1. A fund manager expects a surge in the Turkish stock market in a month and wishes to invest $10 million. However, because he is uncertain about the direction of the USD/TRY exchange rate, he does not want to accept exchange rate risk. He plans to employ forward swap to eliminate the exchange risk. On the other hand, a Turkish bank anticipates a USD/TRY depreciation at the end of the month and has agreed to a swap contract with the fund. Spot Exchange Rate Today USD/TRY 28.10-28.50 Based on quotation information above, what is the swap exchange rate? a) 28.90 TRY b) 29.9 TRY c) 29.40 TRY d) 29.20 TRY Swap Points 70/90(30 days)
1. A fund manager expects a surge in the Turkish stock market in a month and wishes to invest $10 million. However, because he is uncertain about the direction of the USD/TRY exchange rate, he does not want to accept exchange rate risk. He plans to employ forward swap to eliminate the exchange risk. On the other hand, a Turkish bank anticipates a USD/TRY depreciation at the end of the month and has agreed to a swap contract with the fund. Spot Exchange Rate Today USD/TRY 28.10-28.50 Based on quotation information above, what is the swap exchange rate? a) 28.90 TRY b) 29.9 TRY c) 29.40 TRY d) 29.20 TRY Swap Points 70/90(30 days)
Chapter5: Currency Derivatives
Section: Chapter Questions
Problem 4SBD
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