Question 2 (24 marks) Suppose the spot exchange rate between Japanese yen (JPY) and Canadian dollars (CAD) is JPY/CAD=92.44. The interest rate in Japan is 0.25% p.a. and 1% p.a. in Canada. Please find the futures price for this currency pair if a contract is:

(a) 1 year

(b) 6 months

(c) 1 month until maturity.

In computing the futures prices, please make use of 360 days as one year. Is the Japanese yen trading at a forward discount or premium?