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Consider the Following Spot and Forward Rate Quotations for the Swiss

Question 13

Multiple Choice

Consider the following spot and forward rate quotations for the Swiss franc. S($/SFr) = 0.85
F1($/SFr) = 0.86
F2($/SFr) = 0.87
F3($/SFr) =0.88
Calculate the 3-month forward premium in American terms.Assume 30-360 pricing convention.


A) 0.353.
B) 0.4235.
C) 0.1364.
D) 0.1412.

Correct Answer:

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