課程名稱︰國際財務管理 課程性質︰ 課程教師︰何憲章 開課學院：管理學院 開課系所︰ 考試日期（年月日）︰100/06/16 考試時限（分鐘）：3hr 是否需發放獎勵金：是 （如未明確表示，則不予發放） 試題 : Note: Answer to the 4th decimal point and list your calculation procedures. Each problem is worth 20 points. 1. A Qualified Foreign Institutional Investor(QFII) expects US$ to depreciate, sells 1 year Non-delivery Forward(NDF) at exercise price X=NT29/$ to Bank A with notional principal of US$1,000,000. In order to hedge, Bank A now borrows US$ 1 million from Citi at annual interest rate of 3% for 1 year, converts to NT at spot exchange rate S=NT29.72, and then deposits into Bank of Taiwan at 1.75% for 1 year. As to the principal and interest payments the Bank A needs to pay to Citi 1 year later will be purchased at the spot rate at that time. (1) If 1 year later, the spot rate is depreciated to NT28/$, then what are the profit/loss of the QFII and Bank A respectively? (2) If 1 year later, the spot rate is appreciated to NT30/$, then what are the profit/loss of the QFII and Bank A respectively? (3) From Bank A's view point, what is the Bank-even spot rate 1 year later? 2. Given the following data: ┌───┬───┬─────┬─────┐ │匯率 │美元 │人民幣 │日圓 │ ├───┼───┼─────┼─────┤ │2000年│NT28/$│NT4/RMB │NT0.45/￥ │ ├───┼───┼─────┼─────┤ │2011年│NT31/$│NT4.6/RMB │NT0.4/￥ │ └───┴───┴─────┴─────┘ ┌────┬──┬──┬──┬──┐ │物價指數│台灣│美國│大陸│日本│ ├────┼──┼──┼──┼──┤ │2000年 │101 │202 │102 │95 │ ├────┼──┼──┼──┼──┤ │2011年 │105 │220 │110 │99 │ └────┴──┴──┴──┴──┘ ┌────────────┐ │2008年雙邊貿易比重 │ ├───┬──┬──┬──┤ │台灣VS│美國│大陸│日本│ │ ├──┼──┼──┤ │ │30% │50% │20% │ └───┴──┴──┴──┘ Calculate (1) Arithmetic and Geometric average NT Effective Exchange Rate(EER) Indexes (2) Arithmetic and Geometric average NT Real Effective Exchange Rate(REER) Indexes Both are based on year 2000 and Ex-Import trade weighted in 2011. Use the Wall Street Journal handouts data to answer Questions 3 and 4 3. (1) With one June 2011 Eurodollar(CME) Futures contract and one Dec 2011 Eurodollar Futures contract, suppose you expect the future spread of these two contracts to widen to 55 bp (1 basis point=0.01%), what's your intra- commodity spread investment strategy and what'll be your net profit? (2) For a Two year LIBOR Swaps(USD) contract, if A will pay B fixed annual interest rate of 1.041%, and B will pay A annual fixed margin of 0.7275% plus Three month LIBOR rate which is renewed semi-annually. With notional principal of US$ 100,000,000 and net payment method, if the future Three month LIBOR rates are 0.31%, 0.32%, 0.33%, 0.34% for the next 4 semi-annual periods, draw a diagram to show the net payments between A and B for the 4 future periods. 4. For the June 2011 expiration (T=115/365), strike price 620, Google stock optionm the annual standard deviation is 0.252, and the risk free interest rate is 0.125%. Use the Black-Scholes formula to calculate the theoretical value of (1) call option and, (2) put option. 5. Elaborate the (1) Principles, (2) Strategies, and (3) Importance of International Taxation Planning. --

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