Estimate the difference between short-term interest rates in Switzerland and the U.S. in May 2016. The USD per CHF (CHF/USD) Futures prices were as follows: Jun 2016: 1.05060 Sep 2016: 1.05485 Assuming there are 3 months exactly between these two Futures expiry dates, v
Estimate the difference between short-term interest rates in Switzerland and the U.S. in May 2016. The USD per CHF (CHF/USD) Futures prices were as follows: Jun 2016: 1.05060 Sep 2016: 1.05485 Assuming there are 3 months exactly between these two Futures expiry dates, v
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
Section: Chapter Questions
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Transcribed Image Text:Estimate the difference between short-term interest rates in Switzerland and the
U.S. in May 2016. The USD per CHF (CHF/USD) Futures prices were as follows:
Jun 2016: 1.05060
Sep 2016: 1.05485
Assuming there are 3 months exactly between these two Futures expiry dates, what
interest rate differential between U.S. and Swiss short-term risk-free interest rates is
implied by these Futures quotes?
The Swiss risk-free rate was lower than the US rate by about 1.62%
The US risk-free rate was higher than the Swiss rate by about 40.5 basis points
The Swiss risk-free rate was lower than the US rate by about 2.17%
The Swiss risk-free rate was higher than the US rate by about 0.425%
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