Question
Consider a 9-month futures contract on USD/EUR. LIBOR (USD) and EURIBOR (EUR) rates are 4.2% and 6%, respectively (both interest rates are annual rates). The
Consider a 9-month futures contract on USD/EUR. LIBOR (USD) and EURIBOR (EUR) rates are 4.2% and 6%, respectively (both interest rates are annual rates). The current spot rate is 1.42($/euro). What is the futures price ($/euro)? (Keep in mind that the time to maturity equals 9 months or 0.75 years)
A) 1.4312
B) 1.4456
C) 1.4016
D) 1.5876
Consider the graph of a call option shown below. The option is a three-month American call option on 62,500 with a strike price of $1.50 = 1.00, that is, $1.50 per euro, and an option premium of $3,125 (for the full size position of the option). What are the values of A, B, and C, respectively?
A. | A = -$3,125 (or -$.05 depending on your scale); B = $1.50; C = $1.55 |
B. | A = -3,750 (or -.06 depending on your scale); B = $1.50; C = $1.55 |
C. | A = -$.05; B = $1.55; C = $1.60 |
D. | none of the above |
E denotes the strike or exercise price below. For an American call option, A and B in the graph are
A. | time value and intrinsic value. |
B. | intrinsic value and time value. |
C. | in-the-money and out-of-the money. |
D. | none of the above |
The /$ spot exchange rate is $1.50/ and the 120 day forward exchange rate is 1.45/. The annualized forward premium (discount) is
A. the dollar is trading at an 8% premium to the euro for delivery in 120 days.
B. the dollar is trading at a 5% premium to the Swiss franc for delivery in 120 days.
C. the dollar is trading at a 10% discount to the euro for delivery in 120 days.
D. the dollar is trading at a 5% discount to the euro for delivery in 120 days
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