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"economics"exercise:NZD/GBP forward rate
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Questions 1:
A research report produced by a dealer includes the following exchange rates:
The expected appreciation (%) of the Canadian dollar (CAD) relative to the British pound (GBP) is closest to:
A、 –3.00
B、 3.09.
C、 0.70.
Questions 2:
The following information is available:
New Zealand dollar (NZD) to British pound (GBP) spot exchange rate: 2.0979
Libor interest rates for the British pound: 1.6025%
Libor interest rates for the New Zealand dollar: 3.2875%
All Libor interest rates are quoted on a 360-day year basis
The 180-day forward points (scaled up by four decimal places) in NZD/GBP is closest to:
A、 39.
B 、348.
C、 176.
View answer resolution
【Answer to question 1】B
【analysis】
B is correct.
【Answer to question 2】C
【analysis】
C is correct. Covered interest arbitrage will ensure identical terminal values by investing the same initial amounts at the respective country’s domestic interest rates:
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