You wish to buy a Swiss franc 2v5 FRA (a 92-day period). Given the following market prices,
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You wish to buy a Swiss franc 2v5 FRA (a 92-day period). Given the following market prices, at what rate can you create one synthetically via sterling?
GBP/CHF spot: 2.4038/48 2 months: 124/120 5 months: 298/292 GBP 2v5 FRA: 6.0/6.1%
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Related Book For
Foreign Exchange And Money Markets Theory Practice And Risk Management
ISBN: 9780750650250
1st Edition
Authors: Bob Steiner
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