Q8. A fund manager plans to sell equities denominated in Swiss Francs (CHF) and purchase an equivalent amount of equities denominated in South African rands (ZAR) She will realize net proceeds of 5 million CHF at the end of 90 days and wants to eliminate the risk that the ZAR will appreciate relative to the CHF during this 90-day period. The following exhibit shows current exchange rates between the ZAR, CHF, and the U.S. dollar (USD) Currency Exchange Rates USD/ZARUSD/CHF USD/ZAR Bid 6.2681 6.2538 6.2104 USD/CHF Bid 1.5282 1.5226 1.5058 Maturity Ask 6.2789 6.2641 6.2200 1.5343 1.5285 1.5115 30-day 90-day *Example: 1 United States Dollar equals 6.2681 South African Rand, (S1-R6.2681) Reminder: Please do not round intermediate calculations. You may use a spreadsheet program Describe the currency transaction that she should undertake to eliminate currencv risk over the 90-day period Calculate CHF/ZAR cross-currency rate she would use in valuing the Swiss equity portfolio. b. c. Calculate the current value of her Swiss equity portfolio in ZAR. d. Calculate the annualized forward premium or discount at which the ZAR is trading versus the CHF