Question
What is the 6-month Swiss bill rate? Provide step by step detailed calculations to the following solution. How was 4.2% and 6.450% calculated? Spot rate,
What is the 6-month Swiss bill rate? Provide step by step detailed calculations to the following solution. How was 4.2% and 6.450% calculated?
Spot rate, midrate (SF/$) 1.2580
Six-month forward rate, midrate (SF/$) 1.2605
Maturity (days) 180
6-month US dollar treasury rate (yield) 4.200%
Solving for implied SF interest rate 6.450%
(Check calculation: the six-month forward 1.2719)
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Handbook Of Income Distribution Volume 2A
Authors: Anthony B. Atkinson, Francois Bourguignon
1st Edition
0444594280, 978-0444594280
