Switch to the same pricing method
New york foreign exchange market: USD 1 = Deutsche Mark1.5100-1.510.
Frankfurt market: Deutsche Mark1= ~ (1/2.3060)-(1/2.3050)
London foreign exchange market: 1 = USD1.5600-1.5610.
Exchange rate multiplier (available middle price):
[( 1.5 100+ 1.5 1 10)/2]*[ ( 1/2.3060+ 1/2.3050)/2]*[ ( 1.5600+ 1.56 10)/2]= 1.02240
Is not equal to, can arbitrage, 1 above, the practice is to change dollars into German marks in new york market, and then into pounds in Frankfurt, and then into dollars in London, minus the original investment of dollars, making a profit:
100000 *1.5100 */2.3060 *1.5600-100000 = 2150.
2. When the forward price is less than the spot price, the pound depreciates, while the interest rate of the pound is lower than the dollar, which is contrary to the interest rate parity. The currency with high interest rate depreciates in the forward price. In other words, spreads can be arbitrage at the same time.
Calculate the swap annual interest rate:
(2- 1.8)* 100%/2= 10%.
According to the preliminary judgment, the arbitrage profit is:10000 * (10%+2%) =1200.
Practice: convert 65,438+00,000 pounds into US dollars on the spot, invest in US dollars for 65,438+0 years, and sign a long-term agreement to sell the principal and interest of US dollars for 65,438+0 years. When it expires, the principal and interest of the US dollar investment will be recovered, converted into pounds through the contract, and the opportunity cost of 65,438+00,000 pounds will be deducted, which is the profit:
10000 * 2 * ( 1+ 10%)/ 1.8- 10000 * ( 1+8%) = 1422.22.
Yield:1422.22 *100%/10000 =14.22%.
According to the meaning of the title, the title should be "an American enterprise signed an export contract with foreign countries in early March, and the payment amount was 654.38 billion Deutsche Mark, which was paid three months later", not six months later.
If the payment in Mark is received at sight, the payment amount will be 10000000/2 USD.
If hedging is not done, the collection will be made in June, and the collection amount will be 10000000/2.5 USD.
Futures hedging, 1 100 million mark is exactly eight mark futures contract.
At the same time of signing the export contract, the enterprise sold eight mark futures contracts (the price was 0.47 USD/1 DM), and the contract amount was 1 100 million DM, which was equivalent to 65,438 USD +0000000000 * 0.47 USD, and paid a deposit of 8*2025 USD. In June, it closed the futures, that is, it bought eight mark futures contracts (.
Spot market: loss of mark depreciation:1000000/2-10000000/2.5 =100000 USD.
Futures market: profit from the devaluation of the mark:10000000 * 0.47-10000000 * 0.37 =100000 USD.
Through futures hedging, the losses in the spot market are offset by the gains in the futures market, so as to achieve the purpose of hedging (the three-month investment income of $ 8*2025 is not considered here).