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| 5) Calculate the annual forward premium for the foreign currency using the following time intervals: 1 week, 2 weeks, 1 month, 2 months 3 months and 6 months. Identify the direction for the foreign currency and compare to the average forecast reported above | |
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| | | | | | Days | F | annualized F/S-1 | annualizedS/F -1 |
| USDJPY SW FWD | -2.72 | -2.48 | | -2.6 | 7 | 111.32 | -1.20% | 1.20% |
| USDJPY 2W FWD | -5.35 | -5.15 | | -5.25 | 14 | 111.30 | -1.21% | 1.21% |
| USDJPY 1M FWD | -13.2 | -12.6 | | -12.9 | 30 | 111.22 | -1.39% | 1.39% |
| USDJPY 2M FWD | -31.45 | -30.8 | | -31.125 | 60 | 111.04 | -1.68% | 1.68% |
| USDJPY 3M FWD | -46.22 | -45.12 | | -45.67 | 90 | 110.89 | -1.64% | 1.65% |
| USDJPY 6M FWD | -96.2 | -95 | | -95.6 | 180 | 110.39 | -1.72% | 1.73% |
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| USD/JPY | 111.34 | 111.36 | | 111.35 | | | |  |
29 fx 111.2975 C G H lut Direct/Indirect F The forecast for the currency PAIR, is the same/contrary to the forecast for the foreign currency O 5) Calculate the annual forward premium for the foreign currency using the following time intervals: 1 week, 2 weeks, 1 month, 2 months 3 months and 6 months. Identify the direction for the foreign currency and compare to the average forecast reported above 29 Days 32 USDJPY SW FWD 33 USDJPY 2W FWD 134 USDJPY 1M FWD 135 USDJPY 2M FWD 136 USDJPY 3M FWD 137 USDJPY 6M FWD 138 -2.72 -5.35 -13.2 31.45 46.22 -96.2 -2.48 -5.15 -12.6 -30.8 -45.12 -95 -2.6 -5.25 -12.9 -31.125 45.67 -95.6 111.32 111.30 111.22 111.04 110.89 110.39 ualized F/S-1 -1.20% -1.21% -1.39% -1.68% -1.64% -1.72% annualizedS/F-1 1.20% 1.21% 1.39% 1.68% 1.65% 1.73% 139 140 USD/JPY 111.34 111.36 111.35 141 6) Compare the annualized forward premium calculated with short intervals to the one year number. Are the numbers similar? Is there a patter? 142 What could be the causes for the difference? 143 144 145 146 147 148 7) Compare the forward premium calculated above to the forecasts made by the "experts" included in the Fxstreet website. Is the direction the same? What factors do you think the analysts used to develop their own forecasts? Include the ACTUAL spot values for the pair one week after the initial forecast. Which of the experts was closest to the actual value? Sources data for DC1 . Initial data DC1 Sources data for DC2 II. Final data DC2 I II. Trading profits IV. 1.90238 % Ready 101 AUD LIBOR - 6 months 102 AUD LIBOR - 7 months 103 AUD LIBOR - 8 months 104 AUD LIBOR - 9 months 105 AUD LIBOR - 10 months 106 AUD LIBOR - 11 months USD LIBOR- 6 months USD LIBOR - 7 months USD LIBOR - 8 months USD LIBOR - 9 months USD LIBOR - 10 months USD LIBOR - 11 months 29 fx 111.2975 C G H lut Direct/Indirect F The forecast for the currency PAIR, is the same/contrary to the forecast for the foreign currency O 5) Calculate the annual forward premium for the foreign currency using the following time intervals: 1 week, 2 weeks, 1 month, 2 months 3 months and 6 months. Identify the direction for the foreign currency and compare to the average forecast reported above 29 Days 32 USDJPY SW FWD 33 USDJPY 2W FWD 134 USDJPY 1M FWD 135 USDJPY 2M FWD 136 USDJPY 3M FWD 137 USDJPY 6M FWD 138 -2.72 -5.35 -13.2 31.45 46.22 -96.2 -2.48 -5.15 -12.6 -30.8 -45.12 -95 -2.6 -5.25 -12.9 -31.125 45.67 -95.6 111.32 111.30 111.22 111.04 110.89 110.39 ualized F/S-1 -1.20% -1.21% -1.39% -1.68% -1.64% -1.72% annualizedS/F-1 1.20% 1.21% 1.39% 1.68% 1.65% 1.73% 139 140 USD/JPY 111.34 111.36 111.35 141 6) Compare the annualized forward premium calculated with short intervals to the one year number. Are the numbers similar? Is there a patter? 142 What could be the causes for the difference? 143 144 145 146 147 148 7) Compare the forward premium calculated above to the forecasts made by the "experts" included in the Fxstreet website. Is the direction the same? What factors do you think the analysts used to develop their own forecasts? Include the ACTUAL spot values for the pair one week after the initial forecast. Which of the experts was closest to the actual value? Sources data for DC1 . Initial data DC1 Sources data for DC2 II. Final data DC2 I II. Trading profits IV. 1.90238 % Ready 101 AUD LIBOR - 6 months 102 AUD LIBOR - 7 months 103 AUD LIBOR - 8 months 104 AUD LIBOR - 9 months 105 AUD LIBOR - 10 months 106 AUD LIBOR - 11 months USD LIBOR- 6 months USD LIBOR - 7 months USD LIBOR - 8 months USD LIBOR - 9 months USD LIBOR - 10 months USD LIBOR - 11 months
