60.1K

Verified Solution

Link Copied!

please solve using excel spreadsheet and show formulas please thank you

A) On June 1, the 4-month interest rates in Switzerland and the United States were, respectively, 2% and 5% per annum with discrete compounding. The spot price of the Swiss franc was $0.8000/CHF. You took a short position of a CHF forward, CHF 100,000 , delivery on October 1 . One month later on July 1 , threemonth interest rates in Switzerland and the United States were, respectively, 2.5\% and 4.5% per annum with discrete compounding. The spot exchange rate on the Swiss franc is $0.8020/CHF. On July 1 , what is the value of your short position you entered on June 1? Assume the forward contract prices are arbitrage free prices. Use discrete compounding and 30/360 day count. B) On June 1, you took a long forward contract (delivery on December 1) on a dividend-paying stock when the stock price was $30 and the risk-free interest rate (with discrete compounding) is 12% per annum. The amount of the dividends were known as $0.75 on Aug 1, and Nov 1 . It is now September 1 and the current stock price and the risk-free interest rate are, respectively, $31 and 10%. What is the value of your long forward position now? Assume the forward contract prices are arbitrage free prices. Use 30/360 day count method

Answer & Explanation Solved by verified expert

See Answer