1. XYZ Corp. holds a forward contract to purchase 100,000 aims in 60 days at a rate of $.0.139. The spot rate for cures is 50.90. The contract is worth 51.046.49 now. What is the market value of the contract? What is the notional amount?
2. Suppose Sara wants to purchase crude oil futures. The market data show that the last trade price is $52.57, current bid is $52.63, and current ask is $52.70.
a. Explain the meaning of bid and ask prices.
b. Sara wants to buy the contracts at no higher than $52.65 so she submitted a limit order at $52.65. Will her order be executed immediately? Why?
3. (Forward Price) Solve for the price of a forward contract on a generic asset that expires on September 10 whose spot price as of June 10 is $45, assuming that the annually compounded risk-free rate is 6.01 percent.
4. (Foreign Currency Forward) The spot price of a euro in dollars is 50.9319. The U.S. interest rate (dollar LIBOR) for 90 days is 6.86875% and the euro rate (called EURIBOR) for 90 days is 4.467%. All interest calculations are done in the standard Eurodollar way, which is rate time's dayrJ360. Determine the rate for a forward contract on the euro expiring in 90 days.
5. (Foreign Currency Forward) A company called American Banking and Trading has entered into a long forward contract to buy 10 million British pounds at a price of S 1.55. The contract has five months to go. The spot rate is currently $1.62. The British interest rate is 2.25% and the U. S. interest rate is 2.65%. Interest is calculated in the Eurodollar (add-on) manner. Determine the value of the contract.
6. (Foreign Currency Forward) Given the information below, find the price of one-year forward on British pound:
Spot rate for British pound: $1A796
U. S. interest rate (one year): 3.25%
U. K. interest rate (one year): 2.75%
7. (Foreign Currency Forward) Suppose a party holds a contract to purchase 100,000 euros in 36 days at a rate of $0.90. The spot rate for euros is $0.92. The U. S. interest rate is 3.5% and the euro interest rate is 3%. What is the value of the contract?