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Andreas Broszio (Geneva). Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss francs against
Andreas Broszio (Geneva). Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss francs against the dollar for spot, 1 month forward, 3 months forward, and 6 months forward. Spot exchange rate: Bid rate Ask rate 1-month forward 3-months forward 6-months forward SF1.2591/$ SF1.2617/$ 10 to 15 14 to 22 20 to 30 The current one-year U.S. T-Bill rate is 4.2%. 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? a. Calculate outright quotes for bid and ask and the number of points spread between each. Calculate the outright quotes for bid and ask and the number of points spread between each below: (Round to four decimal places.) Bid Ask Spread One-month forward (SF/$)
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