A Thai importing firm expects to make two payments in one month's time. One payment is denominated in SGD, the other in USD.

The SGD payment is for SGD 500,000, the USD payment is for USD 700,000

1} Use the monthly percentage changes to estimate the correlation coefficient between the two currencies.

2) Compute the portfolios standard deviation.

3) Assume monthly percentage changes of each currency are normally distributed.

4) Assume the firm uses the spot rate as a forecast of the exchange rate one month forward (expected percentage change of 0 percent for each currency during the next month, and thus an expected change of zero for the portfolio)

Security	USDTHB REGN Curncy				Security	SGDTHB BGN Curncy
Start Date	29/2/2012 0:00				Start Date	29/2/2012 0:00
End Date	31/1/2017 0:00				End Date	31/1/2017 0:00
Period	M				Period	M
Pricing Source	REGN				Pricing Source	BGN
Date	PX_LAST	Change	% Change		Date	PX_LAST	Change	% Change
#NAME?	35.208	-0.591	-1.6508841		#NAME?	24.8935	0.144	0.581829936
30/12/2016	35.799	0.128	0.358834908		30/12/2016	24.7495	-0.1619	-0.64990326
30/11/2016	35.671	0.67	1.914231022		30/11/2016	24.9114	-0.2735	-1.08596818
31/10/2016	35.001	0.328	0.945981023		31/10/2016	25.1849	-0.1968	-0.77536178
30/9/2016	34.673	0.053	0.153090699		30/9/2016	25.3817	-0.0263	-0.10351071
31/8/2016	34.62	-0.21	-0.60292851		31/8/2016	25.408	-0.528	-2.03578038
29/7/2016	34.83	-0.308	-0.87654391		29/7/2016	25.936	-0.1394	-0.5346035
30/6/2016	35.138	-0.567	-1.58801288		30/6/2016	26.0754	0.1131	0.435631666
31/5/2016	35.705	0.785	2.247995418		31/5/2016	25.9623	-0.0072	-0.02772483
29/4/2016	34.92	-0.265	-0.75316186		29/4/2016	25.9695	-0.0729	-0.27992812
31/3/2016	35.185	-0.455	-1.27665544		31/3/2016	26.0424	0.7114	2.808416565
29/2/2016	35.64	-0.09	-0.25188917		29/2/2016	25.331	0.2757	1.10036599
29/1/2016	35.73	-0.353	-0.97830003		29/1/2016	25.0553	-0.3484	-1.37145376
31/12/2015	36.083	0.233	0.649930265		31/12/2015	25.4037	0.0202	0.079579254
30/11/2015	35.85	0.277	0.77868046		30/11/2015	25.3835	-0.0535	-0.21032354
30/10/2015	35.573	-0.737	-2.02974387		30/10/2015	25.437	-0.1217	-0.4761588
30/9/2015	36.31	0.457	1.274649262		30/9/2015	25.5587	0.1706	0.671968363
31/8/2015	35.853	0.646	1.834862385		31/8/2015	25.3881	-0.1183	-0.46380516
31/7/2015	35.207	1.438	4.258343451		31/7/2015	25.5064	0.4221	1.682725848
30/6/2015	33.769	0.114	0.338731244		30/6/2015	25.0843	0.078	0.311921396
29/5/2015	33.655	0.69	2.093129076		29/5/2015	25.0063	0.0602	0.241320287
30/4/2015	32.965	0.432	1.327882458		30/4/2015	24.9461	1.2262	5.169499028
31/3/2015	32.533	0.203	0.627899783		31/3/2015	23.7199	-0.0234	-0.09855412
27/2/2015	32.33	-0.41	-1.25229078		27/2/2015	23.7433	-0.4418	-1.82674457
30/1/2015	32.74	-0.164	-0.49841965		30/1/2015	24.1851	-0.6469	-2.60510631
31/12/2014	32.904	0.072	0.219298246		31/12/2014	24.832	-0.353	-1.40162795
28/11/2014	32.832	0.267	0.819898664		28/11/2014	25.185	-0.1727	-0.68105546
31/10/2014	32.565	0.145	0.447254781		31/10/2014	25.3577	-0.0624	-0.24547504
30/9/2014	32.42	0.48	1.502817783		30/9/2014	25.4201	-0.1678	-0.65577871
29/8/2014	31.94	-0.17	-0.52943008		29/8/2014	25.5879	-0.2114	-0.81940208
31/7/2014	32.11	-0.344	-1.05996179		31/7/2014	25.7993	-0.2241	-0.86114804
30/6/2014	32.454	-0.386	-1.17539586		30/6/2014	26.0234	-0.1776	-0.67783672
30/5/2014	32.84	0.47	1.451961693		30/5/2014	26.201	0.3778	1.463025496
30/4/2014	32.37	-0.06	-0.18501388		30/4/2014	25.8232	0.0441	0.171068812
31/3/2014	32.43	-0.195	-0.59770115		31/3/2014	25.7791	0.0958	0.373005027
28/2/2014	32.625	-0.385	-1.16631324		28/2/2014	25.6833	-0.1804	-0.69750268
31/1/2014	33.01	0.145	0.441198844		31/1/2014	25.8637	-0.031	-0.11971562
31/12/2013	32.865	0.76	2.367232518		31/12/2013	25.8947	0.3595	1.407860522
29/11/2013	32.105	0.985	3.165167095		29/11/2013	25.5352	0.4273	1.701854795
31/10/2013	31.12	-0.163	-0.52104977		31/10/2013	25.1079	0.2304	0.926138077
30/9/2013	31.283	-0.872	-2.71186441		30/9/2013	24.8775	-0.3307	-1.31187471
30/8/2013	32.155	0.832	2.656195128		30/8/2013	25.2082	0.6117	2.486939199
31/7/2013	31.323	0.288	0.927984534		31/7/2013	24.5965	0.1032	0.421339713
28/6/2013	31.035	0.758	2.50355055		28/6/2013	24.4933	0.4948	2.061795529
31/5/2013	30.277	0.942	3.211181183		31/5/2013	23.9985	0.2323	0.977438547
30/4/2013	29.335	0.045	0.153636053		30/4/2013	23.7662	0.1702	0.721308696
29/3/2013	29.29	-0.47	-1.57930108		29/3/2013	23.596	-0.4478	-1.86243439
28/2/2013	29.76	-0.065	-0.21793797		28/2/2013	24.0438	-0.0763	-0.31633368
31/1/2013	29.825	-0.765	-2.50081726		31/1/2013	24.1201	-0.9282	-3.7056407
31/12/2012	30.59	-0.095	-0.30959752		31/12/2012	25.0483	-0.1171	-0.46532143
30/11/2012	30.685	0.005	0.016297262		30/11/2012	25.1654	0.0034	0.013512439
31/10/2012	30.68	-0.11	-0.35725885		31/10/2012	25.162	0.0377	0.150053932
28/9/2012	30.79	-0.51	-1.62939297		28/9/2012	25.1243	0.046	0.183425511
31/8/2012	31.3	-0.178	-0.5654743		31/8/2012	25.0783	-0.2445	-0.96553304
31/7/2012	31.478	-0.282	-0.88790932		31/7/2012	25.3228	0.3761	1.507614234
29/6/2012	31.76	-0.09	-0.28257457		29/6/2012	24.9467	0.2413	0.976709545
31/5/2012	31.85	1.098	3.57049948		31/5/2012	24.7054	-0.1324	-0.53305848
30/4/2012	30.752	-0.088	-0.28534371		30/4/2012	24.8378	0.3248	1.325011219
30/3/2012	30.84	0.568	1.876321353		30/3/2012	24.513	0.181	0.743876377
29/2/2012	30.272				29/2/2012	24.332