Consider the following spot exchange rate for AUD against the Swiss franc (CHF): 10 Marks Spot: AUD/CHF0.9750 Interest rates: AUD 7.05% p.a. CHF 4.55% p.a. (a) What is the forward rate for value date 160 days? For daily interest accruals use 365 days for Australia and 360 days for Switzerland. (b) Assume you sold an AUD1 million 160-day forward contract at the above forward rate, and after 60 days you offset the forward contract by buying a 100-day forward contract. The spot exchange rate and interest rates after 60 days are: Spot: AUD/CHF0.9875 Interest rates: AUD 7.00% p.a. CHF 4.00% p.a. Have you gained or lost? Show all equations and detailed calculations for each of your answers