Question
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
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:
Spot exchange rate: | ||
Bid rate | CHF1.2551 = USD1.00 | |
Ask rate | CHF1.2609 = USD1.00 | |
1-month forward | 10 to 15 | |
3-months forward | 14 to 22 | |
6-months forward | 20 to 30 |
.The current one-year U.S. T-Bill rate is
4.4%.
Question content area bottom
Part 1
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 (CHF/$) | 1.2561 | 1.2624 | 0.0063 |
3-months forward (CHF/$) | 1.2565 | 1.2631 | 0.0066 |
6-months forward (CHF/$) | 1.2571 | 1.2639 | 0.0068 |
b. What do you notice about the spread as quotes evolve from spot toward 6 months?
It widens, most likely a result of thinner and thinner trading volume.
c. What is the 6-month Swiss bill rate? (Round exchange rate to four decimal places and interest rate to three decimal places.)
Six month Swiss Bill Rate: ?
Spot Rate, Midrate (CHF/$): ?
6 Month forward rate, midrate (CHF/$):
Maturity= 180
6 month u.s dollar treasury rate (yield) 4.400%
Implied SF interest rate: ?
Solve C please
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