Chapter 5: Given the exchange rates from Bank of China Macau Branch, explain the meaning of the last two rows http://www.bankofchina.com imoen/fimarkets im 1201001 120100107_93784.html USD GBP PY AUD NZD CAD CHE Bay Rate 783.770 101662 722000 536320 199.280 596.430 795.000 574240 573.650 Sell Rate 4.900 3000 30 7.24720 539.240 302170 SOR 190 79530 577.960 576.160 EUR 11-09-00 11-09-00 11:00:00 11:09:00 11:09:00 11:09:00 11:09:00 11:09:00 11:00:00 11:09:00 11:09:00 11:0000 11:09:00 11:09:00 11:09:00 11:00-00 11:00-00 11:09:00 11:09:00 11:09:00 11:09:00 SGD DKK SEK PHP THE TWD KRW VYR END INR AED CNY/HKD HKD CNY 109.970 992994 111870 9 09328 1. One year interest rate in Singapore is 2% per year and that in China is 3% a year. SGD CNY is currently 5.0 in the spot market and 49 in the one year forward market. Is there any arbitrage opportunity? If yes. show how it can be done. 2. One year interest rate in New Zealand is 1% per year and that in Australia is also 1% a year. AUD NZD is currently 1.08 in the spot market and 1.1 in the one year forward market. Is there any arbitrage opportunity? If yes, show how it can be done. 3. Given the following compute the bid and ask prices for the GBP/HKD 1 year forward exchange rate. All rates are continuously compounded. Chapter 5: Given the exchange rates from Bank of China Macau Branch, explain the meaning of the last two rows http://www.bankofchina.com imoen/fimarkets im 1201001 120100107_93784.html USD GBP PY AUD NZD CAD CHE Bay Rate 783.770 101662 722000 536320 199.280 596.430 795.000 574240 573.650 Sell Rate 4.900 3000 30 7.24720 539.240 302170 SOR 190 79530 577.960 576.160 EUR 11-09-00 11-09-00 11:00:00 11:09:00 11:09:00 11:09:00 11:09:00 11:09:00 11:00:00 11:09:00 11:09:00 11:0000 11:09:00 11:09:00 11:09:00 11:00-00 11:00-00 11:09:00 11:09:00 11:09:00 11:09:00 SGD DKK SEK PHP THE TWD KRW VYR END INR AED CNY/HKD HKD CNY 109.970 992994 111870 9 09328 1. One year interest rate in Singapore is 2% per year and that in China is 3% a year. SGD CNY is currently 5.0 in the spot market and 49 in the one year forward market. Is there any arbitrage opportunity? If yes. show how it can be done. 2. One year interest rate in New Zealand is 1% per year and that in Australia is also 1% a year. AUD NZD is currently 1.08 in the spot market and 1.1 in the one year forward market. Is there any arbitrage opportunity? If yes, show how it can be done. 3. Given the following compute the bid and ask prices for the GBP/HKD 1 year forward exchange rate. All rates are continuously compounded
