On Thursday, June 23, 2016, electorate in the United Kingdom and Gibraltar voted in the referendum on whether to Remain or Leave the European Union. Voting started at

0700 BST and finished at 2200 BST. The final result was announced at 0720 BST, June 24, 2016. We will take a look at the exchange rate movements during this period.

Sheet Part IIIA includes daily data in 2016 (Jan 1 Dec 30) covering the spot, overnight (ON) and one-week forward rates for GBP-USD pair. Sheet Part IIB

includes the daily LIBOR rates for GBP and USD in per annum terms (the day count per year for GBP and USD are 365 and 360 days respectively).

We are interested in the two-week period from Monday, June 20 to Friday, July 1. This is the period of turmoil in the market. Our task here is to check if the CIRP holds. Calculate ON forward rates from the spot rates and two interest rates. Compare it with the market forward rates by calculating the differences. Report the steps and the formula you used in your calculation, starting with the given data. Report the resulting differences over the two-week period, its mean and standard deviation.

overnight interest rate

	GBP (365 day count)	USD (360 day count)
2016/6/20	0.4825	0.3901
2016/6/21	0.4825	0.3901
2016/6/22	0.4825	0.3896
2016/6/23	0.48375	0.3911
2016/6/24	0.48	0.3934
2016/6/27	0.47875	0.4001
2016/6/28	0.47875	0.4016
2016/6/29	0.47875	0.4051
2016/6/30	0.4775	0.4116
2016/7/1	0.47875	0.4061

	Spot	Forwards
		ON	1 Week
2016/6/20	1.4694	1.46589	1.465892
2016/6/21	1.4645	1.464395	1.464598
2016/6/22	1.4703	1.475482	1.475692
2016/6/23	1.4878	1.498469	1.498683
2016/6/24	1.3678	1.369333	1.369856
2016/6/27	1.3218	1.322244	1.322433
2016/6/28	1.334	1.334089	1.334146
2016/6/29	1.3424	1.3436	1.342897
2016/6/30	1.3306	1.330817	1.330932
2016/7/1	1.3261	1.327473	1.327506