Problem $5\mathrm{.}15$

Omni Advisors, an international pension fund manager, plans to sell equities denominated in Swiss francs $($CHF$)$ and

purchase an equivalent amount of equities denominated in South African rands $($ZAR$).$

Omni will realize net proceeds of $3$ million CHF at the end of $30$ days and wants to eliminate the risk that the ZAR will

appreciate relative to the CHF during this $30-$day period. The following exhibit shows current exchange rates between the

ZAR, CHF$,$ and the U$.$S$.$ dollar $($USD$).$

Required:

Calculate the following:

a$.$ The CHF$/$ZAR cross$-$currency rate Omni would use in valuing the Swiss equity portfolio.

Note: Round your answer to $9$ decimal places.

b$.$ The current value of Omni's Swiss equity portfolio in ZAR.

Note: Round your answer to $2$ decimal places.

c$.$ The annualized forward premium or discount at which the ZAR is trading versus the CHF$.$

Note: Negative amount should be indicated by a minus sign. Round your answer to $2$ decimal places.