The spot exchange rate between the Swiss franc (CHF) and the US dollar (USD) is currently 0.9786 CHF/USD. Six-month interest rates are 2% per annum in the United States and -0.5% (yes, negative) per annum in Switzerland. What is the implied forward rate in CHF/USD?
The spot exchange rate between the Swiss franc (CHF) and the US dollar (USD) is currently 0.9786 CHF/USD. Six-month interest rates are 2% per annum in the United States and -0.5% (yes, negative) per annum in Switzerland. What is the implied forward rate in CHF/USD?
Chapter20: Short-term Financing
Section: Chapter Questions
Problem 4ST
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The spot exchange rate between the Swiss franc (CHF) and the US dollar (USD) is currently 0.9786 CHF/USD. Six-month interest rates are 2% per annum in the United States and -0.5% (yes, negative) per annum in Switzerland.
What is the implied forward rate in CHF/USD?
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