Type 2: Calculation of Swap Points:

Q.1) Given:

Spot GBP USD                      1.9845/1.9855

USD Interest Rate                  4.1250–4.3750% p.a.

GBP Interest Rate                  5.8750–6.1250% p.a.

Calculate Swap Points for 3 months.

(Ans.: 98/70)


Q.2) Given:

Spot USD CAD 1.1000/1.1100

CAD deposit rate 4.75%

USD deposit rate 4.00%

3 months forward (swap points) 20/30

Calculate arbitrage free lending rates for the two currencies.

(Ans.: Interest Rate in USD 5.09% & CAD 4.02%)



Q.3) Given:

Spot GBP INR           78.3525/75

INR rate                      4% – 4.25%

USD rate                                 3% – 3.25%

Calculate 6 months forward rate.

(Ans.: 78.4980/78.6005)


Q.4) Given: Spot EUR INR 67.80/68.00. Interest rates in India are 9% and 9.20%. Interest rates in Europe are 5.00% and 5.20%. Calculate 3 months forward rate and swap points.

(Ans.: 68.4358/68.7052 and 6358/7052)


Q.5) USD INR                     44.8350/44.8400

USD Deposit Interest Rates   2.35%

INR Deposit Interest Rates    4%

3 months forward                   1159/2117

Calculate lending rates.

(Ans.: 2.60% & 4.25%)



GBP USD 1.6500/1.6580 Spot

Interest Rates in Britain 5.00% and 5.10% p.a.

GBP USD 1.6600/1.6700 for 6 months forward

Calculate interest rates in US of A.

(Ans.: 6.34% and 6.48% p.a.)

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