Chapter 1:
1. Assume that Live Co. has expected cash flows of $200,000 from
domestic operations, SF200,000 from Swiss operations, and 150,000
euros from Italian operations at the end of the year. The Swiss franc's
value and euro's value are expected to be $.83 and $1.29 respectively, at
the end this year. What are the expected dollar cash flows of Live Co? (TB) a. $200,000 b. $559,500 c. $582,500 d. $393,500 ) =
= 200.000 + 200.000 x 0,83 + 150.000 x 1,29 = 559.500$ => B
2. Assume AYN banks quoted bid/ask of the Canadian dollar is $0.75/$0.80.
The bid/ask spread in this example is (TB) a. 0.05% b. 2,56% c. 5% d. 6.25%
Chênh lệch giá mua và giá bán
Bid / ask spread = (Ask rate – Bid rate) / Ask rate = (0,8 – 0,75)/0,8
= 0,0625 hay 6,25% => D
3. Livingston Co. has a subsidiary in Korea. The subsidiary reinvests half of its
net cash flows into operations and remits half to the parent. Livingston's
expected cash flows from domestic business are $100,000, and the Korean
subsidiary is expected to generate 100 million Korean won at the end of the
year. The expected value of the won is $.0012. What are the expected dollar
cash flows of Livingston Co.? (k) a. $100,000 b. $200,000 c. $160,000 d. $60,000
Giống câu 1: Nhưng đúng theo đề bài Công ty chỉ đầu tư một nửa tức là 100.000.000 / 2 = 50.000.000 ) =
= 100.000 + 50.000.000 x 0,0012 = 160.000$ => C
4. The price list at capital one bank is as follows: CAD/USD =0.789;
GBP/USD=1.25; USD/JPY=1.825; NZD/USD = 0.810; USD/MYR=7.560;
USD/HKD= 7.10. Which listing is direct quotation? (TB)
a. CAD/USD; GBP/USD; NZD/USD
b. USD/JPY; USD/MYR; USD/HKD c. CAD/USD; USD/JPY; GBP/USD
d. All prices are quoted directly
Yết giá trực tiếp: Theo đề bài thì đồng USD sẽ là đồng định giá nên chọn A
(Vì đồng yết giá thường nằm phía sau) Chapter 3:
1. Assume the following information: Bear Bank Yoyo Bank Bid price for NZ$ $.401 $.405 Ask price for NZ$ $.404 $.406 Which statement is true?
a. Locational arbitrage happens by buying NZ$ at YoYo Bank and sellthem immediately at Bear Bank
b. Locational arbitrage happens by buying NZ$ at Bear Bank and sell
them immediately at YoYo Bank
c. Triangular arbitrage happens between difference in quoted prices d. All are incorrect
Kinh doanh chênh lệch giá gồm 3 trường hợp:
1. KD chênh lệch giá địa phương
2. KD chênh lệch giá 3 bên
3. KD chênh lệch giá lãi suất có phòng ngừa
Và bài này sẽ sử dụng trường hợp chênh lệch giá địa phương: Chỉ xảy ra khi
giá chào bán một đồng tiền ở ngân hàng này thấp hơn giá chào mua ở Ngân
hàng kia (giá tiền được in đỏ bảng trên).
2. Bear Bank Yoyo Bank Bid price for NZ$ $.0224 $.0228 Ask
price for NZ$ $.0227 $.0229 Given the information above,
how much are the profit from the arbitrage if we invest 1
million US dollars at the beginning a. $4000.0 b. $4205.1 c. $4405.3 d. $4402.1 Ngân hàng Bear Bank YoYo Bank Giá mua 0,0224 0,0228 Giá bán 0,0227 0,0229
Bài này sử dụng trường hợp KD chênh lệch giá địa phương
Khi mua: 1.000.000$ / 0,0227 = 44.052.863,44$
Khi bán: 44.052.863,44 x 0,0228 = 1.004.405,286$
Vậy lợi nhuận sẽ đạt được nếu bán được:
1.004.405,286$ - 1.000.000$ = 4.405,286334$ => C
3. Bank A: SGD/USD = 0.40 – 0.41. Bank B: SGD/USD = 0.42 – 0.425
Given this information, what would be your gain if you use $1,000,000 and execute locational arbitrage. a. $11,764 b. $11.964 c. $36,585 d.$24,390 e. $18,219 Ngân hàng Bank A Bank B Giá mua 0,4 0,42 Giá bán 0,41 0,425
Bài này sử dụng trường hợp KD chênh lệch giá địa phương
Khi mua: 1.000.000$ / 0,41 = 2.439.024,39$
Khi bán: 2.439.024,39 x 0,42 = 1.024.390,244$
Vậy lợi nhuận sẽ đạt được nếu bán được:
1.024.390,244$ - 1.000.000$ = 24.390,244$ => D
4. Suppose one bank gives the following quotes: S(JPY/USD, t) = 100 S(USD/GBP,t )= 1.60 S(JPY/GBP,t) = 140
What are the steps involved in arbitrage activity?
a. Sell GBP/Buy JPY – Sell JPY/Buy USD – Sell USD/ Buy BGP
b. Sell USD/Buy GBP – Sell GBP/Buy JPY – Sell JPY/Buy USD
c. Sell USD/ Buy JPY – Sell JPY/ Buy GBP – Sell GBP/Buy USD d. None is correct S(JPY/USD, t) = 100 S(USD/GBP,t) = 1.60
>>> JPY/GBP = 100 x 1.60 = 160 S(JPY/GBP,t) = 140
>>> JPY đang bị định giá thấp hơn
>>> Bước 2: mua JPY. bán GBP Buớc 1 Bán USD mua GBP Bước 3: Bản JPY mua USD
5. Suppose the following bilateral spot exchange rates are being quoted for the
Danish krone (DKK), the US dollar (US$) and the Canadian dollar (C$): US$/C$ = 1.5 DKK/C$ = 7.0 DKK/US$ = 5.0
If you start with 100C$, the most you could end up with in a single round of
triangular arbitrage would be? a. 93.33 b.98.66 c.103.25 d.107.14
Ta có: DKK/US$ = 7,0 / 1,5 = 4,666 < 5,0
=> Đồng US$ đang bị định giá thấp
=> Bước 2: Mua US$, bán DKK
=> Bước 1: Mua DKK, bán C$
=> Bước 3: Bán US$, mua C$ DKK/C$ = 7.0
Làm theo quy tắc nhân chéo chia ngang 1$ DKK => 7$ C$
100/7$ DKK <= 100$ C$ DKK/US$ = 5.0 1$ DKK => 5 US$
100/7$ DKK => 500/7 US$ US$/C$ = 1.5 1$ US$ => 1,5 C$
500/7$ US$ => 750/7 C$ => D
6. Assume that a Us firm can invest funds for one year in the US at 12% or
invest funds in Mexico at 14%. The spot rate of the peso is $.10 while the one-
year forward rate of the peso is $.10. If US firms attempt to use covered
interest arbitrage, what forces should occur
a. spot rate of peso increases, forward rate of peso decreases
b. spot rate of peso decreases, forward rate of peso increases
c. spot rate of peso decreases, forward rate of peso decreases
d. spot rate of peso increases, forward rate of peso increases
7. Assume the following information: You have $1,000,000 to invest. Current
spot rate of pound =$1.30. 90 day forward rate of pound =$1.28. 3 month
deposit rate in US =3%. 3 month deposit rate in Great Britain =4%.
If you use covered interest arbitrage for a 90 day investment, what will be the
amount of US dollars you will have after 90 days a. $1,024,000 b. $1,030,000 c. $1,040,000 d.$ 1,034,000 e. None of the above
Chuyển 1.000.000$ thành bảng Anh: 1.000.000$ / 1,30 = 769.230,7692 Bảng hợp đồng 90 ngày:
769.230,7692 + 769.230,7692 x 4% = 800.000 (bảng Anh)
Chuyển 800.000 (Bảng Anh) thành đô la Mỹ
800.000 x 1,28 = 1.024.000$ => A
8. Assume the following bid and ask rates of the pound for two banks as shown below: Bank A: $1.41 - $1.42 Bank B: $1.39 - $1.40
As locational arbitrage occurs:
a. the bid rate for pounds at Bank A will increase, the ask rate at Bank B will increase
b. the bid rate for pounds at Bank A will increase, the ask rate at Bank B will decrease
c. the bid rate for pounds at Bank A will decrease, the ask rate at Bank B will decrease
d. the bid rate for pounds at Bank A will decrease, the ask rate at Bank B will increase
9. Assume the British pound is worth $1.60 and the Canadian dollar is worth
$0.80. What is the value of the Canadian dollar in pounds a. 2.0 b. 2.4 c. 0.80 d. 0.50 e. none of the above GBP/CAD = 1,6 GBP/USD = 0,8
USD/CAD = 0,8/1,6 = 0,5 => D
10. Assume that the Mexican peso exhibits a 6-month interest rate of 6 percent,
while the U.S. dollar exhibits a 6-month interest rate of 5 percent. From a U.S.
investor’s perspective, the U.S. dollar is the home cur- rency. According to IRP,
the forward rate premium of the peso with respect to the U.S. dollar a. -.07% b. -0.94% c.-.0094% d. -.094%
P= [(1+5%)/(1+6%)] – 1 = - 0,94%
11. Assume spot rate of CHF and USD today as $1.60, the forward rate of
Swiss franc has a 4% premium. What can be the forward rate of two currencies a. $1.45 b.$1.668 c.$1.886 d.$1.664 P = 4% S = 160
F = S x (1 + P) = 160 x (1 + 4%) = 166,4$ = > D
12. The information provided by Wall Street Journal: Spot rate of Swiss franc =
$.80 and 6-month forward rate of Swiss franc = $.78 Assume that the
annualized U.S. interest rate is 7 percent for a 6-month maturity. What can be
the annualized Swiss franc interest rate for a 6-month maturity if IRP exists a. 9% b. 7% c. 9.74% d. 7.4% S = 0,8 F = 0,78 Ih = 7% F = S x (1 + P)
0,78 = 0,8 x (1 +P) => P = -0,025
Ta có: P = [(1+ih)/(1+if)] – 1
-0,025 = [(1+7%)/(1+if)] – 1 => if = 0,09743 hay 9,743% => C
13. The interest rate on euros is 8%. The interest rate in the US is 5%. The
euro’s forward rate should exhibit: a. a premium of about 3%
b. a discount of about 3% c. a discount of about 1% d. None of the above
[(1+ih) / (1+if)] – 1 = [(1+5%) / (1+8%)] – 1 = -0,027 hay -3% => B Chapter 4:
1. The home country experiences a 4% inflation rate, while the foreign country
experiences a 6% inflation rate. According to PPP, what is the effect on exchange rate
a. Foreign currency will apppreciate 2.8%
b. Foreign currency will not be affected
c. Foreign currency will depreciate 1.89%
d. None of the above is correct
ef = [(1+ Ih) / (1 + If)] – 1
= [(1 + 4%) / (1+ 6%)] – 1
= -0,018867 hay – 1,8867% => C
2. US has quoted interest rate of 12% with the current inflation rate is 3%. The
foreign investor deposits $100,000 in 1 year, what is the amount of return the
investor will actually receive at the end of investment? a. 110,000 b. 112,000 c. 109,000 d. 115,000
Lãi suất thực = Lãi suất danh nghĩa – Lạm phát = 12% - 3% = 9%
Vậy số tiền thu được sau 1 năm:
100.000 + (100.000 x 9%) = 109.000$ => C
3. US nominal interest rate is 8% assuming a real interest rate of 2%, inflation
rate of Canada is 4%. What is the expected inflation rate in US a. 4% b. 6%
c. We need to know the nominal interest rate of Canada too
d. None of the above is correct Giống như Câu 2
4. Assume the nominal interest rate in Canada is 13% and 5% in Japan. Assume
the expected real rate of interest is 3% in each country. What is the correct
movement of exchange rate to offset the interest rate advantage a. CAD will depreciate by 7% b. CAD will appreciate by 8% c. JPY will appreciate by 7%
d. JPY will appreciate by 8% Canada: 13% - 3% = 10% Japan: 5% - 3% = 2%
Vậy chênh lệch giữa đồng Canada và Japan là 8% => D
5. Assume that the exchange rate is in equilibrium initially, if home currency
experiences 4% while foreign currency experiences 7%. According to PPP, how
will the foreign currency adjust a. -2.8% b. -2.9% c. -3% d. -2.7%
ef = [(1+ Ih) / (1 + If)] – 1
= [(1 + 4%) / (1+ 7%)] – 1
= -0,02803 hay – 2,803% => A
6. One tennis racket is sold in Japanese market at the price of 100JPY, how
much will it cost at the end of 2018 if inflation rate in Japan is 6%. a. 100 b. 110 c. 118 d. 106 Giá x Lạm phát 100 x 6% = 106 => D
7. At the begnining of 2018, USD/JPY =125, during the 2018 inflation rate in
US is 4% and inflation rate in Japan is 6%. What is the expected USD/JPY at
the end of 2018 under the impact of PPP? a. 127,4380 b. 127,0438 c. 127,4038 d. 127,8403
ef = [(1+ Ih) / (1 + If)] – 1
= [(1 + 6%) / (1+ 4%)] – 1 = 0,0192
Cuối năm 2018 sẽ nhận được số tiền là:
125 + (125 x 0,0192) = 127,4 => C Chapter 5:
1. Fred Company borrows $25,000 from the bank for one year. The bank
charges $2,000 in interest that must be paid at the beginning of the loan. What
is the effective interest rate? a. 8.00% b. 8.50% c. 8.70% d. 9.00%
Lãi suất của ngân hàng là: 2.000 / 25.000 = 0,08 hay 8% => A
2. A Swiss firm consider loan in AUD with interest rate in Australia is 7.5%.
There is 25% probability that AUD appreciates in 1% against Swiss franc, 35%
probabilty that AUD appreciates 2% against Swiss franc and the remaining
probability leaves to the situation that AUD appreciates 3% against CAD. What
is the expected effective financing rate if Swiss firm would like to obtain AUD loan? a. 9.5% b. 9.8% c. 10.1% d. 12% = (1 + ) - 1 Loại tiền tệ
% thay đổi tỉ Xác suất thay Lãi suất tài trợ hiệu dụng giá giao ngay đổi tỉ giá giao ngay AUD 1% 25%
(1 + 7,5%) x [(1 + 0,01)] – 1 = 0,08575 AUD 2% 35%
(1 + 7,5%) x [(1 + 0,02)] – 1 = 0,0965 AUD 3% 40%
(1 + 7,5%) x [(1 + 0,03)] – 1 = 0,10725
Ta có: 25% x 0,08575 + 35% x 0,0965 + 40% x 0,10725 = 0,0981125 hay 9,8% => B 3. Assume the information
Interest rate for 1-year loan in USD =15%
Interest rate for 1-year loan in JPY = 9%
The US company needs to borrow $100,000 for 1 year and considers to reduce
the financing cost by foreign borrowing. What is effective financing rate for the
company if company forecast the JPY will appreciate 1% in the future against USD a. 8.5% b. 9.65% c. 10.01% d. 10.09% Loại tiền tệ
% thay đổi tỉ giá Lãi suất hiệu dụng giao ngay Yên Nhật 1%
1,09 x (1 + 0,01) – 1 = 0,1009 hay 10,09% 4. Assume the information
Interest rate for 1-year loan in USD =12%
Interest rate for 1-year loan in JPY = 7%
The US company needs to borrow $100,000 for 1 year and considers foreign borrowing.
What is the total amount the US company pay for its loan in foreign currency if
company forecast the JPY will appreciate 1% in the future against USD? a. $110,090 b. $100,080 c. $108,070 d. None of the above Loại tiền tệ
% thay đổi tỉ giá Lãi suất hiệu dụng giao ngay Yên Nhật 1%
1,07 x (1 + 0,01) – 1 = 0,0807
Số tiền nhận được: 100.000 + (100.000 x 0,0807) = 108.070$ => C
5. A company needs to borrow $150,000 for 1 year and obtains the following information about quotes
Interest rate for a 1-year loan in USD = 16%
Interest rate for a 1-year loan in Swiss franc =7%
Interest rate for a 1-year loan in JPY = 5%
What is the effective financing rate if company borrows only loan in Swiss
franc. The Swiss franc is expected to increase by 3% over the loan life a. 10% b. 10.01% c. 12% d. 10.21%
6. Assume the information about probability distribution for forecasted
exchange rate movement between USD and JPY over the loan life: JPY has
35% of depreciating by 1.5% against USD, 40% of appreciating by 3% and the
last scenario is the appreciation of 6% against USD.
Interest rate for 1-year loan in USD =12%
Interest rate for 1-year loan in JPY = 7%
What is the expected cost incurred by US firm to borrow in foreign currency? a. 11.23% b. 9.327% c. 11.395% d. None of the above Giống câu 2
7. You have the following data: Total current assets = $426, total current
liabilities = $203, long-term debt =$300. Calculate net working capital a. $223 b. $426 c. $126 d. $97
Vốn lưu động ròng = Vốn lưu động – nợ ngắn hạn = 426 – 203 = 223$ => A
8. Company A in US has the short-term demand of $100,000 million in the next
3 months.Assume the exchange rate CAD/USD remains unchanged for the next
3 months. If the USA has 9% interest rate on bank loan and Canada has 7% on
its bank loan? How much the company can save in interest expense if it finances in foreign currency a. $7,000 b. $2,000 c. A and B are incorrect
d. The interest expense is unchanged
Sự chênh lệch lãi suất của hai đồng Canada và Mỹ là: 9% - 7% = 2%
Số tiền: 100.000 x 2% = 2.000$ => B
9. Assume the information, what is the mean effective rate on a portfolio (r ) p
of funds financed 50 percent by Swiss francs and 50 percent by Japanese yen
Mean effective financing rate of Swiss franc for 3 months = 4%.
Mean effective financing rate of Japanese yen for 3 months = 2%.
Standard deviation of Swiss franc’s effective financing rate = .04.
Standard deviation of Japanese yen’s effective financing rate = .09.
Correlation coefficient of effective financing rates of these two currencies = . 10. a. 1% b. 2% c. 3% d. 1.5% rp = Wa x Ra + Wb x Rb = 50% x 4% + 50% x 2% = 0,03 hay 3% => C
10. Assume the information, what
is the variance of a portfolio’s effective
financing rate of funds financed 50 percent by Swiss francs and 50 percent by Japanese yen
Mean effective financing rate of Swiss franc for 3 months = 4%.
Mean effective financing rate of Japanese yen for 3 months = 2%.
Standard deviation of Swiss franc’s effective financing rate = .04.
Standard deviation of Japanese yen’s effective financing rate = .09.
Correlation coefficient of effective financing rates of these two currencies = . 10. a. 0.02605 b. 0.2605 c. 0.000625 d. 0.002605
11. The spot rate of AUD is $0.62. 1 year forward rate of AUD is $0.60. The
Australian 1 year interest rate is 9%. Assume that the forward rate is used to
forecast the future spot rate. Determine the expected effective financing rate
for a US firm that borrows AUD to finance its US business a. 5.90% b. 5.48% c. 5.63% d. 6.72%
12. Assume quoted interest rate in NZ is 9%, NZ dollar appreciates from
0.7$ on the days funds borrowed to $0.765 on the day of loan repayment.
What is the effective financing rate of a 1-year loan from the borrower a. 16.085% b. 19.12% c. 16.7% = (1 + ) - 1
= (1 + 9%) x [1 + (0,765 - ,0,7)/0,7] – 1 = 0,1912 hay 19,12% => B
13. Assume the effective financing rate of loan in NZ$ is 15%, the foreign
interest rate in New Zealand is 6%. What is the expected movement of NZ dollar’s value against USD a. Depreciate 8.5% b. Depreciate 8.0% c. Appreciate 8.0% d. Appreciate 8.5%
Tỷ lệ tài trợ hiệu dụng đk thay đổi tỉ giá hối đoái:
Rf = [(1 + if) x (1+ ef)] – 1
= [(1 + 15%) / (1 + 6%)] – 1 = 0,0849 hay 8,5% => D
14. How much of percentage in changes of the value of AUD against USD
so that the US companies may find indifference with the foreign borrowing,
assume that the US interest rate is 17% and AUD interest rate is 5% a. 11.20% b. 11.43% c. 11.56% d. None of the above
Phần trăm thay đổi trong tỷ giá Ef = [(1+ih)/(1+if)] – 1 = [(1+17%) / (1+5%)] – 1
= 0,11428 hay 11,43% => B
15. Assume that the JPY 1-year interest rate is 5%, while the US 1-year
interest rate is 8%. What percentage change in JPY would cause a US firm
borrowing yen to incur the same effective financing rate as it would finance in USD a. 2.875 b. 2.857 c. 2.758 d. None of the above Giống câu 15
16. What is the maximum point over which the borrowing costs are
indifferent between two countries
Assume the information: home interest rate is 14%, foreign interest rate is 8% a. 5.56% b. 5.65% c. -5.56% d. -5.65%
chi phí bảo hiểm kì hạn: p = [(1+ih)/(1+if)] – 1 = [(1+14%) / (1+8%)] – 1
= 0,05556 hay 5,56% => A
17. Calculate the effective financing rate if there is 15% company will incur
the effective financing rate at 3.68%, 18% at 6.92%, 20% at 9.06%, 20% at 14.48% and 27% at 18.80% a. 11.58% b. 12.01% c. 11.56% d. 12.10% Posibabilit 15% 18% 20% 20% 27% Sum y EFR based 3,685% 9,92% 9,06% 14,48% 18,8% on percentage in currency (E(rf)) Expected 0,55% 1,25% 1,81% 2,9% 5,08% 11,58% value
18. What is the effective financing cost to the company if half of fund is
financed in Swiss and the rest is financed in JPY. Assume that the company is
100% certain about the movement of Swiss franc and JPY over the loan life,
which Swiss franc will expect to increase by 3% and JPY is expected to decrease by 1.5%
The following information about quotes:
Interest rate for a 1-year loan in USD = 16%
Interest rate for a 1-year loan in Swiss franc =7%
Interest rate for a 1-year loan in JPY = 5% a. 6.8175% b. 6.8715% c. 7.2% d. 6.245% Giống câu 2
19. Interest rate in home country is 15%. Interest rate in foreign country is 8%.
Calculate the effective financing rate if the foreign currency appreciates 3% against the domestic currency a. 11.25% b. 11.23% c. 11.24% d. 11.22%
20. Assume that the Swiss franc will appreciate by 2% over the next year,
the 1 year interest rate in USD is 12%. One US company determine the
effective financing rate from its foreign borrowing that is 11%. What is the foreign interest rate a.8.9% b.8.8% c. 8.1% d. 8% ef = 2% , rf = 11% tính if = 8,82%