Question: Repeat the previous exercise, except that after six months the exchange rate is at waf/fly 1, not 0.9. Use the following time-0 data for the

Repeat the previous exercise, except that after six months the exchange rate is at waf/fly 1, not 0.9.

Use the following time-0 data for the fictitious currency, the Walloon Franc (waf) and the Flemish Yen (fly), on Jan. 1, 2000. The spot exchange rate is 1 waf/fly.

Interest rates FLY 5% 5% Swap rate 180 days 360 days WAF WAF/FLY 10.125% 0.025 10.250% 0.050

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