Forex Transaction exercise - Tài liệu tham khảo | Đại học Hoa Sen

FOREX TRANSACTION Assignment 1
At time G, the international forex markets had the following exchange rates:
NewYork : EUR/USD : 1.2264 – 1.2300
Zurich : EUR/CHF :1.2003 – 1.2030 USD/CHF :0.9818 – 0.9840
London : GBP/USD : 1.5603 – 1.5649 GBP/EUR : 1.2764 – 1.2780
If you had 100 million EURs, how would you ultilize arbitrage between 2 forex markets to
get profit? Calculate the profit in this case. 1/
NewYork : EUR/USD : 1.2264 – 1.2300
Zurich: EUR/USD: 1.219817-1.2253
First, using 100,000,000 EUR to buy USD in Newyork with Bid price: 100,000,000 x 1.2264 = 122,640,000 USD
Next, using 122,640,000 USD to buy EUR in Zurich with Ask price: 122,640,000 / 1.2253 = 100,089,773.9 EUR
 Profit = 100,089,773.9 - 100,000,000 = 89,773.9 EUR 2/
NewYork : EUR/USD : 1.2264 – 1.2300
London: EUR/USD: 1.220892-1.226026
First, using 100,000,000 EUR to buy USD in Newyork with Bid price: 100,000,000 x 1.2264 = 122,640,000 USD
Next, using 122,640,000 USD to buy EUR in London with Ask price: 122,640,000 / 11.226026 = 100,030,505.1 EUR
 Profit = 100,030,505.1- 100,000,000 = 30,505.1 EUR Assignment 2
At time G, we noticed the exchange rates in international forex markets as following:
Paris : EUR/JPY : 97.3525 – 97.4550
London: EUR/CHF : 1.1960 – 1.1990
Singapore: EUR/SGD: 1.5389 – 1.5420
In Tokyo forex market, we had the following exchange rates CHF/JPY: 81.302 – 81.360 SGD/JPY: 63.413 – 63.429
If you had 100 million EURs, how would you use arbitrage between 3 markets to get profit?
Calculate the profit in this trading. 1/
Paris : EUR/JPY : 97.3525 – 97.4550
London: EUR/CHF : 1.1960 – 1.1990 CHF/JPY: 81.302 – 81.360
First, using 100,000,000 EUR to buy CHF in London with Bid price: 100,000,000 x 1.1960 = 119,600,000 CHF
Next, using 119,600,000 CHF to buy JPY in Tokyo with Bid price: 119,600,000 x 81.302 = 1,471,058.523 JPY
Finally, using 1,471,058.523 JPY to buy EUR in Paris with Ask price: 1,471,058.523 / 97.4550 = 143,362,008.3 EUR
Profit = 143,362,008.3 - 100,000,000 = 43,362,008.3 EUR 2/
Paris : EUR/JPY : 97.3525 – 97.4550
Singapore: EUR/SGD: 1.5389 – 1.5420 SGD/JPY: 63.413 – 63.429
First, using 100,000,000 EUR to buy SGD in Singapore with Bid price: 100,000,000 x 1.5389 = 153,890,000 SGD
Next, using 153,890,000 SGD to buy JPY in Tokyo with Bid price: 153,890,000 * 63.413= 9,758,626,570 JPY
Finally, using 9,758,626,570 JPY to buy EUR in Paris with Ask price: 9,758,626,570 / 97.4550 = 100,134,693.7 EUR
Profit = 100,134,693.7 - 100,000,000 = 134,693.7 EUR 3/
London: EUR/CHF : 1.1960 – 1.1990
Singapore: EUR/SGD: 1.5389 – 1.5420
Tokyo: CHF/SGD=1.281779628-1.283017678
First, using 100,000,000 EUR to buy SGD in Singapore with Bid price: 100,000,000 x 1.5389 = 153,890,000 SGD
Next, using 153,890,000 SGD to buy CHF in Tokyo with Ask price: 153,890,000 / 1.283017678 =
Finally, using 119,943,787.7 CHF to buy EUR in London with Ask price: 119,943,787.7 / 1.1990 = 100,036,520.2 EUR
Profit = 100,036,520.2 - 100,000,000 = 36,520.2 EUR Assignment 3
ACB has the exchange rates and interest rates as following. Use the forward exchange rate
formula to calculate the forward exchanre rates to fill in the below sheet Fb b + Sb x n x (r −r ) A / B
= SA/B A/B depositB borrowA Fs s + s −r ¿ A / B = SA/B S xn A / B x ( rborrowB depositA Exchange rate Ask rate Bid rate USD/VND 22,840 22,855 EUR/VND 25,471 25,500 GBP/VND 32,520 32,560 Lãi suất Deposit interest Loan Interest rate rate USD 1.75%/year 6.5%/year EUR 2%/year 7.5%/year GBP 1.5%/year 5.5%/year VND 0.75%/month 1.1%/month Forward Exchange rate Ask rate Bid rate USD/VND for 3 months 22,982 23,509 EUR/VNDfor 6 months 25,662 26,928 GBP/VND for 12 months 33,658 36,369 Assignment 4
On 15th July 2020, at HSBC HCM Branch quoted the exchange rates and interest rates as following: USD/VND: 22,850 – 22,900 EUR/VND : 25,540 – 25,590 GBP/VND : 32,540 – 32,590 Currency Loan Interest Deposit Interest VND 12%/year 9%/year USD 7%/year 2%/year GBP 6.5%/year 1.75%/year EUR 5%/year 1.5%/year
On that date, the bank conducted some forex transactions as following:
Operation 1: Bought at spot rate 150,000 USD from Anpha company and settled the transaction by VND. USD/VND: 22,850 – 22,900
150,000 * 22,900 = 3,435,000,000 VND
Operation 2: Deducted VND from VND account of Beta company to sell at spot exchange rate 50,000 EURs. EUR/VND : 25,540 – 25,590
50,000 * 25,590 = 1,279,500,000 VND
Operation 3: Mr Brown bought 10,000 GBP to transfer money to his son. Mr Brown settle the transaction by VND. GBP/VND : 32,540 – 32,590
10,000 * 32,590 = 325,900,000 VND
1/ Calculate the amount of VND HSBC HCM city Branch got or paid in each above transactions? Currency Loan Interest Deposit Interest VND 12%/year 9%/year USD 7%/year 2%/year GBP 6.5%/year 1.75%/year EUR 5%/year 1.5%/year
Operation 4: HSCB sold 50,000 USDs to Delta company with 3 month forward exchange rate. USD/VND: 22,850 – 22,900
Bid rate of USD/VND for 3m =22,850 + (22,850 x 3/12 x (9%- 7%)) = 22964.25
Ask rate of USD/VND for 3m =22,900 + (22,900 x 3/12 x (12% - 2%)) = 23472.5
50,000 x 22964.25= 1,148,212,500 VND
Operation 5: the bank bought 30,000 EURs from Ensure company with 4 month forward exchange rate. EUR/VND : 25,540 – 25,590
Bid rate of USD/VND for 4m =25,540 + (25,540 x 4/12 x ( 9% - 5%)) = 25,880.53333
Ask rate of USD/VND for 4m = 25,590+ ( 25,590 x 4/12 x (12% -1.5%)) = 26,485.65
30,000 x 26,485.65= 794,569,500 VND
Operation 6: Fomara Company bought 20,000 GBP with 6 month forward exchange rate. GBP/VND : 32,540 – 32,590
Bid rate of USD/VND for 6m =32,540+ (32,540x 6/12 x ( 9% - 6.5% )) = 32,946.75
Ask rate of USD/VND for 6m =32,590+ (32,590x 6/12 x (12% - 1.75%)) = 34,260.2375
20,000 x 34,260.2375 = 685,204,750 VND
2/ Indentify the amount of VND the bank got or paid in each above transactions. Assignment 5
On 20th July, 2020, there are some forex transaction at Hong Leong Bank VN as following:
1/ Gedo company sold 500,000 USDs to get VND for domestic payments. Indentify the
amount of VND Hong Leong Bank VN paid to Gedo. USD/ VND: 22,980 – 22,995.
500,000 x 22,980 = 11,490,000,000 VND
2/ Marah Company needed to exchange 100,000 USDs to GPBs to pay for the importing
commodities. Calculate the amount of GBP the company received. USD/ VND: 22,980 – 22,995. GBP/VND: 32,515 -32,540.  GBP/USD: 1.4140-1.4160
100,000 / 1.4160 = 70,621.46893
3/ On 20th September, 2020, Masan company needed 150,000 USDs to pay to their importing
goods. So Masan company signed a forward contract to buy this amount of USDs from the
bank. Calcuate the amount of VNDs Masan had to pay to the bank in this forward transaction on 20th September, 2020. USD/ VND: 22,980 – 22,995
Interest rate of USD : 2.5%/year – 7%/year VND : 8.4%/year – 14.4%/year
Bid of USD/ VND for 2m: 22,980 + (22,980 x 2/12 x (8.4% - 7%)) = 23033.62
Ask of USD/ VND for 2m: 22,995 + (22,995 x 2/12 x (14.4% - 2.5%)) = 23451.0675
150,000 x 23451.0675= 3,517,660,125 VND
We have the following information
The spot exchange ratea and interest ratea on 20 July, 2020 of Hong Leong Bank as following: USD/ VND: 22,980 – 22,995. EUR/VND : 25,480 – 25,510 GBP/VND: 32,515 -32,540.
Interest rate of USD : 2.5%/năm – 7%/năm.
Interest rate of EUR : 1.5%/year – 6%/ year
VND : 0.7%/month – 1.2%/month. Assignment 6
In order to give 400,000 GPB loan to Bewlen Company with loan interest of 6.5%/year, ACB
exchange USDs to GPBs with VCB on the interbank market.
In order to hedge against the exchange rate variation, ACB also signs a 3 month forward
contract to sell the amount of GPB got from the loan to VCB for USD. Indentify the the
amount of USD ACB will get after those transactions.
The spot exchange rates and interest rates of VCB are quoting as following: USD/VND : 22,820 – 22,850 GBP/VND: 32,650 – 32,710 USD: 1.8%/year – 4%/year GBP: 1.2%/year – 3.5%/year  GPB/USD: 1.4289-1.4334
ACB buy 150,000 CHF from VCB at spot exchange rate, they have to pay 150,000 x 1.4334= 215,010 VND
ACB make a loan of 150,000 CHF Bewlen Company with loan interest of 6.5%/. After 3 month they will get
150,000 +150,000 x 6.5% x 3/12 = 152,437.5 CHF
ACB sell the amount and interest of the loan to VCB at 3-month forward exchange
rate, the amount of VND they will receive: USD: 1.8%/year – 4%/year GBP: 1.2%/year – 3.5%/year GPB/USD: 1.4289-1.4334
 GPB/USD for 3m: 1.4228-1.4434
152,437.5 x 1.4228 = 216,888.075 USD