SOME EXTRA QUESTIONS. Good work, Jean-Pierre

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SOME EXTRA QUESTIONS Good work, Jean-Pierre 1 Calculate the Outright 5 months ( 151 days) using a spot at 15,2356 and forward points of 111 in the 3 months ( 91 days) and forward points of 154 in the

1 SOME EXTRA QUESTIONS Good work, Jean-Pierre 1 Calculate the Outright 5 months ( 151 days) using a spot at 15,2356 and forward points of 111 in the 3 months ( 91 days) and forward points of 154 in the 6 months ( 182 days) A 15,2231 B 15,2217 C 15,2495 D 15, Calculate the Outright 5 months ( 151 days) using a spot at 1,1415 and forward points of -15 in the 3 months ( 91 days) and forward points of -21 in the 6 months ( 182 days) A 1,1432 B 1,1434 C 1,1396 D 1,1398

2 3 What are the cross swap points DKK/CHF provided by a MM combining the USD/DKK spot at 5,8445 (swap 10 to 16) and the USD/CHF spot at 1,22605 (swap -95 to -90) A -543,06 to -506,53 B -16,82 to -15,76 C 360,73 to 385,40 D 9,94 to 10,66 4 What are the cross swap points GBP/AUD provided by a MM combining the GBP/USD spot at 1,54025 (swap -70 to -65) and the AUD/USD spot at 0,5355 (swap -38 to -35) A -95,75 to -88,49 B -10,04 to -6,95 C 57,65 to 83,32 D 131,48 to 142,40 5 What are the cross swap points NOK/DKK provided by a MM combining the USD/NOK spot at 7,8355 (swap 340 to 380) and the USD/DKK spot at 5,8445 (swap 10 to 16) A 2065,83 to 2346,89 B -34,73 to -30,19 C 54,49 to 62,71 D -1,11 to -0,98 6 What are the cross swap points EUR/CHF provided by a MM combining the EUR/USD spot at 1,2805 (swap -70 to -65) and the USD/CHF spot at 1,22605 (swap -95 to -90) A -206,81 to -194,35 B -25,72 to -18,04 C 19,72 to 28,13 D 79,84 to 85,02

3 7 The mid spot is : 4,38. What are the FORWARD/FORWARD Prices EUR/CURR provided by a MM starting in 1 MONTH (swap 5 to 7) and ending in 3 MONTHS (swap 12 to 15) A 1/3 Fwd/Fwd EUR/CURR swap points is : 7 to 8 forward starting at : 4,3805-4,3807 ending at : 4,3814-4,3813 B 1/3 Fwd/Fwd EUR/CURR swap points is : 5 to 8 forward starting at : 4,3805-4,3807 ending at : 4,381-4,3815 C 1/3 Fwd/Fwd EUR/CURR swap points is : 5 to 10 forward starting at : 4,3805-4,3807 ending at : 4,3812-4,3815 D 1/3 Fwd/Fwd EUR/CURR swap points is : 5 to 10 forward starting at : 4,3805-4,3807 ending at : 4,381-4, The mid spot is : 4,38. What are the FORWARD/FORWARD Prices EUR/CURR provided by a MM starting in 1 MONTH (swap 5 to 7) and ending in 12 MONTHS (swap 15 to 20) A 1/12 Fwd/Fwd EUR/CURR swap points is : 8 to 13 forward starting at : 4,3805-4,3807 ending at : 4,3813-4,382 B 1/12 Fwd/Fwd EUR/CURR swap points is : 8 to 15 forward starting at : 4,3805-4,3807 ending at : 4,3815-4,382 C 1/12 Fwd/Fwd EUR/CURR swap points is : 8 to 15 forward starting at : 4,3805-4,3807 ending at : 4,3813-4,3822 D 1/12 Fwd/Fwd EUR/CURR swap points is : 10 to 13 forward starting at : 4,3805-4,3807 ending at : 4,3817-4, The mid spot is : 4,38. What are the FORWARD/FORWARD Prices EUR/CURR provided by a MM starting in 2 MONTHS (swap 9 to 12) and ending in 3 MONTHS (swap 12 to 15) A 2/3 Fwd/Fwd EUR/CURR swap points is : 3 to 3 forward starting at : 4,3809-4,3812 ending at : 4,3815-4,3812 B 2/3 Fwd/Fwd EUR/CURR swap points is : 0 to 3 forward starting at : 4,3809-4,3812 ending at : 4,3809-4,3815 C 2/3 Fwd/Fwd EUR/CURR swap points is : 0 to 6 forward starting at : 4,3809-4,3812 ending at : 4,3809-4,3818 D 2/3 Fwd/Fwd EUR/CURR swap points is : 0 to 6 forward starting at : 4,3809-4,3812 ending at : 4,3812-4, What is the cross price EUR/GBP provided by a MM combining the EUR/USD at 1,28 to 1,281 and the GBP/USD at 1,4985 to 1,499 A 1,9181 to 1,9202 B 1,1698 to 1,1711 C 0,8539 to 0,8549 D 0,5208 to 0, What is the cross price EUR/AUD provided by a MM combining the EUR/USD at 1,28 to 1,281 and the AUD/USD at 0,535 to 0,536 A 0,6848 to 0,6866 B 0,4176 to 0,4188 C 2,3881 to 2,3944 D 1,4564 to 1,4603

4 12 What is the cross price CHF/NOK provided by a MM combining the USD/CHF at 1,2258 to 1,2263 and the USD/NOK at 7,835 to 7,836 A 9,6041 to 9,6093 B 6,3891 to 6,3926 C 0,1564 to 0,1565 D 0,1041 to 0, A bank buys 10 mio EUR/USD at 1,1212 and 15 mio at 1,1212 and after sells 15 mio EUR/USD at 1,1215 and 5 mio at 1,1209. What's its final position? A The bank is short of 5 mio EUR at 1,1206 B The bank is long of 5 mio EUR at 1,1206 C The bank is long of 5 mio EUR at 1,1212 D The bank is long of 5 mio USD at 1, Using the following market prices, what are the swap prices (left-right) 4 months Deposit EUR 2,12-2,15, USD 1,92-1,96 on 122 days with a spot of 1,2208 A 9,4466-6,5722 B 7,8037-8,2153 C 1,6439-1,2323 D 9,4466-8, Using the following market prices, what are the swap prices (left-right) 6 months Deposit EUR 2,17-2,20, USD 2,00-2,04 on 182 days with a spot of 1,2208 A 2,4435-1,8315 B 12, ,3782 C 9, ,3782 D 12,2079-7, Using the following market prices, what are the swap prices (left-right) 1 month Deposit EUR 2,04-2,07, USD 1,76-1,80 on 30 days with a spot of 1,2208 A 2,3359-3,1483 B 3,1483-2,4375 C 3,2534-3,1483 D 0,4063-0, The swap 6 M (182 days) USD / CAD is (spot 1,2905) YOUR BANK WANTS TO KNOW HOW TO GET 6 's USD using the OFFER 6 's CAD AT 2,65 A 2,1058 B 2,0407 C 2,0460 D 2,0769

5 18 The swap 1 M (30 days) CHF / CAD is 14,77 15,13 (spot 1,01855) YOUR BANK WANTS TO KNOW HOW TO GET 1 's CAD using the OFFER 1 's CHF AT 0,56 A 2,3431 B 2,3756 C 2,3009 D 2, The swap 3 M (91 days) AUD / NZD is 31,17 32,29 (spot 1,05777) YOUR BANK WANTS TO KNOW HOW TO LOSE 3 's AUD using the BID 3 's NZD AT 6,5 A 5,1877 B 5,2764 C 5,3187 D 5, The swap 9 M (273 days) EUR / GBP is 138,12 139,33 (spot 0,6803) YOUR BANK WANTS TO KNOW HOW TO GET 9 's GBP using the OFFER 9 's EUR AT 2,29 A 5,0752 B 5,0377 C 5,1077 D 5, Using the following rates, calculate the value-tomorrow rate for GBP/USD spot : 1,8011-1,8115 and T/N : ¾ A 1,8014-1,8119 B 1,8008-1,8111 C 1,8007-1,8112 D 1,8015-1, Using the following rates, calculate the value-tomorrow rate for USD/NOK spot : 7,835-7,8354 and T/N : 6/8 A 7,8356-7,8362 B 7,8344-7,8346 C 7,8342-7,8348 D 7,8358-7, In a Time (delivery) option forward contract, the client can? A Decide to deal at the initial contracted forward price or at the current spot price at the beginning of the contract B Can make multiple partial deliveries during the contract C Decide not to deliver the contracted amount D All of these

6 24 The spot date is 12/1 and the spot EUR/USD is 1,22. A client wants to buy 1 Million EUR/USD in a time (delivery) option forward contract starting the 12/3 and ending the 12/5 : the EUR is at a forward premium, the forward points on the 12/3 are 45 and on 12/5 are 102 A 1,2155 B 1,2245 C 1,2098 D 1, A bank has a short LIBOR floating six month position during three years; what is the best hedge? A Buy a cap B Buy a floor C Sell a cap D Sell a floor 26 An option trader is short of a 10 millions EUR/USD call, delta 0,60, what would be a delta hedging? A buy 6 millions EUR/USD B sell 6 millions EUR/USD C buy 4 millions EUR/USD D sell 4millions EUR/USD 27 A trader is long of 5 millions EUR/GBP and wants a delta hedging at the money, what has he to trade? A buy 10 millions EUR/GBP call B buy 5 millions EUR/GBP call C buy 10 millions EUR/GBP put D buy 5 millions EUR/GBP put 28 A bank buys a one year interest rate cap (3 month Euribor, strike 3,50%). The cost is 40 bp. What is the quaterly break-even of this cap? A 3,10 B 3,90 C 3,60 D 3,50 29 What is the amount to be paid for the buyer of a call EUR/CAD, premium 1,8% of the underlying in EUR 10,000,000 A EUR 180,000 B CAD 180,000 C EUR 18,000 D CAD 18,000

7 SOLUTIONS 1 C Linear approach --> 60 days divided by 91 days times the difference in fwds ( ) plus the first fwd and the spot ( 15, *10,000 ) = 15, C Linear approach --> 60 days divided by 91 days times the difference in fwds ( ) plus the first fwd and the spot ( 1, *10,000 ) = 1,139 3 B -16,82 to -15,76 4 C 57,65 to 83,32 5 B -34,73 to -30,19 6 A -206,81 to -194,35 7 C 1/3 Fwd/Fwd EUR/CURR swap points is : 5 to 10 forward starting at : 4,3805-4,3807 ending at : 4,3812-4, B 1/12 Fwd/Fwd EUR/CURR swap points is : 8 to 15 forward starting at : 4,3805-4,3807 ending at : 4,3815-4,382 9 D 2/3 Fwd/Fwd EUR/CURR swap points is : 0 to 6 forward starting at : 4,3809-4,3812 ending at : 4,3812-4, C 0,8539 to 0, C 2,3881 to 2, B 6,3891 to 6, B The bank is long of 5 mio EUR at 1, A Left : Sub cash bid with Main offer and right : Sub cash offer with sub bid 15 D Left : Sub cash bid with Main offer and right : Sub cash offer with sub bid 16 B Left : Sub cash bid with Main offer and right : Sub cash offer with sub bid 17 D 2, A 2, B 5, C 5,1077

8 21 C The ante spot value is the result of the crossing soustraction of the swap points at the spot value. Here we have 1,8011-(4/10000) to 1,8115-(3/10000) 22 C The ante spot value is the result of the crossing soustraction of the swap points at the spot value. Here we have 7,835-(8/10000) to 7,8354-(6/10000) 23 A The client has to deliver the contracted amount, must trade at the original agreed forward price but has the right to make multiple partial deliveries 24 D The EUR is at a forward premium : the forward points have to be added to the spot price. The quote will be the most favourable rate for the bank. The bank sells the EUR and so the bank will sell it at the highest price of the contract period against the USD 25 A If the bank is short at the Libor, the risk lies in the increase in interest rates : the bank has to buy a cap 26 A Delta Hedging : - 10 * 0,60 => + 6 Millions in EUR/USD 27 C Delta Hedging : + 5 Millions * 1 => - 5 Millions / 0,50 in EUR/GBP (= 10 Millions long put) 28 C 3,50 + (0,40 / 4) = 3,60 29 A The underlying is the EUR/CAD : expressed in % and without any other information, the premium is in % of the main currency

FX Long-term valuation G10 currencies

FX Long-term valuation G10 currencies 17 February 2017 GBP: By far, Sterling is the most undervalued of G10 currencies, in trade weighted terms standing almost 20% below its long-term fair value (LTFV)