Question
5.Here is some information about the exchange rate between CDN $ and pound sterling K and quoted annual interest rates on deposits: -The current spot
5.Here is some information about the exchange rate between CDN $ and pound sterling K and quoted annual interest rates on deposits:
-The current spot exchange rate: CDN %1.7 per K
-The 3 - month forward exchange rate: CDN $1.8 per K
-CDN $ - denominated deposit rate = 1.0% per annum
-K - denominated deposit rate = 1.4% per annum
what is their net profit (loss) from a 3- month forward swap, assuming the swap size of CDN $170 million or K 100 million.
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Public Finance and Public Policy
Authors: Jonathan Gruber
5th edition
1464143331, 978-1464143335
