Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Table 1 Foreign Exchange Data Country / IN US$ = $/FC PER US$ = FC/$ currency Fri Thurs Fri Thurs Argentina peso 0.244 0.2455 4.0978

image text in transcribed

image text in transcribed
Table 1 Foreign Exchange Data Country / IN US$ = $/FC PER US$ = FC/$ currency Fri Thurs Fri Thurs Argentina peso 0.244 0.2455 4.0978 4.074 Brazil real 0.621 0.6258 1.6103 1.598 3-mos forward 0.6182 0.6261 1.6176 1.5973 India rupee 0.02232 0.02235 44.80545 44.73495 3-mos forward 0.02239 0.02233 44.6628 44.7891 China yuan 0.1565 0.1565 6.391 6.3885 Japan yen 0.01304802 0.01290989 76.64 77.46 1-mos forward 0.01305202 0.01291 76.62 77.44 3-mos forward 0.01306208 0.01292 76.56 77.38 6-mos forward 0.01308258 0.01294 76.44 77.26 Table 2 Security Data Initial Margin Variable Bradesco Arwana Indian Brazilian Indian Table 3 Requirements Long 54.00% (Brazilian) (Indian) T-bond* Real / Rupee Rupee/ Real Short 63.50% Variance = 02 3.3778% 0.5256% 0.3500% 4.0937% 2.6794% Price (26-Aug) 33.2917 BZR 1,969.77 INR 104.625 ask $0/BRLO INRO/$0 0.6210 44.80545 Price (26-Nov) 32.7524 BZR 2,019.61 INR 104.898 bid $n/BRLn INRn/$n Abbreviations 0.6182 44.66280 a' = Arwana Dividend 1.78 BZR 69.46 INR 3.75 coupon IM(Long) = IM(Short) 54% = 63.50% 'b' = Bradesco Corra,b = 0.2121 Corra,BRL = 0.4933 CorrTb, (a, INR) 0.1088 INR = Indian rupee Corra, INR = 0.5669 Corrb, INR = -0.1651 CorrTb, INR = 0.7798 BRL = Brazilian real Corrb, BRL = 0.6877 CorrTb, BRL = -0.1355 CorrTb, (b,BRL) 0.3267 Tb = Indian T-bond For the correlations, the letters Corrb, (a, INR) = -0.0911 Corrb, Tb = Solve Corra, (b, BRL) = -0.1324 in parenthesis represent the foreign portfolio Where: b =Bradesco stock (Brazil); a =Arwana stock (India ); BRL =Brazilian real; INR =Indian rupee *3.75 8/15/32 Indian Treasury Bond = Tb

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image_2

Step: 3

blur-text-image_3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Introduces Quantitative Finance

Authors: Paul Wilmott

2nd edition

470319585, 470319581, 978-0470319581

More Books

Students also viewed these Finance questions