You work at the forex desk at Citibank. Your colleagues at Citibank are currently posting the following bid and ask spot CHF/USD and money market quotes on its screen: 

= 1.3330 - 1.3335 

= 1.10 - 1.22 

= 0.14 - 0.26 

Compute the 6-month forward ask CHF/USD quotes such that a customer would be indifferent between entering an actual forward with you or constructing a synthetic forward position using your colleagues' quotes above. [Exchange rates are quoted CHF/USD; interest rates are for 6-months and quoted in percent per annum. Assume a 360-day year]

Answer rating: 100% (QA)

The forward exchange rate can be determined from the spot exchange rate and the interest rates in th... View the full answer