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国金作业5
Questions
2. What is the difference between the retail or client market and the wholesale or interbank market for foreign exchange?

3. Who are the market participants in the foreign exchange market?

5. What is meant by a currency trading at a discount or at a premium in the forward market?

6. Why does most interbank currency trading worldwide involve the U.S. dollar?

7. Banks find it necessary to accommodate their clients’ needs to buy or sell FX forward, in many instances for hedging purposes. How can the bank eliminate the currency exposure it has created for itself by accommodating a client’s forward transaction?

8. A CD/$ bank trader is currently quoting a small figure bid-ask of 35-40, when the rest of the market is trading at CD1.3436-CD1.3441. What is implied about the trader’s beliefs by his prices?

9. What is triangular arbitrage? What is a condition that will give rise to a triangular arbitrage opportunity?

Problems
1. Using the American term quotes from Exhibit 5...

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Keywords

-1.3436 -1.3442 -1.3463 -1.3508 -35 -40 -70 /sf /sfr 0 0.1 0.2 0.3 0.7627 0.8 000 1 1.00 1.1440 1.3431 1.3432 1.3448 1.3488 1.3751 1.3765 1.5960 1.6287 1.6300 1.7225 1.8215 10 1000 10000 104 11 12.5 123577 124 13 14 146 15 16 168 17 18 2 20 20000 2007 2008 2009 2013 205 21 23 3 35 4 400 5 5.4 5.6 5000 52 6 6135 6140 6395 64.8 65 65000 68.5 7 70.0 71.3 71.7 72.8 7265 7272 73 74 8 82 89 9 98 accommod adjust allow american angel appli apr april arbitrag ask assign assum attend attract aug australian avail averag b bank base batteri belief bernard better bid bid-ask bill british buy c calcul capit cd cd1.3436-cd1.3441 chang client comput condit conduct constant cost creat credit cross cross-rat currenc current cut d data date david day dec deutsch diagon differ direct discount disneylik dollar dollar/swiss dollar/u.s doug dresdner due elimin energi euro european exchang exhibit exponenti exposur fall feb februari figur find firm follow forecast foreign forward franc franc/dollar fx give given go go-kart happen heaviest hedg hour ignor impli inc incom indic inform initi input instanc interbank involv jan januari japanes juli june kart labor labor-hour law learn los mad make manag mani manufactur mape mar march market materi matrix may meant method month move multifactor necessari need new newest next notic nov nzd/sgd oct offer one one-month oper opportun outright part particip per perform period point portion pound premium presid price problem produc product profit project purpos q1 q2 q3 q4 quarter/year question quot quotat rate raw recent reduc resolv resourc rest restat result retail rise sale screen season select sell sep septemb sf1.1806 sfr sfr1.5971 show similar singapor six six-month small smith smooth special spot spread spring step suiss summer swiss take telco term termin three three-month tire trade trader transact trend trend-adjust triangular u.s ub upton use vacat weight wesson wholesal winter without world worldwid would yen zealand 国金作业5 运作管理作业