Question
Assuming the following swaps curve 3m 0.25% 1y 0.50% 2y 1.50% 3y 1.85% 4y 2.00% 5y 1.90% . 1) If you are a client looking
Assuming the following swaps curve 3m 0.25% 1y 0.50% 2y 1.50% 3y 1.85% 4y 2.00% 5y 1.90% .
1) If you are a client looking to receive fixed payments, which part of the curve provides you with the best positive slide?
2) If a 6m deposit is 0.50%, where is roughly the market likely to price a 3/6 FRA? (a. 0.25% b. 0.50% c. 0.75% d. 1.00%)
3) What maturity provides the best carry?
4) Assuming USD yield in 1y is 1% and TRY rates are 16%, and the fx spot rate is 8.00, where do you think the market will roughly price the 1y fx forward?
(a. 8.00 b. 8.80 c. 9.20 d. 6.80 )
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