Problem 1 Credit Suissse 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, one-month forward, 3-months forward, and 6-months forward. Spot exchange rate: Bid rate Ask rate One-month forward 3-months forward 6-months forward SF 1.2575/$ SF 1.2585/S 10 to 15 14 to 22 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 six months?
Problem 1 Credit Suissse 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, one-month forward, 3-months forward, and 6-months forward. Spot exchange rate: Bid rate Ask rate One-month forward 3-months forward 6-months forward SF 1.2575/$ SF 1.2585/S 10 to 15 14 to 22 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 six months?
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
Problem 1PS
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1.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, one-month forward, 3-months forward, and 6-months forward.
Transcribed Image Text:Problem 1 Credit Suissse 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, one-month forward, 3-months forward, and 6-months forward.
Spot exchange rate:
Bid rate
Ask rate
One-month forward
3-months forward
6-months forward
SF 1.2575/$
SF 1.2585/S
10 to 15
14 to 22
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 six months?
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