore dollar-U.S. dollar (S$/S) spot exchange rate is S$3/S, the Car dollar-U.S. dollar (CD/$) spot rate is CD5/S, and the Singapore
4 pls
4) The Singapore dollar-U.S. dollar (S$/S) spot exchange rate is S$3/S, the Car dollar-U.S. dollar (CD/$) spot rate is CD5/S, and the Singapore dollar-Cam dollar spot exchange rate is S$ 0.50/CD. a) What is the correct cross exchange rate for Singapore dollar against Cana dollar (S$/CD) that eliminates a triangular arbitrage? (20points) b) Consider your possible actions to exploit the triangular arbitrage profit if have $10 mil. i) Determine whether you buy or sell Canadian dollar. (20points) ii) How much Canadian dollar do you buy or sell? (20points) i) Figure out your potential profit in U.S. dollars. (25points) 5) A bank made a three-month Eurodollar loan and accepted a six-month Eurodoll deposit. The bank considers a "three against six" $10,000,000 FRA for a three-mon period beginning three months from today and ending six months from today. T agreement rate is 6 percent. There are actually 90 days in the three-month FRA peri- Assume that the settlement rate is 5 percent. Should the bank buy or selll the FRA? (20points) a) b) At the settlement date, does the buyer of the FRA pays the seller or the seller o the FRA pays the buyer? (20points) c) Determine the value of the FRA.(25points) BF1610P6 PV2Step by Step Solution
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