Andreas Broszio (Geneva). Andreas Broszio just started as an analyst for Credit Suisse in Geneva,...
50.1K
Verified Solution
Link Copied!
Question
Accounting
Andreas Broszio (Geneva). Andreas Broszio just started as an analyst for Credit Suisse in Geneva, Switzerland. He receives the following quotes for Swiss francs against the dollar for spot, 1 month forward, 3 months forward, and 6 months forward.
| Spot exchange rate: | ||
| Bid rate | SF1.2599/$ | |
| Ask rate | SF1.2622/$ | |
| 1-month forward | 10 to 15 | |
| 3-months forward | 14 to 22 | |
| 6-months forward | 20 to 30 | |
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.
|
| Bid | Ask | Spread |
| One-month forward (SF/$) |
|
|
|
| 3-months forward (SF/$) |
|
|
|
| 6-months forward (SF/$) |
|
|
|
b. What do you notice about the spread as quotes evolve from spot toward 6 months?
c. What is the 6-month Swiss bill rate?
Six-month Swiss bill rate
Spot rate, midrate (SF/$)
Six-month forward rate, midrate (SF/$)
Maturity (days)
Six-month U.S. dollar treasury rate (yield)
%
Implied SF interest rate
%
Get Answers to Unlimited Questions
Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!
Membership Benefits:
- Unlimited Question Access with detailed Answers
- Zin AI - 3 Million Words
- 10 Dall-E 3 Images
- 20 Plot Generations
- Conversation with Dialogue Memory
- No Ads, Ever!
- Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Other questions asked by students
StudyZin's Question Purchase
1 Answer
$0.99
(Save $1 )
One time Pay
- No Ads
- Answer to 1 Question
- Get free Zin AI - 50 Thousand Words per Month
Unlimited
$4.99*
(Save $5 )
Billed Monthly
- No Ads
- Answers to Unlimited Questions
- Get free Zin AI - 3 Million Words per Month
*First month only
Free
$0
- Get this answer for free!
- Sign up now to unlock the answer instantly
You can see the logs in the Dashboard.