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As a currency trader, you see the following quotes on your computer screen: Exchange Rate Spot 3-month 6-month 9-month 12-month EUR / 1.1235/45 38/25 65/50
- As a currency trader, you see the following quotes on your computer screen:
| Exchange Rate | Spot | 3-month | 6-month | 9-month | 12-month |
| EUR / | 1.1235/45 | 38/25 | 65/50 | 95/75 | 125/100 |
- Distinguish between a spot-forward and a forward-forward forex swap.
[10 marks]
- Suppose RBS bank wants to swap out of 100 million into euros starting in 6 months time for 6 months, clearly illustrate the cash flows associated with this swap transaction.
[30 marks]
- Suppose the Swiss francdollar exchange rate is CHF1.4706/$ in the spot market, and the 180-day forward rate is CHF1.4295/$. If the 180-day dollar interest rate is 7% p.a., what is the annualized 180-day interest rate on Swiss francs that would prevent arbitrage?
[20 marks]
this is a question from international finance
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The Evolution Of Finance
Authors: Barbara Guth
1st Edition
1633377261, 978-1633377264
