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3899Implied FX Basis 4Define an FX basis spread b by F 0=S 0e (r d-r f-b)T . If spot is 7.2, observed forward is 7.06, domestic rate is 0.015, foreign rate is 0.025, and maturity is 1.5, what is the implied basis b?金融与交易中等derivation未尝试面试订阅3901Covered Arbitrage Direction 1Spot is 1.1, the domestic rate is 4.00%, the foreign rate is 1.00%, maturity is 1 years, and the market forward is 1.16 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?金融与交易中等derivation未尝试面试订阅3902Covered Arbitrage Direction 2Spot is 145, the domestic rate is 2.00%, the foreign rate is 0.50%, maturity is 0.5 years, and the market forward is 144.5 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?金融与交易中等derivation未尝试面试订阅3904Covered Arbitrage Direction 4Spot is 1.35, the domestic rate is 1.00%, the foreign rate is 4.00%, maturity is 1.5 years, and the market forward is 1.26 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?金融与交易中等derivation未尝试面试订阅3905Covered Arbitrage Direction 5Spot is 109, the domestic rate is 1.50%, the foreign rate is 0.50%, maturity is 1 years, and the market forward is 111 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?金融与交易中等derivation未尝试面试订阅3906Domestic Cash Needed for a Covered FX Hedge 1You must lock in the domestic-currency cost of buying 10000000 units of foreign currency at time 1. Spot is 1.1, domestic rate is 0.04, and foreign rate is 0.01 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3907Domestic Cash Needed for a Covered FX Hedge 2You must lock in the domestic-currency cost of buying 5000000 units of foreign currency at time 0.5. Spot is 145, domestic rate is 0.02, and foreign rate is 0.005 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3909Domestic Cash Needed for a Covered FX Hedge 4You must lock in the domestic-currency cost of buying 8000000 units of foreign currency at time 1.5. Spot is 7.2, domestic rate is 0.015, and foreign rate is 0.025 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3911Why CIP Is Just Cash-and-Carry in Two CurrenciesWhy is covered interest parity best viewed as a two-currency version of cash-and-carry arbitrage?金融与交易中等essay未尝试面试订阅3912Why Quote Direction Matters So MuchWhy do many otherwise careful quant candidates make sign mistakes in FX forward questions?金融与交易中等essay未尝试面试订阅3913Why CIP Breaks in Stressed MarketsIf CIP is a no-arbitrage relation, why can markets still exhibit a persistent cross-currency basis?金融与交易中等essay未尝试面试订阅3914Why a Hedger Cares More About Locked Cost Than ForecastWhy does an importer using FX forwards often care more about locking the domestic purchase cost than about whether the forward is an unbiased forecast of spot?金融与交易中等essay未尝试面试订阅3915How to Sanity-Check an FX Forward NumberWhat is a fast sanity check when someone gives you an FX forward quote under normal market conditions?金融与交易中等essay未尝试面试订阅3916Non-Dividend American CallAt an American-option decision node, immediate exercise is worth 8.6 and continuation is worth 7.9. What is the optimal action and the node value?金融与交易中等derivation未尝试面试订阅3919Receiver of Time Value versus Immediate IntrinsicAt an American-option decision node, immediate exercise is worth 17 and continuation is worth 16.2. What is the optimal action and the node value?金融与交易中等derivation未尝试面试订阅3921American Put in One-Step Tree IA one-step binomial model gives next-step option payoffs 0 in the up state and 14 in the down state, with risk-neutral up probability 0.45 and interest rate 5.00% for the step. The option's immediate exercise value today is 7. What are the European and American values today?金融与交易中等derivation未尝试面试订阅3924American Put in One-Step Tree IIIIn a one-step binomial tree, the stock is 80 today and moves to 88 or 64 next period. The strike is 85 and the one-period risk-free rate is 0.1. What is the American put value today?金融与交易中等derivation未尝试面试订阅3925American Call in One-Step Tree with No DividendA one-step binomial model gives next-step option payoffs 1 in the up state and 9 in the down state, with risk-neutral up probability 0.5 and interest rate 0.00% for the step. The option's immediate exercise value today is 4.5. What are the European and American values today?金融与交易中等derivation未尝试面试订阅3926Non-Dividend Call EqualityIn a one-step risk-neutral model, the terminal payoffs are 0 and 16, the up probability is 0.5, the step rate is 4.00%, and immediate exercise today is worth 9. What is the American value today, and what is its premium over the matching European?金融与交易简单derivation未尝试面试订阅3927American Put DominanceIn a one-step risk-neutral model, the terminal payoffs are 20 and 2, the up probability is 0.55, the step rate is 2.00%, and immediate exercise today is worth 10.2. What is the American value today, and what is its premium over the matching European?金融与交易简单derivation未尝试面试订阅