Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the...
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Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss francs (CHF) against the dollar (USD) for spot, 1 month forward, 3 months forward, and 6 months forward: The current one-year U.S. T-Bill rate is 4.3%. a. Calculate outright quotes for bid and ask and the number of points spread between each. b. What do you notice about the spread as quotes evolve from spot toward 6 months? c. What is the 6-month Swiss bill rate? a. Calculate outright quotes for bid and ask and the number of points spread between each. Calculate the outright quotes for bid and ask and the number of points spread between each below: (Round to four decimal places.) One-month forward (CHF/$) 3-months forward (CHF/$) 6-months forward (CHF/$) Bid Ask Spread 1.2603 1.2621 0.0018 1.2607 1.2628 0.0021 1.2613 1.2636 0.0023 b. What do you notice about the spread as quotes evolve from spot toward 6 months? (Select from the drop-down menus.) It widens most likely a result of thinner and thinner trading volume. c. What is the 6-month Swiss bill rate? (Round exchange rate to four decimal places and interest rate to three decimal places.) Six-month Swiss bill rate Spot rate, midrate (CHF/$) 0.0463 Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Spot exchange rate: Bid rate CHF1.2593 = USD1.00 Ask rate CHF1.2606 = USD1.00 1-month forward 10 to 15 3-months forward 14 to 22 6-months forward 20 to 30 Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss francs (CHF) against the dollar (USD) for spot, 1 month forward, 3 months forward, and 6 months forward: The current one-year U.S. T-Bill rate is 4.3%. a. Calculate outright quotes for bid and ask and the number of points spread between each. b. What do you notice about the spread as quotes evolve from spot toward 6 months? c. What is the 6-month Swiss bill rate? a. Calculate outright quotes for bid and ask and the number of points spread between each. Calculate the outright quotes for bid and ask and the number of points spread between each below: (Round to four decimal places.) One-month forward (CHF/$) 3-months forward (CHF/$) 6-months forward (CHF/$) Bid Ask Spread 1.2603 1.2621 0.0018 1.2607 1.2628 0.0021 1.2613 1.2636 0.0023 b. What do you notice about the spread as quotes evolve from spot toward 6 months? (Select from the drop-down menus.) It widens most likely a result of thinner and thinner trading volume. c. What is the 6-month Swiss bill rate? (Round exchange rate to four decimal places and interest rate to three decimal places.) Six-month Swiss bill rate Spot rate, midrate (CHF/$) 0.0463 Data table (Click on the following icon in order to copy its contents into a spreadsheet.) Spot exchange rate: Bid rate CHF1.2593 = USD1.00 Ask rate CHF1.2606 = USD1.00 1-month forward 10 to 15 3-months forward 14 to 22 6-months forward 20 to 30
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Related Book For
Multinational Business Finance
ISBN: 9780137496013
16th Edition
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
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