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Question 4 (13 marks) Use the following spot and forward quotations for the US Dollars (USD) / Swiss Franc (CHF) to answer the following questions:
Question 4 (13 marks) Use the following spot and forward quotations for the US Dollars (USD) / Swiss Franc (CHF) to answer the following questions: Period spot 1 month 3 months 6 months (CHF 1 = USD Bid Ask 0.9312 - 0.9316 8 - 7 25 - 24 54 52 79 - 76 103 - 100 9 months 12 months 4A. Compute the outright USD/CHF (CHF = US$ maturities? forward rates for and all forward (4A. 5 marks) 4B. Based on the mid-rate (mid-point of bid and ask prices), what is the forward premium (or discount) for the CHF trading 1-month forward? (4B. 4 marks) 4C. Based on the mid-rate, what is the forward premium (or discount) for US Dollar trading 9- month forward? (4C. 4 marks) General Formula: Forward premium = (Forward - Spot)/(Spot) x (360 / days) Question 4 (13 marks) Use the following spot and forward quotations for the US Dollars (USD) / Swiss Franc (CHF) to answer the following questions: Period spot 1 month 3 months 6 months (CHF 1 = USD Bid Ask 0.9312 - 0.9316 8 - 7 25 - 24 54 52 79 - 76 103 - 100 9 months 12 months 4A. Compute the outright USD/CHF (CHF = US$ maturities? forward rates for and all forward (4A. 5 marks) 4B. Based on the mid-rate (mid-point of bid and ask prices), what is the forward premium (or discount) for the CHF trading 1-month forward? (4B. 4 marks) 4C. Based on the mid-rate, what is the forward premium (or discount) for US Dollar trading 9- month forward? (4C. 4 marks) General Formula: Forward premium = (Forward - Spot)/(Spot) x (360 / days)
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