| ZADANIE 1 |
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| Stopy procentowe oraz kursy walut z dnia 01-02-2005 |
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| stopa procentowa rW(0,T1) w % |
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WIBOR 3M |
4.5 |
WIBID 3M |
4.41 |
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| stopa procentowa rW(0,T2) w % |
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WIBOR 6M |
4.46 |
WIBID 6M |
4.39 |
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| stopa procentowa rL(0,T1) w % |
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LIBOR 3M |
2.5 |
LIBID 3M |
2.42 |
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| stopa procentowa rL(0,T2) w % |
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LIBOR 6M |
2.64 |
LIBID 6M |
2.56 |
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Sredni |
Kupno |
Sprzedaż |
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Sredni |
Kupno |
Sprzedaż |
| Kurs wymiany EURO/PLN T(0), S(0) |
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3.8145 |
3.8747 |
4.0735 |
PLN/EURO |
0.262157556691572 |
0.245489137105683 |
0.258084496864273 |
| Kurs wymiany EURO/PLN T(1), K(T1) |
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3.79547510188049 |
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PLN/EURO |
0.263471626912938 |
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| Kurs wymiany EURO/PLN T(2), K(T2) |
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3.77994551137767 |
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PLN/EURO |
0.264554078091864 |
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dni |
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| T1 |
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T1 |
90 |
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| T2 |
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T2 |
180 |
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| T2-T1 |
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T2-T1 |
90 |
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| Obliczanie stopy procentowej r(T1,T2) |
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| r(T1,T2)=[rL(0,T2)*T(2)-rL(0,T1)*T(1)]/{T(2)-T(1)] |
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| (2,19*180-2,14*90)/(180-90)=0,0224 |
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| (2,18*180-2,13*90)/(180-90)=0,0223 |
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| (6,57*180-6,6*90)/(180-90)=0,0654 |
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| (6,38*180-6,4*90)/(180-90)=0,0636 |
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| rL(T1,T2) w % |
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0.0278 |
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0.027 |
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| rW(T1,T2) w % |
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0.0442 |
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0.0437 |
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| Kontrakt terminowy future |
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| F(T1,T2-T1)=s(0)*exp([T(2)-T(1)]*[rL(T1,T2)-rW(T1,T2)]) |
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EURO/PLN |
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PLN/EURO |
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kupno |
sprzedaż |
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kupno |
sprzedaży |
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| 3,8747*EXP(90/360*(0,0223-0,0654))=3,8331742 |
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3.8581 |
4.0573 |
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0.246547013198827 |
0.259112424391779 |
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| 4,0735*EXP(90/360*(0,0224-0,0636))=4,0317583 |
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| 0,245489*EXP(90/360*(0,0654-0,0223))=0,2481486 |
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| 0,258084*EXP(90/360*(0,0636-0,0224)=0,260756 |
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