GSF — 2104 hiver 2010
Pour l’examen final
Liste d’exercices suggérés dans Madura
Ces exercices s’ajoutent aux exercices de la liste pour l’intra
L’examen final sera CUMMULATIF
EXERCISES DANS LE LIVRE DE MADURA DIXIÈME ÉDITION
CHAPITRE 3: QUESTIONS AND APPLICATIONS: 25.
CHAPITRE 5: SELF TEST: 1, 2, 4ab, 5ab
QUESTIONS AND APPLICATIONS: 2, 3,4, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 18, 23, 25, 29, 33, 39, 41.
CHAPITRE 6 : QUESTIONS AND APPLICATIONS: 1, 2, 3, 4, 6, 11, 12, 19, 23.
CHAPITRE 11: SELF TEST: 1, 2, 3
QUESTIONS AND APPLICATIONS: 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 16, 17, 18, 21, 22, 24, 33, 35, 40, 50.
Madura – SOLUTIONS
Answers to End of Chapter Questions
25. PricingADRs. Today, the stock price of Genevo Company (based in Switzerland) is priced at
SF80 per share. The spot rate of the Swiss franc (SF) is $.70. During the next year, you expect that the stock price of Genevo Company will decline by 3%. You also expect that the Swiss franc will depreciate against the U.S. dollar by 8% during the next year. You own American depository receipts (ADRs) that representGenevo stock. Each share that you own represents one share of the stock traded on the Swiss stock exchange. What is the estimated value of the ADR per share in one year?
ANSWER: Expected value of Swiss stock in 1 year = SF80 x (1 - .03) = SF77.6.
Expected value of Swiss franc in 1 year = $.70 (1 - .08) = $.644
Expected value of ADR in 1 year = SF77.6 x ($.644 per franc) = $49.97.
CHAPTER 52. Using Currency Futures.
a. How can currency futures be used by corporations?
ANSWER: U.S. corporations that desire to lock in a price at which they can sell a foreign currency would sell currency futures. U.S. corporations that desire to lock in a price at which they can purchase a foreign currency would purchase currency futures.
b. How can currency futures be used byspeculators?
ANSWER: Speculators who expect a currency to appreciate could purchase currency futures contracts for that currency. Speculators who expect a currency to depreciate could sell currency futures contracts for that currency.
3. Currency Options. Differentiate between a currency call option and a currency put option.
ANSWER: A currency call option provides the right to purchasea specified currency at a specified price within a specified period of time. A currency put option provides the right to sell a specified currency for a specified price within a specified period of time.
4. Forward Premium. Compute the forward discount or premium for the Mexican peso whose 90-day forward rate is $.102 and spot rate is $.10. State whether your answer is a discount orpremium.
ANSWER: (F - S) / S
=($.102 - $.10) / $.10 × (360/90)
= .08, or 8%, which reflects a 8% premium
6. Hedging With Currency Options. When would a U.S. firm consider purchasing a call option on euros for hedging? When would a U.S. firm consider purchasing a put option on euros for hedging?
ANSWER: A call option can hedge a firm’s future payables denominated in euros. It effectively locks in the maximum price to be paid for euros.
A put option on euros can hedge a U.S. firm’s future receivables denominated in euros. It effectively locks in the minimum price at which it can exchange euros received.
7. Speculating With Currency Options. When should a speculator purchase a call option on Australian dollars? When should a speculator purchase a put option onAustralian dollars?
ANSWER: Speculators should purchase a call option on Australian dollars if they expect the Australian dollar value to appreciate substantially over the period specified by the option contract.
Speculators should purchase a put option on Australian dollars if they expect the Australian dollar
value to depreciate substantially over the period specified by the...