university of Newcastle的留学生指导作业 Spreadsheet Assignment

论文题目： Spreadsheet Assignment
论文语种：英文
您的研究方向：master of finance
是否有数据处理要求：否
您的国家：澳大利亚
您的学校背景：university of Newcastle
四星
要求字数：不超过5页
论文用途：硕士课程论文 Master Assignment
是否需要盲审（博士或硕士生有这个需要）：否[email protected](1455780998)
补充要求和说明：https://blackboard.newcastle.edu.au/webapps/login/

/uploads/soft/101130/assignment.doc

ACFI3140 Spreadsheet Assignment (25 Marks)

You are an analyst working for an investment bank and you have been asked to produce a country report.  The report will be used to provide background information and specific investment analysis about the country that will allow the bank to make informed investment decisions.

Firstly, if the last digit of your student number is 0, 1 or 2 the country you will be analysing is the USA.  If the last digit of your student number is 3, 4, 5 or 6 the country you will be analysing is the UK.  If the last digit of your student number is 7, 8 or 9 you will be analysing Europe.  Data for each of these countries is provided on blackboard.
Required:

Describe the economic background of this country and issues that might relate to its future performance. (2 Marks)

Chart the market performance for this country.  In particular discuss the largest 3 month market rise and the largest 3 month market fall over the period for which you have data. Identify key events and issues that might have contributed to the major rise and fall in the market. (3 Marks)

If you had decided to invest in a weighted portfolio of shares in this country (ie. the share market index) what would have been the annual returns and standard deviations for each of the ten year periods and the annualised return and standard deviation for the full 10 year period:
 Without including the exchange rate exposure
 With exchange rate exposure
 Assuming that you had hedged using forward rates at the beginning of each year. Explain another hedge that you might have used and why.
(7 Marks)

Chart the exchange rate performance compared with the Australian Dollar and the interest rates for both countries.  Given the interest rates for both countries and the exchange rates between the two countries, did covered interest rate parity hold at all times.  Explain whether this is consistent with the current literature. (6 Marks)#p#分页标题#e#

Determine the price of a call option using the Black-Scholes pricing model with one month to expiry using the forward rate/spot rate and interest rates as at 31 December 2008. The 3 year standard deviation of the spot exchange rate would be a good approximation for volatility (σ). Provide solutions for a range of approximately 10 exercise prices and chart these prices. (7 Marks)

When presenting your assignment provide:
1. A printout of your report containing charts and discussion (no more than 5 pages).
2. Spreadsheet(s) clearly labelling all columns of data (one file only)