solution
solution.
AUD/NZD = 1.04 in the spot market and 1.06 in the one-year froward market.
a. The one-year AUD interest rate is lower than that of NZD
b. None of the above.
O c. The one-year AUD interest rate is the same as that of NZD
O d. The one-year AUD interest rate is higher than that of NZD
You bought 1 million 1-year CNY/MOP forward six months ago at a rate of 1.20. The current spot rate is 1.25 and the one year interest rate in Macao is 0% per year and that in China is 2% per year. What is your profit or loss on this position? Rates are continuously compounded. D
a. 0.0625 million MOP
b. 0.03756 million MOP
O c.0.5 million MOP
d. -0.03756 million MOP
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