Question
Given the following information, as a market dealer, how will you quote bid and ask prices for a 6-month AUD/USD forward contract? (Assume all the
Given the following information, as a market dealer, how will you quote bid and ask prices for a 6-month AUD/USD forward contract? (Assume all the interest rates are periodically compounded.)
Bid Ask
Spot rate: AUD/USD 0.7048 0.7068
AUD 6-month LIBOR 2.00% 2.50%
USD 6-month LIBOR 0.50% 1.00%
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Public Finance and Public Policy
Authors: Jonathan Gruber
4th edition
1429278455, 978-1429278454
