II. Cotatii Valutare_2010

7/27/2019 II. Cotatii Valutare_2010

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II. Cotaii valutare

I. Se cunosc urmtoarele cotaii valutare spot pe piaa FOREX la 10 octombrie2009:

New York Quotes London Quotes Romanian Quotes

BID ASK BID ASK BID ASK

GBP/USD 1,5914 1,5920 GBP/USD 1,5922 1,5926 EUR/RON 4,2761 4,2846

GBP/EUR 1,1441 1,1445 GBP/EUR 1,1433 1,1442 CAD/RON 3,0412 3,0465

EUR/USD 1,3911 1,3919 EUR/USD 1,3920 1,3924 PLN/RON 1,0867 1,0902

USD/CHF 0,9591 0,9596 USD/CAD 1,0183 1,0191

USD/NOK 5,7954 5,7962 EUR/AUD 1,4194 1,42

USD/JPY 82,03 82,16 USD/JPY 82,08 82,13

1. Dac la momentul t0 cursul EUR/AUD de pe piaa FOREX londonez este1,4194, iar la momentul t1 EUR/AUD devine 1,3989. Care din afirmatiile urmtoareeste adevrat:

a) EUR se apreciaz cu 1,44%, iar bunurile din Australia devin mai ieftine;b)AUD se apreciaz cu 1,46%, iar bunurile din zona euro devin mai scumpe;c) EUR se depreciaz cu 1,44%, iar bunurile din Australia sunt mai scumpe

pentru un european;d)AUD se apreciaz cu 1,46%, iar bunurile din zona euro devin mai ieftine

pentru un australian.

2. Determinai existena oportunitilor de arbitraj spaial.3. Ct ar trebui s fie cursul USD/JPY n Romnia, astfel nct o persoan s nupoat realiza arbitraj cumprnd yeni n Romnia i vnznd yeni n Londra?

4. Ct ar trebui s fie cursul EUR/CAD n Romnia, astfel nct o persoan snu poat realiza arbitraj cumprnd dolari canadieni n Londra i vnznd dolaricanadieni n Romnia?

5. Care este suma n EUR ce poate fi obinut de ctre o firm englez caredeine 10.000 GBP?

6. Un turist polonez dorete s cumpere 1000 RON. De ci zloi polonezi arenevoie pentru a realiza aceast tranzacie?

7. Care este cotaia GBP/JPY bid-ask pe piaa londonez? Dar cotaia USD/RONpe piaa romneasc?


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8. Un agent economic romn a realizat un export de bunuri n Italia n valoarede 10.500 EUR. Acesta d ordin bncii sale de vnzare a sumei n EUR, dorind sobin n schimb CAD. S se determine suma n CAD pe care o va obine agentul.

9. Un agent economic american dispune de 50.000 franci elvetieni (CHF) ntr-uncont bancar. El are nevoie de coroane norvegiene (NOK) pentru a realiza un import

de bunuri din Norvegia. In acest scop da bancii Beta un ordin de vanzare a uneisume in franci elvetieni astfel ncat sa ncaseze 80.000 coroane norvegiene, sumnecesar importului. Determinati:

a. suma in CHF pe care trebuie sa o vanda pentru a obtine 80.000 NOK;b. cursul NOK/CHF la care se efectueaz tranzacia;

10. Verificai existena oportunitilor de arbitraj triunghiular pe piaaamerican.

11. Dac la momentul T (ora 11.00, vezi graficul de mai jos), cursul USD/RON3,0557/646 i EUR/USD devine 1,3915/22, ct este randamentul unei operaiuni de

arbitraj pe schema EUR-USD-RON? Dar pe schema EUR-RON-USD?

12. Dac la momentul T (ora 11.05, vezi graficul de mai jos), cursul USD/RON3,0817/87 i EUR/USD este 1,392/4, ct este randamentul unei operaiuni dearbitraj pe schema EUR-RON-USD? Dar pe schema EUR-USD-RON?

13. Gsii o relaie prin care s determinai n ce condiii se poate practica oschem de arbitraj triunghiular.

EUR/USD cotaii la 1 minut

Sursa: www.dailyfx.com

14. S considerm o firm romneasc ce a realizat un import de bunuri din SUAn valoare de 10.000 USD, suma urmnd a fi pltit peste 3 luni. Pentru a se protejala fluctuaiile cursului de schimb, firma apeleaz la o banc cu care ncheie un


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contract forward. tiind c USD/RON este 3,0635/3,0745, rata dobnzii la lei 6/8%,iar rata dobnzii la dolar 3/4%, s se determine care este este preul forward stabilitde banc.

15. Determinai punctele swap bid/ask pentru EUR/RON afiate pe un orizont de3 luni, tiind c ratele de dobnd la lei (p.a.) 5,8/6,25, iar ratele de dobnd la euro

n zona euro (p.a.) sunt 4,2/4,6. Sunt pozitive sau negative? Euro face prima saudiscount in raport cu leul romnesc?

16. Dac spreadul procentual al cotaiei spot EUR/RON este de 0,034%,spreadul (absolut) pentru rata dobnzii la RON de 2 p.p. i spreadul (absolut)pentru rata dobnzii la EUR este de 1 p.p., determinai spreadul procentual alcotaiei forward la 3 luni.

17. Un investitor european achiziioneaz 10 obligatiuni TIPS (Treasury InflationProtected Securities), avnd urmtoarele caracteristici: valoarea nominal 1000

USD, rata cuponului 4% (cupoanele se pltesc anual), scadena 3 ani, obligaiunease ramburseaz la scaden, iar valoarea nominal se ajusteazinnd cont de ratainflaiei. n cel deal treilea an, cu suma obinut din obligatiunile deinute,investitorul dorete s investeasc n 200 de aciuni AXA de la bursa EURONEXT.Cursul spot EUR/USD n momentul schimbrii sumei din USD n EUR este1,3972/1,3987. tiind c rata inflaiei pe perioada de deinere a obligaiunilor a avutevoluia din tabelul de mai jos, s se determine preul n EUR la care investitorul aachiziionat actiunile AXA.

Nr. ani 1 2 3

Rata inflaiei 2% 1% 3%

II. Analizai urmtoarele situaii, utiliznd candle-stick graphs.1. Presupunem

c suntei un trader pepiaa valutar careutilizeaz platforma detranzacionare furnizatde fxclub.com. n 6 august2009 ai cumprat 10000

de lire sterline la maximulpieei i le-ai vndut la 1octombrie la cursul carereiese din graficulalturat. Care a fostprofitul obinut n urmaacestei tranzacii daclevierul a fost 1:200?

GBP/USD cotaii zilnice

Sursa: www.fxclub.com


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2. S presupunem c suntei un trader care tranzacioneaz intra-day. Ladata de 1 octombrie 2009 cumprai 10000 euro la ora 13:17 GMT i vindei la ora13.29. Care a fost profitul obinut conform datelor prezentate n graficul de mai jos.Levierul a fost de 1:100. Dar dac ai fi vndut la cursul 1EUR=1,4556 USD?

EUR/USD cotaii la un minut

Sursa:www.fxclub.com

III. Figura de mai jos ilustreaz evoluia a 4 monede din Europa Centrali de Est (leulromnesc, zlotul polonez, coroana ceh i forintul maghiar) n perioada ianuarie 2008 februarie 2009.

3,6014

4,6564

3.00

3.20

3.40

3.60

3.80

4.00

4.20

4.40

4.60

4.805.00

5.20

Jan08

Feb08

Mar08

Apr08

May08

Jun08

Jul08

Aug08

Sep08

Oct08

Nov08

Dec08

Jan09

Feb09

EUR/PLN

Maxim=4,8702

Minim=3,2055

296,52

254,52220

230

240

250

260

270

280

290

300

310

320

Jan08

Feb08

Mar08

Apr08

May08

Jun08

Jul08

Aug08

Sep08

Oct08

Nov08

Dec08

Jan09

Feb09

EUR/HUF

Maxim=307,5

Minim=229,2

Sursa: Reuters

3,5897

4,2909

3.20

3.40

3.60

3.80

4.00

4.20

4.40

Jan08

Feb08

Mar08

Apr08

May08

Jun08

Jul08

Aug08

Sep08

Oct08

Nov08

Dec08

Jan09

Feb09

EUR/RON

Maxim=4,3127

Minim=3,4719

27,972

26,1640

22.00

23.00

24.00

25.00

26.00

27.00

28.00

29.00

30.00

Jan08

Feb08

Mar08

Apr08

May08

Jun08

Jul08

Aug08

Sep08

Oct08

Nov08

Dec08

Jan09

Feb09

EUR/CZK

Maxim=29,4573

Minim=23,01


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Pe baza datelor incluse n graficele de mai sus, rspundei la urmtoarele ntrebri:a)Cu ct s-au depreciat monedele respective n perioada analizat?b)Ce factori economici credei c pot determina deprecierea monedelor n mod

sincronizat n mai multe ri?

c) Cum apreciai volatilitatea cursului de schimb n cele patru ri?d)Ce alte observaii referitoare la corelaiile care exist pe piaa valutar ai

putea face pe baza figurii de mai jos?


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Studiu de caz 1. FOREX Market

The foreign exchange market (currency, forex, or FX) trades currencies. It lets banksand other institutions easily buy and sell currencies.

The purpose of the foreign exchange market is to help international trade and investment.A foreign exchange market helps businesses convert one currency to another. For example,it permits a U.S. business to import European goods and pay Euros, even though thebusiness's income is in U.S. dollars.

The foreign exchange market is unique because of:

its trading volumes, the extreme liquidity of the market, its geographical dispersion, its long trading hours: 24 hours a day except on weekends (from 22:00 UTC onSunday until 22:00 UTC Friday), the variety of factors that affect exchange rates. the low margins of profit compared with other markets of fixed income (but profitscan be high due to very large trading volumes) the use ofleverage.

There is no unified or centrally cleared market for the majority of FX trades, and there isvery little cross-border regulation. Due to the over-the-counter (OTC) nature of currencymarkets, there are rather a number of interconnected marketplaces, where differentcurrencies instruments traded. This implies that there is not a single exchange rate but

rather a number of different rates (prices), depending on what bank or market maker istrading, and where it is. In practice the rates are often very close, otherwise they could beexploited by arbitrageurs instantaneously. The main trading center is London, but New

York, Tokyo, Hong Kong and Singapore are all important centers as well. Banksthroughout the world participate. Currency trading happens continuously throughout theday; as the Asian trading session ends, the European session begins, followed by the North

American session and then back to the Asian session, excluding weekends.

Fluctuations in exchange rates are usually caused by actual monetary flows as wellas by expectations of changes in monetary flows caused by changes in gross domesticproduct (GDP) growth, inflation (purchasing power parity theory), interest rates

(interest rate parity, Domestic Fisher effect, International Fisher effect), budget andtrade deficits or surpluses, large cross-border M&A (Mergers and Acquisitions) dealsand other macroeconomic conditions. Major news is released publicly, often onscheduled dates, so many people have access to the same news at the same time.However, the large banks have an important advantage; they can see theircustomers' order flow.


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While forex has been traded since the beginning of financial markets, on-line retail tradinghas only been active since about 1996. From the 1970s, larger retail traders could trade FXcontracts at the Chicago Mercantile Exchange.

By 1996 on-line retail forex trading became practical. Internet-based market makers wouldtake the opposite side of retail traders trades.These companies also created retail forexplatform that provided a quick way for individuals to buy and sell on the forex spotmarket.In online currency exchange, few or no transactions actually lead to physical delivery to theclient; all positions will eventually be closed. The market makers offer high amounts ofleverage. While up to 4:1 leverage is available in equities and 20:1 in Futures, it is commonto have 100:1 leverage in currencies. In the typical 100:1 scenario, the client absorbs allrisks associated with controlling a position worth 100 times his capital.

High Leverage

The idea of margin (leverage) and floating loss is another important trading concept and isperhaps best understood using an example. Most retail Forex market makers permit 100:1leverage, but also, crucially, require you to have a certain amount of money in your accountto protect against a critical loss point. For example, if a $100,000 position is held inEUR/USD on 100:1 leverage, the trader has to put up $1,000 to control the position.However, in the event of a declining value of your positions, Forex market makers, mindfulof the fast nature of forex price swings and the amplifying effect of leverage, typically do notallow their traders to go negative and make up the difference at a later date. In order tomake sure the trader does not lose more money than is held in the account, forex marketmakers typically employ automatic systems to close out positions when clients run out ofmargin (the amount of money in their account not tied to a position). If the trader has$2,000 in his account, and he is buying a $100,000 lot of EUR/USD, he has $1,000 of his

Top 6 Most Traded CurrenciesRank Currency ISO 4217

Code

Share

April 2007

1 United States dollar USD 86,3%2 Euro EUR 37,0%3 Japanese yen JPY 17,0%4 British pound sterling GBP 15,0%5

Swiss franc CHF 6,8%

6 Australian dollar AUD 6,7%7 Canadian dollar CAD 4,2%

8-9 Swedish krona SEK 2,8%8-9 Hong Kong dollar HKD 2,8%10 Norwegian krone NOK 2,2%

11 New Zealand dollar NZD 1,9%12 Mexican peso MXN 1,3%13 Singapore dollar SGD 1,2%14 South Korean won KRW 1,1%

Other 14,5%Total 200%

On the spot market,according to theBISstudy, themost heavily traded productswere:

EURUSD: 27%; USDJPY: 13%; GBPUSD (also calledcable): 12%.

and the US currency wasinvolved in 86.3% oftransactions, followed by theeuro (37.0%), the yen (17.0%),and sterling (15.0%) (seetable). Volume percentages forall individual currencies

should add up to 200%, aseach transaction involves twocurrencies.


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$2,000 tied up in margin, with $1,000 left to allow his position to fluctuate downwardwithout being closed out.

Transaction Costs and Market Makers

Market makers are compensated for allowing clients to enter the market. They take part or

all of the spread in all currency pairs traded. In a common example, EUR/USD, the spreadis typically 3 pips (percentage in point) or 3/100 of a cent in this example. Thus prices arequoted with both bid and offer (i.e. "ask") prices (e.g., Buy EUR/USD 1.4903, Sell EUR/USD1.4900). Traders buy at the higher "offer" or "ask" price, and sell at the lower "bid" price,thus giving up the difference, or the spread, as the cost of the transaction. Of course, theactual price level may also change during the interval between buying and selling.

That difference of 3 pips is the spread and can amount to a significant amount of money.Because the typical standard lot is 100,000 units of the base currency, those 3 pips onEUR/USD translate to $30 paid by the client to the market maker. However, a pip is notalways $10. A pip is 1/100th of a cent (or whatever), and the currency pairs are alwayspurchased by buying 100,000 of the base currency.

For the pair EUR/USD, the quote currency is USD; thus, 1/100th of a cent on a pair withUSD as the quote currency will always have a pip of $10. If, on the other hand, yourcurrency pair has Swiss francs (CHF) as a quote instead of USD, then 1/100th of a cent isnow worth around $9, because you are buying 100,000 of whatever in Swiss francs.

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II. Cotatii Valutare_2010