Andreas Broszio $($Geneva$).$ Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss francs $($CHF$)$ against the dollar $($USD$)$ for spot, $1$ month forward, $3$ months forward, and $6$ months forward: $$

The current one$-$year U$.$S$.$ T$-$Bill rate is $4\mathrm{.}3\%.$

a$.$ Calculate outright quotes for bid and ask and the number of points spread between each.

b$.$ What do you notice about the spread as quotes evolve from spot toward $6$ months?

c$.$ What is the $6-$month Swiss bill rate?

Data table

b$.$ What do you notice about the spread as quotes evolve from spot toward $6$ months? $($Select

It $,$ most likely a result of and trading volume.

$($Click on the following icon $$ in order to copy its contents into a spreadsheet.$)$

One$-$month forward $($CHF$/$$$)$

$3-$months forward $($CHF$/$$$)$

$6-$months forward $(CH\frac{F}{\text{\$}})$

$1\mathrm{.}2626$ non

$1\mathrm{.}2630$

$1\mathrm{.}2642$

$0\mathrm{.}0016$

$1\mathrm{.}2636$

$1\mathrm{.}2649$

$0\mathrm{.}0019$

$1\mathrm{.}2657,0\mathrm{.}0021$

c$.$ What is the $6-$month Swiss bill rate? $($Round exchange rate to four decimal places and intere

Six$-$month Swiss bill rate

Spot rate, midrate $($CHF$/$$$)$

Six$-$month forward rate, midrate $($CHF$/$$$)$

Maturity $($days$)$

Six$-$month U$.$S$.$ dollar treasury rate $($yield$)$

Implied SF interest rate

$1\mathrm{.}2622$

$1\mathrm{.}2647$

$180$

$4\mathrm{.}300\%$

$\%$