Question 48 of 50

Given USD/EUR = 1.2500 and CAD/USD = 0.8000, what is the CAD/EUR cross-rate?

If USD/JPY = 110.00 and CAD/USD = 1.3000, what is JPY/CAD (yen per Canadian dollar)?

A dealer quotes EUR/GBP spot = 0.8600 and GBP/USD spot = 1.3000. What is USD/EUR (US dollar per euro)?

Spot USD/EUR = 1.15885 and three-month forward points are +80.9 (points scaled to 10,000). What is the three-month forward USD/EUR rate?

Spot GBP/EUR = 0.8920 and expected one-year spot is 0.8893. What is the approximate percentage change in GBP versus EUR (unannualized)?

Spot USD/EUR increases from 1.1500 to 1.2000. What is the percent appreciation of the euro against the US dollar (expressed from USD/EUR quote perspective)?

If USD/CHF spot = 0.9900 and expected one-year USD/CHF = 0.9866, does the Swiss franc appreciate or depreciate versus the US dollar over the year?

Given spot S_f/d = 1.6535, domestic one-year rate rd = 3.50% and foreign one-year rate rf = 5.00%, what is the one-year forward F_f/d using exact covered interest parity?

A dealer quotes GBP/EUR spot = 0.8752 and one-month forward points = -1.4. What is the one-month forward rate (GBP/EUR)?

If a 12-month forward on GBP/EUR is 0.87295 and spot is 0.87520, what are the 12-month forward points (scaled to 10,000)?

With spot S = 1.6555, domestic annual rd = 2.00%, foreign annual rf = 3.00%, and using actual/360 day count, what is the 30-day forward approximately (use tau = 30/360)?

Using the same inputs as previous question but with a 180-day forward (tau = 180/360), what is the approximate forward points (F - S) in absolute terms?

If the interest rate in the price currency country is higher than the interest rate in the base currency country, which is true for the forward price of the base currency?

A quoted EUR/USD spot = 1.1701 and USD/GBP spot = 1.3118. What is GBP/EUR (pounds per euro)?

You compute JPY/CAD = 85.97 from USD/CAD = 1.3020 and JPY/USD = 111.94 by inverting CAD/USD. If another dealer quotes JPY/CAD = 86.20, what is the arbitrage profit per CAD1 if you buy CAD at your computed rate and sell at dealer's quote, ignoring costs?

If EUR/USD spot = 1.15885 and 12-month forward is 1.19532, what are the forward points scaled to 10,000?

For short maturities, the forward points are approximately proportional to which of the following?

An investor can invest 1 unit of domestic currency at rd or convert to foreign at spot S_f/d, invest at rf and sell forward at F_f/d. Under covered interest parity which equality must hold (for convention f/d)?

If spot BRL/MXN = 0.1378 and six-month forward = 0.14193, what are the six-month forward points (scaled to 10,000)?

A three-month forward in CAD/USD is 1.0123 and dealer quotes three-month forward points as a percentage at 6.8 percent. What is the spot CAD/USD?

If the base currency in a forward quote is trading at a forward discount, which statement is true about the forward percentage?

Which of these best explains why forward rates typically cannot be relied upon as accurate point forecasts of future spot rates?

You observe GBP/EUR spot = 0.9000 and one-month forward points quoted as -1.8. Which currency is trading at a forward discount, and why?

Given EUR/USD spot = 1.15885 and three-month forward points +80.9, what is the three-month forward as a percent premium over spot? (Compute (F/S) - 1 as percent.)

A bank quotes MXN/USD spot = 18.8590. What is the USD/MXN (US dollars per peso) reciprocal to four decimal places?

If CAD/USD spot = 1.3020 and USD/JPY = 111.94, compute JPY/CAD (yen per Canadian dollar) using inversion where needed.

A trader finds USD/CHF spot = 0.9900 and EUR/USD spot = 1.1701 and CHF/USD expected to go to 0.9866 in a year. Without computing detailed rates, which currency is expected strongest to weakest over next year among USD, GBP, EUR given USD/EUR declines and USD/GBP declines?

Suppose F_f/d is quoted incorrectly high relative to CIP. An arbitrageur can realize riskless profit by doing which sequence (assume f/d quoting)?

Given spot S = 0.8489 GBP/EUR, 270-day Libor rates r_GBP = 1.325% and r_EUR = 1.370%, compute approximate 270-day forward points (scaled to 10,000). Use actual/360 with tau = 270/360.

If an FX quote lists JPY/EUR = 130.98 (yen per euro) quoted to two decimals, and a forward point is +25 in yen-style pips, what absolute forward amount should be added to the spot?

Which operation is necessary when computing a cross-rate if the intermediary quote is CAD/USD but you need USD/CAD to cancel USD in a formula?

A dealer quotes forward points to one decimal place (e.g., +364.7). Why might forward points be shown with more precision than spot?

If F_f/d / S_f/d = (1 + r_f) / (1 + r_d), rearranging gives the expected percentage change in spot if forward equals expected future spot: %Delta S = (r_f - r_d) / (1 + r_d). If r_f = 5% and r_d = 3.5%, what is %Delta S approximately?

A client wants to lock in receipt of GBP50 million in 32 days. Dealer provides spot GBP/EUR = 0.8752 and one-month forward points -1.4. To hedge, the client should:

If a second dealer offers a 12-month forward discount of 0.30% on the same spot as another dealer who quotes F = 0.87295 GBP/EUR, how could you arbitrage the two dealer forward quotes?

You observe three interbank quotes: CNY/HKD = 0.8422, CNY/ZAR = 0.9149, and CNY/SEK = 1.0218. What is ZAR/HKD (South African rand per Hong Kong dollar)?

Using the previous question's quotes, a second dealer quotes ZAR/SEK = 1.1210 while you compute 1.1168. If you trade SEK1,000,000, what is your arbitrage profit in ZAR (ignoring costs)?

A dealer lists CAD/USD three-month forward = 1.0123 and states forward points as 6.8 percent. How is that 6.8 percent interpreted in relation to the spot rate?

Which of the following statements about forward points is correct?

If spot S_f/d=2.0000, rd = 1% (annual), rf = 4% (annual), and you use tau = 90/360, compute approximate forward premium in absolute terms (F - S).

When converting forward points quoted in pips back to a forward rate for a yen-style quote (two decimal places), which divisor should be used?

A cross-rate inconsistency exists that yields a small arbitrage. Why are such opportunities rare and short-lived in real FX markets?

Which of the following is a correct statement concerning quoting conventions in the professional FX market?

If spot EUR/CHF = 1.1584 and expected one-year EUR/CHF = 1.1463, what is the direction of CHF movement relative to EUR?

A forward points quote for USD/EUR is +175.6 for six months and +364.7 for 12 months. What explains the larger absolute points at longer maturity?

If you have three exchange rates and need a fourth cross-rate, which of the following is true in general?

A trader converts USD 1,000,000 to CAD at spot CAD/USD = 1.3000, invests CAD at CAD Libor and hedges by selling CAD forward for USD at the forward rate. This combined transaction is known as:

Which of the following best summarizes covered interest parity's practical implication for forward rates?

Which practical step should a market participant take when asking for a quote in a cross-rate not commonly traded on their desk?