Question

Spot EUR/USD: 0.7940/0.8007 Spot USD/GBP: 1.8215/1.8240
Three months swap: 25/35
Calculate three month EUR/USD rate.

Answer 1

EUR---0.7940 three months swap is ----------25

&
NO OF MONTHS EUR-SPOT EUR-SWAP TOTAL RATE
1st month 0.7940& & & +0.0000& & 0.7940
2nd month 0.7940& & & & +0.0025& & 0.7965
3rd month & 0.7965& +0.0025& & 0.7990


USD---0.8007 three months swap is --------35


MONTHS& USD-SPOT USD-SWAP TOTAL RATE
1st month & 0.8007& +0.0000& 0.8007
2nd month & 0.8007& +0.0035& 0.8042
3rd month 0.8042& +0.0035& & 0.8077

Answered by Santhosh Kuamr N