Question
compute future 1, 3, 6 month % changes in spot rates (1 month sport rate change in January 2002 would be computed as: Feb 2002
compute future 1, 3, 6 month % changes in spot rates (1 month sport rate change in January 2002 would be computed as: Feb 2002 Spot / Jan 2002 Spot 1; and the 3 month % change would be: April 2002 Spot / Jan 2002 Spot 1). Also, compute 1, 3, 6 month forward premium. Finally compute the 1, 3 and 6 month interest rate difference between the UK and the US. a) Do a scatter plot of forward premium on spot rate changes. Do a separate plot for each horizon. Comment on the relationship.
| Date | Spot | F 1M | F 3M | F 6M | i_UK 1M | i_UK 3M | i_UK 6M | i_US 1M | i_US 3M | i_US 6M |
| 2001-01-31 | 1.4613 | 1.4613 | 1.4607 | 1.4596 | 5.900% | 5.794% | 5.675% | 5.570% | 5.421% | 5.263% |
| 2001-02-28 | 1.4433 | 1.4417 | 1.4403 | 1.4387 | 5.722% | 5.647% | 5.554% | 5.208% | 5.053% | 4.908% |
| 2001-03-30 | 1.419 | 1.4212 | 1.4199 | 1.418 | 5.688% | 5.526% | 5.366% | 5.080% | 4.879% | 4.710% |
| 2001-04-30 | 1.4306 | 1.4297 | 1.4276 | 1.4248 | 5.422% | 5.340% | 5.245% | 4.433% | 4.336% | 4.303% |
| 2001-05-31 | 1.4175 | 1.4188 | 1.4159 | 1.4116 | 5.306% | 5.254% | 5.251% | 4.058% | 3.990% | 3.980% |
| 2001-06-29 | 1.4077 | 1.4051 | 1.4019 | 1.3967 | 5.225% | 5.294% | 5.431% | 3.863% | 3.836% | 3.909% |
| 2001-07-31 | 1.4252 | 1.4236 | 1.42 | 1.4148 | 5.251% | 5.246% | 5.256% | 3.750% | 3.670% | 3.689% |
| 2001-08-31 | 1.451 | 1.4491 | 1.4456 | 1.4406 | 4.891% | 4.934% | 4.941% | 3.581% | 3.463% | 3.453% |
| 2001-09-28 | 1.4691 | 1.4675 | 1.463 | 1.4565 | 4.699% | 4.527% | 4.479% | 2.630% | 2.590% | 2.523% |
| 2001-10-31 | 1.4534 | 1.4518 | 1.4469 | 1.4403 | 4.254% | 4.221% | 4.179% | 2.288% | 2.200% | 2.146% |
| 2001-11-30 | 1.4255 | 1.4258 | 1.4253 | 1.4259 | 4.026% | 4.024% | 4.031% | 2.119% | 2.032% | 2.030% |
| 2001-12-31 | 1.4543 | 1.4528 | 1.448 | 1.4406 | 4.148% | 4.106% | 4.136% | 1.874% | 1.881% | 1.981% |
| 2002-01-31 | 1.412 | 1.4113 | 1.406 | 1.399 | 4.033% | 4.058% | 4.181% | 1.848% | 1.880% | 2.034% |
| 2002-02-28 | 1.4129 | 1.4117 | 1.4067 | 1.3996 | 4.030% | 4.056% | 4.182% | 1.870% | 1.900% | 2.030% |
| 2002-03-28 | 1.4242 | 1.4215 | 1.4165 | 1.41 | 4.020% | 4.187% | 4.398% | 1.879% | 2.030% | 2.330% |
| 2002-04-30 | 1.4565 | 1.4546 | 1.4496 | 1.4419 | 4.046% | 4.150% | 4.309% | 1.840% | 1.920% | 2.120% |
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
16th Edition
013749601X, 978-0137496013
