Professional Documents
Culture Documents
Petersburg
On your post-graduation celebratory trip you are leaving Paris for St. Petersburg,
Russia. You leave Paris with 10,000 euros in your money pouch. Wanting to
exchange all of these for Russian rubles, you obtain the following quotes.
Assumptions
Beginning your trip with euros
Spot rate ($/)
Spot rate (Rubles/$)
a) Calculate the cross rate
Cross rate (Rubles/)
Values
10,000.00
1.4260
24.75
Values
1.2575
1.2585
10 to 15
14 to 22
20 to 30
Bid
Ask
Spread
Period
spot
1 month
2 months
3 months
6 months
12 months
24 months
Days Forward
30
60
90
180
360
720
/$
Bid Rate
114.23
113.82
113.49
113.05
112.05
110.20
106.83
/$
Ask Rate
114.27
113.87
113.52
113.11
112.11
110.27
106.98
a)
Calculated
Mid-Rate
b)
Forward
Premium
USD
7.7508
1.0903
0.9626
1.1644
0.4873
114.156
0.6952
EUR
11.1496
1.5684
1.3847
1.675
0.701
164.2134
1.4385
JPY
0.0679
0.0096
0.0084
0.0102
0.0043
0.0061
0.0088
GBP
15.9061
2.2375
1.9754
2.3896
234.2687
1.4266
2.0522
Calculated
CHF
6.6564
0.9364
0.8267
0.4185
98.0368
0.597
0.8588
CAD
8.052
1.1327
1.2097
0.5062
118.5913
0.7222
1.0389
AUD
7.1088
0.8829
1.068
0.4469
104.7005
0.6376
0.9172
HKD
0.1407
0.1242
0.1502
0.0629
14.7282
0.0897
0.129
Period
spot
1 month
2 months
3 months
6 months
12 months
24 months
Days Forward
30
60
90
180
360
720
US$/
Bid Rate
1.4389
1.4440
1.4400
1.4403
1.4407
1.4408
1.4417
US$/
Ask Rate
1.4403
1.4410
1.4415
1.4418
1.4422
1.4424
1.4436
a)
Calculated
Mid-Rate
b)
Forward
Premium
Values
10,000,000.00
120.00
1.6000
80.00
Period
spot
1 month
2 months
3 months
6 months
12 months
24 months
Days Forward
30
60
90
180
360
720
US$/A$
Bid Rate
0.91630
0.91477
0.91313
0.91156
0.90542
0.89155
0.86488
US$/A$
Ask Rate
0.91700
0.91551
0.91388
0.91233
0.90621
0.89242
0.86602
a)
Calculated
Mid-Rate
b)
Forward
Premium
Values
1,000,000.00
0.9650
0.9670
0.9640
0.9660
1,000,000.00
1,000,000.00
Period
spot
1 month
2 months
3 months
6 months
12 months
Period
spot
1 month
2 months
3 months
6 months
12 months
Days
Forward
30
60
90
180
360
Days
Forward
30
60
90
180
360
C$/euro
1.38390
1.38439
1.38444
1.38590
1.38750
1.39189
US$/euro
1.1914
1.1926
1.1941
1.1956
1.2013
1.2130
Forward Premium
on the C$/euro
C$ Proceeds of
10,000.00
Difference
Over Spot
US$ Proceeds of
10,000.00
Difference
Over Spot
0.425%
0.234%
0.578%
0.520%
0.577%
Forward Premium
on the US$/euro
1.209%
1.360%
1.410%
1.662%
1.813%
Values
778
1,025
The Venezuelan political and economic crisis deepened in late 2002 and early 2003. On
January 1st, 2003, the bolivar was trading at Bs1400/$. By February 1st, its value had
fallen to Bs1950/$. Many currency analysts and forecasters were predicting that the
bolivar would fall an additional 40% from its February 1st value by early summer 2003.
Assumptions
Exchange rate, January 1, 2003 (Bs/$)
Exchange rate, February 1, 2003 (Bs/$)
Forecast fall in value from Feb 1 to early summer, 2003
a) What was the percentage change in January?
Values
1,400
1,950
-40.0%
Assumptions
Days forward
European euro ( per $)
Quoted
Spot rate
1.0200
90-day
Forward rate
90
1.0300
Check calculation
One way to check percentage change calculations is to invert each of the currency
quotes (1/(/$)), and recalculate the quote using the direct quotation formula.
European euro ($ per )
$0.9804
$0.9709
Percent premium
or discount on euro
Assumptions
Days forward
Exchange rate, US$/
Check calculation
Inverting the quotes (/US$)
Quoted
Spot rate
$
1.5500
0.6452
180-day
Forward rate
180
1.5600
0.6410
Percent premium
or discount
Exchange rate
11.43
0.6944
Exchange rate
1.5400
1.6000
0.9700
1,000,000.00
1,000,000.00
1,000,000.00
Dresdner
Quote
/
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2
Quote
1.841
1.51
1.2223
1.5061768797
$ Gain
$ (269,674.09)
$ (203,280.83)
$ (136,887.56)
$ (70,494.30)
$ (4,101.03)
$ 62,292.23
$ 128,685.50
$ 195,078.76
$ 261,472.03
$ 327,865.29
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Move
$ to
to
to $
$ Gain
$
$
1,000,000.00
543,183.05
820,206.41
1,002,538.29
2,538.29
Gain
100%
90%
80%
70%
60%
Gain
Bank
Barclays $/
Dresdner /
Citibank $/
Citi/Barc /
50%
40%
30%
20%
10%
0%
1.1
1.2
1.3
1.4
1.5
1.
Gain
1.4
1.5
1.6
1.7
1.8
1.9