Suppose that the 90-day forward rate is $1.17/€, the current spot rate is $1.20/€, and you expect the future spot rate in 90 days to be $1.21/€. If the standard deviation of the 90-day rate of appreciation of the euro relative to the dollar is 2% (in terms of the current spot rate), what range covers 95.46% of your possible profits and losses (assume a normal distribution on the future spot rate)? O a. [-S0.032, SO.112] O b. [-S0.008, SO.088] O. [S0.023, $O.075] O d. [S0.016, S0.064]
Suppose that the 90-day forward rate is $1.17/€, the current spot rate is $1.20/€, and you expect the future spot rate in 90 days to be $1.21/€. If the standard deviation of the 90-day rate of appreciation of the euro relative to the dollar is 2% (in terms of the current spot rate), what range covers 95.46% of your possible profits and losses (assume a normal distribution on the future spot rate)? O a. [-S0.032, SO.112] O b. [-S0.008, SO.088] O. [S0.023, $O.075] O d. [S0.016, S0.064]
Chapter21: International Cash Management
Section: Chapter Questions
Problem 3ST
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