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The Eurosterling interest rate for 1 year (exactly 365 days) is 6%. The EuroSwiss Franc interest rate for the same period is 3%. The spot

The Eurosterling interest rate for 1 year (exactly 365 days) is 6%. The EuroSwiss Franc interest rate for the same period is 3%. The spot rate today is GBP/CHF 1.3580/90.

What would you expect the GBP/CHF swap price to be for 1 year forward?

(Ignore the buy-sell spread and calculate the middle price only.)

Please explain the theory behind the calculation clearly as I am a beginner. Thank you.

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