Question
The spot rate for the euro is USD1.1436 per EUR. The USD LIBOR interest rate for 180 days is 2.8866% (APR) and the EUR LIBOR
The spot rate for the euro is USD1.1436 per EUR. The USD LIBOR interest rate for 180 days is 2.8866% (APR) and the EUR LIBOR interest rate for 180 days is -0.3259 (APR) (-32.59 basis points).
Calculate the 180 day forward rate (F(USD per EUR)180 days) down to 4 decimal places.
Determine the USD price of a 180-day (financial) futures contract on one EUR (down to 4 decimals) and compare this to the forward rate.
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International Finance The Markets And Financial Management Of Multinational Business
Authors: Maurice D. Levi
3rd Edition
0070376875, 978-0070376878
