Question
The USD/BRL spot rate is at 5.30 and the 6-month forward is at 5.38. The local interest (DI rate) for the same period is 4%
The USD/BRL spot rate is at 5.30 and the 6-month forward is at 5.38. The local interest (DI rate) for the same period is 4% per year. What is the implied USD interest rate (Coupon Exchange) ? Assuming volatility of 20% per year, how much is a European ATM forward call worth? And the ATMF PUT?
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Handbook Of Consumer Finance Research
Authors: Jing Jian Xiao
2nd Edition
3319288857, 978-3319288857
