Question
Suppose the spot rates for the pound, mark, and Swiss franc are $1.50, $.42, and $.48, respectively. The associated 90 day interest rates (annualized) are
Suppose the spot rates for the pound, mark, and Swiss franc are $1.50, $.42, and $.48, respectively. The associated 90 day interest rates (annualized) are 12%, 6%, and 4%, while the U.S. 90 day interest rate (annualized) is 8%. What is the 90 day forward rate on a DCU (DCU 1 = 1 + DM1 + SFr1) if interest parity holds?
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Management Of Islamic Finance
Authors: M. Kabir Hassan, Mamunur Rashid
1st Edition
1787564045, 978-1787564046
