4. Credit Suisse 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 SF1.2575/$ Ask rate SF1.2585/S 1 month forward 10 to 15 3 months forward 14 to 22 6 months forward 20 to 30 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?

4. Credit Suisse 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 SF1.2575/$ Ask rate SF1.2585/S 1 month forward 10 to 15 3 months forward 14 to 22 6 months forward 20 to 30 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?

ENGR.ECONOMIC ANALYSIS

14th Edition

ISBN:9780190931919

Author:NEWNAN

Publisher:NEWNAN

Chapter1: Making Economics Decisions

Section: Chapter Questions

Problem 1QTC

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Question

4. Credit Suisse 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
SF1.2575/$
Ask rate
SF1.2585/S
1 month forward
10 to 15
3 months forward
14 to 22
6 months forward
20 to 30
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?

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