The following quotes are available in Amsterdam:
$/DG spot: 0.5875/85
1 – month: 12/18
2 – month: 15/25
3 – month: 20/30
(1) Calculate the outright forwards.
(2) Indicate their spreads. (Mumbai University, April 2002)
(Ans.)
Outright forwards would be as follows:
|
Bid |
Ask |
|
| $/DG spot
1-month forward 2-month forward 3-month forward |
0.5875 0.5887 0.5890 0.5895 |
0.5885 0.5903 0.5910 0.5915 |
Indication of the spreads:
|
Spread Points |
Percentage Spread |
|
| $/DG spot
1-month forward 2-month forward 3-month forward |
10 16 20 20 |
0.1699% 0.2710% 0.3384% 0.3381% |
6 Comments