Question
Consider the following quotations of the spot and forward swap rates of the Swiss francs and pounds sterling published in the Financial Times on a
Consider the following quotations of the spot and forward swap rates of the Swiss francs and pounds sterling published in the Financial Times on a specific date: Spot 30-day 90-day 180-day $2.0015-30 19-17 26-22 42-35 SFr $0.6963-68 4-6 9-14 25-38 Required: Calculate the outright rates of the currencies showing the bid-ask spread in percentage for both the spot and forward rates. SFr Maturity Bid Ask Spread Bid Ask Spread Spot $2.0015 $2.0030 0.075 $0.6963 $0.6968 0.072 30-day 1.9996 2.0013 0.085 0.6967 0.6974 0.100 90-day 1.9989 2.0008 0.095 0.6972 0.6982 0.143 180-day 1.9973 1.9995 0.110 0.6988 0.7006 0.258
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