90-day forward 1.3056
180-day forward 1.3018
What opportunities are open to an arbitrageur in the following situations?
(a) A 180-day European call option to buy £1 for $1.27 costs 2 cents.
(b) A 90-day European put option to sell £1 for $1.34 costs 2 cents.
Table 5.5 Swap Quotes Made by a Market Maker (Percent Per Annum)
Maturity (Years) Bid Offer Swap Rate
2 2.55 2.58 2.565
3 2.97 3.00 2.985
4 3.15 3.19 3.170
5 3.26 3.30 3.280
7 3.40 3.44 3.420
10 3.48 3.52 3.500
|Category||Unacceptable (0-1)||Needs Improvement (2-3)||Good (4)||Excellent (5)||Total Possible Points|
|Solution Organization (x3)||There is no apparent step-by-step organization to the solutions. They shows some coherence but ideas lack unity.||There is some level of organization though digressions, ambiguities, irrelevance are too many. Transition evident but not used throughout the paper.||Solutions are coherent and logically organized with transitions used between ideas and paragraphs to create coherence. Overall unity of ideas is present.||solutions show high degree of attention to logic and reasoning of points. Unity clearly leads the reader to the conclusion and stirs thought regarding the topic.||15|
|Calculations(x3)||Calculations lack evidence of critical thinking. Student uses superficial, simplistic, or irrelevant reasons and unjustifiable claims. Makes illogical, inconsistent inference.||Calculations are primarily opinion without valid support. Little critical thinking is evident. Follows existing evidence to obtain conclusions.||Calculations are logical and reasoned, but demonstrate lesser degree of originality. Follows evidence and reason lead to obtain justifiable, logical conclusion.||Student develops logical and reasoned independent calculations that show predictable outcomes or the conclusions of researched materials. Follows where evidence and reason lead in order to obtain defensible, thoughtful, logical conclusions or solutions.||15|
|Grammar & Mechanics(x2)||Sentences are unclear and many grammatical errors in structure make answers virtually unreadable. Spelling, punctuation, capitalization, and vocabulary usage contain major flaws that impede readability.||Most spelling, punctuation, and grammar correct allowing reader to progress through the answers. Some errors remain.||Answers have few spelling, punctuation, and grammatical errors allowing reader to follow ideas clearly. Very few fragments or run-ons.||Answers are free of distracting spelling, punctuation, and grammatical errors; absent of fragments, comma splices, and run-ons.||5|
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