II.

Cotaii valutare

I. Se cunosc urmtoarele cotaii valutare spot pe piaa FOREX la 10 octombrie 2009: New York Quotes BID ASK GBP/USD 1,5914 1,5920 GBP/EUR 1,1441 1,1445 EUR/USD 1,3911 1,3919 USD/CHF 0,9591 0,9596 USD/NOK 5,7954 5,7962 USD/JPY 82,03 82,16 London Quotes Romanian Quotes BID ASK BID ASK GBP/USD 1,5922 1,5926 EUR/RON 4,2761 4,2846 GBP/EUR 1,1433 1,1442 CAD/RON 3,0412 3,0465 EUR/USD 1,3920 1,3924 PLN/RON 1,0867 1,0902 USD/CAD 1,0183 1,0191 EUR/AUD 1,4194 1,42 82,13 USD/JPY 82,08

1. Dac la momentul t0 cursul EUR/AUD de pe piaa FOREX londonez este 1,4194, iar la momentul t1 EUR/AUD devine 1,3989. Care din afirmatiile urmtoare este 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 nu poat 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 s nu poat realiza arbitraj cumprnd dolari canadieni n Londra i vnznd dolari canadieni n Romnia? 5. Care este suma n EUR ce poate fi obinut de ctre o firm englez care deine 10.000 GBP? 6. Un turist polonez dorete s cumpere 1000 RON. De ci zloi polonezi are nevoie pentru a realiza aceast tranzacie? 7. Care este cotaia GBP/JPY bid-ask pe piaa londonez? Dar cotaia USD/RON pe piaa romneasc? 1

8. Un agent economic romn a realizat un export de bunuri n Italia n valoare de 10.500 EUR. Acesta d ordin bncii sale de vnzare a sumei n EUR, dorind s obin 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-un cont 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 unei sume in franci elvetieni astfel ncat sa ncaseze 80.000 coroane norvegiene, sum necesar 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 piaa american. 11. Dac la momentul T (ora 11.00, vezi graficul de mai jos), cursul USD/RON 3,0557/646 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/RON 3,0817/87 i EUR/USD este 1,392/4, ct este randamentul unei operaiuni de arbitraj 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 o schem 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 SUA n valoare de 10.000 USD, suma urmnd a fi pltit peste 3 luni. Pentru a se proteja la fluctuaiile cursului de schimb, firma apeleaz la o banc cu care ncheie un 2

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 stabilit de banc. 15. Determinai punctele swap bid/ask pentru EUR/RON afiate pe un orizont de 3 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 sau discount 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 al cotaiei forward la 3 luni. 17. Un investitor european achiziioneaz 10 obligatiuni TIPS (Treasury Inflation Protected Securities), avnd urmtoarele caracteristici: valoarea nominal 1000 USD, rata cuponului 4% (cupoanele se pltesc anual), scadena 3 ani, obligaiunea se ramburseaz la scaden, iar valoarea nominal se ajusteaz innd cont de rata inflaiei. 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 este 1,3972/1,3987. tiind c rata inflaiei pe perioada de deinere a obligaiunilor a avut evoluia din tabelul de mai jos, s se determine preul n EUR la care investitorul a achiziionat actiunile AXA. 1 2 3 Nr. ani 2% 1% 3% Rata inflaiei II. Analizai urmtoarele situaii, utiliznd candle-stick graphs. GBP/USD cotaii zilnice

1. Presupunem c suntei un trader pe piaa valutar care utilizeaz platforma de tranzacionare furnizat de fxclub.com. n 6 august 2009 ai cumprat 10000 de lire sterline la maximul pieei i le-ai vndut la 1 octombrie la cursul care reiese din graficul alturat. Care a fost profitul obinut n urma acestei tranzacii dac levierul a fost 1:200?

Sursa: www.fxclub.com

2. S presupunem c suntei un trader care tranzacioneaz intra-day. La data de 1 octombrie 2009 cumprai 10000 euro la ora 13:17 GMT i vindei la ora 13.29. 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 Central i de Est (leul romnesc, zlotul polonez, coroana ceh i forintul maghiar) n perioada ianuarie 2008 februarie 2009.
4.40 4.20 4.00 3.80 3.60 3.40 3.20 Jan08 Feb08 Mar08 Apr08 May08 Jun08 Jul08 Aug08 Sep08 Oct08 Nov08 Dec08 Jan09 Feb09
EUR/RON

Maxim = 4,3127

4,2909

3,5897

Minim = 3,4719

5.20 5.00 4.80 4.60 4.40 4.20 4.00 3.80 3.60 3.40 3.20 3.00 Jan08 Feb08

Maxim = 4,8702 EUR/PLN

4,6564 Minim = 3,2055 3,6014 Mar08 Apr08 May08 Jun08 Jul08 Aug08 Sep08 Oct08 Nov08 Dec08 Jan09 Feb09

30.00 29.00 28.00 27.00 26.00 25.00 24.00 23.00 22.00 Nov08 26,1640 EUR/CZK

Maxim = 29,4573

27,972 Minim = 23,01

320 310 300 290 280 270 260 250 240 230 220 Jan08

Maxim = 307,5

EUR/HUF

296,52
Minim = 229,2

254,52
Jan09 Feb09 Feb08 Mar08 Apr08 May08 Jun08 Jul08 Aug08 Sep08 Oct08 Nov08 Dec08

Dec08

Jan09

Feb09

Jul08

Aug08

Sep08

Oct08

Jan08

Feb08

Sursa: Reuters

Mar08

Apr08

May08

Jun08

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?

Studiu de caz 1. FOREX Market

The foreign exchange market (currency, forex, or FX) trades currencies. It lets banks and 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 the business'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 on Sunday 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 profits can be high due to very large trading volumes) the use of leverage.

There is no unified or centrally cleared market for the majority of FX trades, and there is very little cross-border regulation. Due to the over-the-counter (OTC) nature of currency markets, there are rather a number of interconnected marketplaces, where different currencies 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 is trading, and where it is. In practice the rates are often very close, otherwise they could be exploited by arbitrageurs instantaneously. The main trading center is London, but New York, Tokyo, Hong Kong and Singapore are all important centers as well. Banks throughout the world participate. Currency trading happens continuously throughout the day; 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 well

as by expectations of changes in monetary flows caused by changes in gross domestic product (GDP) growth, inflation (purchasing power parity theory), interest rates (interest rate parity, Domestic Fisher effect, International Fisher effect), budget and trade deficits or surpluses, large cross-border M&A (Mergers and Acquisitions) deals and other macroeconomic conditions. Major news is released publicly, often on scheduled 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 their customers' order flow.

Rank 1 2 3 4 5 6 7 8-9 8-9 10 11 12 13 14

Swiss franc Australian dollar

Canadian dollar Swedish krona Hong Kong dollar

Top 6 Most Traded Currencies Currency ISO 4217 Share Code April 2007 United States dollar USD 86,3% EUR 37,0% Euro JPY 17,0% Japanese yen GBP 15,0% British pound sterling CHF 6,8% AUD CAD SEK HKD NOK NZD MXN SGD KRW Other Total 6,7% 4,2% 2,8% 2,8% 2,2% 1,9% 1,3% 1,2% 1,1% 14,5% 200%

On the spot market, according to the BIS study, the most heavily traded products were:

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

Norwegian krone New Zealand dollar Mexican peso Singapore dollar South Korean won

and the US currency was involved in 86.3% of transactions, followed by the euro (37.0%), the yen (17.0%), and sterling (15.0%) (see table). Volume percentages for all individual currencies should add up to 200%, as each transaction involves two currencies.

While forex has been traded since the beginning of financial markets, on-line retail trading has only been active since about 1996. From the 1970s, larger retail traders could trade FX contracts at the Chicago Mercantile Exchange. By 1996 on-line retail forex trading became practical. Internet-based market makers would take the opposite side of retail traders trades.These companies also created retail forex platform that provided a quick way for individuals to buy and sell on the forex spot market. In online currency exchange, few or no transactions actually lead to physical delivery to the client; all positions will eventually be closed. The market makers offer high amounts of leverage. While up to 4:1 leverage is available in equities and 20:1 in Futures, it is common to have 100:1 leverage in currencies. In the typical 100:1 scenario, the client absorbs all risks 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 is perhaps best understood using an example. Most retail Forex market makers permit 100:1 leverage, but also, crucially, require you to have a certain amount of money in your account to protect against a critical loss point. For example, if a $100,000 position is held in EUR/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, mindful of the fast nature of forex price swings and the amplifying effect of leverage, typically do not allow their traders to go negative and make up the difference at a later date. In order to make sure the trader does not lose more money than is held in the account, forex market makers typically employ automatic systems to close out positions when clients run out of margin (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

$2,000 tied up in margin, with $1,000 left to allow his position to fluctuate downward without 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 spread is typically 3 pips (percentage in point) or 3/100 of a cent in this example. Thus prices are quoted with both bid and offer (i.e. "ask") prices (e.g., Buy EUR/USD 1.4903, Sell EUR/USD 1.4900). 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, the actual 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 on EUR/USD translate to $30 paid by the client to the market maker. However, a pip is not always $10. A pip is 1/100th of a cent (or whatever), and the currency pairs are always purchased 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 with USD as the quote currency will always have a pip of $10. If, on the other hand, your currency pair has Swiss francs (CHF) as a quote instead of USD, then 1/100th of a cent is now worth around $9, because you are buying 100,000 of whatever in Swiss francs.