b. What is the annual forward premium on the yen for all maturities? (Assume that the U.S. dollar is the home currency.) The annual forward premium is: Spot rateMid-Rate -Forward rateMid-Rate Forward rateMid-Rate The annual forward premium for all maturities is calculated below: Forward premium= Period Spot 1 month 2 months 3 months 6 months 12 months 24 months Days Forward 0 30 60 90 180 380 720 Bid Rate \/$ 85.60 86.20 86.03 85.57 84.43 84.17 83.11 -x(360/Days) Ask Rate \/$ 85.65 86.24 86.08 85.61 84.46 84.21 83.16 Forward Premium -8.281 % -2.998 0.164 2.795 1.705 1.498
b. What is the annual forward premium on the yen for all maturities? (Assume that the U.S. dollar is the home currency.) The annual forward premium is: Spot rateMid-Rate -Forward rateMid-Rate Forward rateMid-Rate The annual forward premium for all maturities is calculated below: Forward premium= Period Spot 1 month 2 months 3 months 6 months 12 months 24 months Days Forward 0 30 60 90 180 380 720 Bid Rate \/$ 85.60 86.20 86.03 85.57 84.43 84.17 83.11 -x(360/Days) Ask Rate \/$ 85.65 86.24 86.08 85.61 84.46 84.21 83.16 Forward Premium -8.281 % -2.998 0.164 2.795 1.705 1.498
Chapter7: International Arbitrage And Interest Rate Parity
Section: Chapter Questions
Problem 40QA
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