Forex Spot and Forward Illustration 9


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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%

 


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