50

Q.1 Future Buy @50 28

So Sell @ 50 50
Effective Selling Price 78
Purchase Price 75
So Purchas 75 Profit 3
Lot Size 100 Total Profit ( lot size* pr 300
Holding pe3 months
Future Sell 78
Q.2 If So Quantity is 90 shares
Here So lot Size = 90

50
Future Buy @50 3760
So Sell @ 50 4500
Effective Selling Price 8260
Purchase Price 7800
Profit 460

Q,3 If holding period is 1 month and Prices are

Spot Price 118
Future Price 121

Future Buy @121 -43

So Sell @ 118 118
Effective Selling Price 75
Purchase Price 75
Profit 0

q.4 Rs/$ 45.1963/45.1981

$/E 1.3691/1.3701
$/p.st 1.6234/1.6239

1 RS/E
 2 mid-quote

3 inverse rate
$/E

q.5
FIND Rs/$

Rs/$ 45.1643/45.1679

indian int rate 6%

USA interest rate 4%
Duration 6 month

45.1643
F/w = 45.5965

F/w RS/$ 45.5965/45.6001

q.6
F/W Rs /$ 45
indian int rate 9%
USA interest rate 5%

th forward 46.54

sell actual forward Rs46/$

buy spot Rs44/$
RS
borrowing
1000
interset rate 9%

1023.88
arbitragers

q.7 $/E 1.1234

6 mnth th f/w $ = 5%
 E = 8%

6 mnth th forward 1.1073

sell actual f/w $1.2537/E
buy so $
1000 1000*1.12
5%
1000(1+3%)*.2
1040.89
1148.98 916.46*1.2537
PROFIT 134.09

Mean (M)
Standard

Q8. Limits at 90% confidence in

1.54

X = M - Z*SD (Lower L 2115

X = M + Z*SD (Upper L 2885

Q.10probability that
prices are beyond = 3000

Here Probability of half 0.5

Z = (X-M)/SD 2
Probability from M to X 0.2189
Probability beyond X 0.2514
 Q.12. Probability
that price(X) will be
more than : 3300
Here Probability of half 0.5

Z = (X-M)/SD 3.2
Probability from M to X 0.4525
Probability for more th 0.9525

Portfolio of A & B

A B
Mean (M) 23500 16660
Standard Deviation ( 23 27
Correlation coefficien 0.5
95% confidence level1.96
i

Q.14 1 day
A B
Fo 1.45464772367745 1.70763
VAR (Z*SD) 2.85110953840781 3.346955
X = M - Z*SD (Lower L 23497.1488904616 16656.65
X = M + Z*SD (Upper L 23502.8511095384 16663.35
Benefit of Diversificatio 0.824660674272871

Q.15 1 Week
A B
For 1 3.18952612829507 3.744226
VAR (Z*SD) 6.25147121145833 7.338684
X = M - Z*SD (Lower L 23493.7485287885 16652.66
X = M + Z*SD (Upper L 23506.2514712115 16667.34
Benefit of Diversificatio 1.80818814394541
 200
Future Buy @200 -122
So Sell @ 200 200
78
75
3
300

200
Future Buy @200 -1780
So Sell @ 200 18000
16220
9800
6420

month and Prices are

45.1963/45.1981
1.3691/1.3701
61.8782/61.9259
 45.1963+45.1981/2
45.1972

inverse rate
1/1.3701, 1/3691
0.7298/0.73040

45.1643/45.1679

45.1679
45.6001385565814

45.5965/45.6001

$
investing
21.74
5%
22
22*48
1012
11.88
 E
890
8%
890(1+0.6)*.2
916.46
916.46*1.2537

2500
250

Q9. Value at Risk a

1.85

X=M- Z 2037.5
X=M+ Z 2962.5
Value at Ri 462.5

Q11.
Probabili
ty that
Prices(X)
are
below: 2600
Here Probab
0.5

Z = (X-M)/ 0.4
Probability 0.4525
Probabilit 0.0475
 Q.13
Probabili
ty that
prices
will
BETWEE
N(X1)
2900
AND (X2) 4800

Z = (X1-M)/SD 1.6
Z = (X2-M)/SD 9.2
Probability from M to X1
0.4525
Probability from M to X2
0.2486
Probability in 0.7011
between X1 & X2

Portfolio
18200

1 day
Portfolio
2.74153241819242
5.37340353965715
18194.6265964603
18205.3734035397

1 Week
Portfolio
6.01120748141464
11.7819666635727
18188.2180333364
18211.7819666636