Question: Question 5 (7 points total): The spot exchange rate between USD and CAD is currently 1.25 CAD per USD. FRA rates written on 1Y OIS

Question 5 (7 points total): The spot exchange rate between USD

Question 5 (7 points total): The spot exchange rate between USD and CAD is currently 1.25 CAD per USD. FRA rates written on 1Y OIS rates (continuously compounded) are available in both currencies in the following table. FRA Type 0x12 USDois 12x24 USD OIS 24x36 USD OIS 0x12 CAD OIS 12x24 CAD OIS 24x36 CAD ois Rate 3% 5% 4% 4% 5% 6% Compute the 2 year forward exchange rate in terms of number of CAD per unit USD Question 5 (7 points total): The spot exchange rate between USD and CAD is currently 1.25 CAD per USD. FRA rates written on 1Y OIS rates (continuously compounded) are available in both currencies in the following table. FRA Type 0x12 USDois 12x24 USD OIS 24x36 USD OIS 0x12 CAD OIS 12x24 CAD OIS 24x36 CAD ois Rate 3% 5% 4% 4% 5% 6% Compute the 2 year forward exchange rate in terms of number of CAD per unit USD

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