b. What is the annual forward premium on the yen for all maturities? (Assume that the U.S. dollar is the home currency.) The annual forward premium is: Spot rateMid-Rate -Forward rateMid-Rate Forward rateMid-Rate The annual forward premium for all maturities is calculated below: Forward premium= Period Spot 1 month 2 months 3 months 6 months 12 months 24 months Days Forward 0 30 60 90 180 380 720 Bid Rate \/$ 85.60 86.20 86.03 85.57 84.43 84.17 83.11 -x(360/Days) Ask Rate \/$ 85.65 86.24 86.08 85.61 84.46 84.21 83.16 Forward Premium -8.281 % -2.998 0.164 2.795 1.705 1.498

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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b. What is the annual forward premium on the yen for all maturities? (Assume that the U.S. dollar is the home currency.)
The annual forward premium is:
Forward premium=
The annual forward premium for all maturities is calculated below:
Period
Spot rateMid-Rate -Forward rateMid-Rate
Forward rateMid-Rate
Spot
1 month
2 months
3
months
6 months
12 months
24 months
Days
Forward
0
30
60
90
180
380
720
Bid Rate
\/$
85.60
86.20
86.03
85.57
84.43
84.17
83.11
x(360/Days)
Ask Rate
\/$
85.65
86.24
86.08
85.61
84.46
84.21
83.16
Forward
Premium
-8.281 %
-2.998
0.164
2.795
1.705
1.498
Transcribed Image Text:b. What is the annual forward premium on the yen for all maturities? (Assume that the U.S. dollar is the home currency.) The annual forward premium is: Forward premium= The annual forward premium for all maturities is calculated below: Period Spot rateMid-Rate -Forward rateMid-Rate Forward rateMid-Rate Spot 1 month 2 months 3 months 6 months 12 months 24 months Days Forward 0 30 60 90 180 380 720 Bid Rate \/$ 85.60 86.20 86.03 85.57 84.43 84.17 83.11 x(360/Days) Ask Rate \/$ 85.65 86.24 86.08 85.61 84.46 84.21 83.16 Forward Premium -8.281 % -2.998 0.164 2.795 1.705 1.498
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