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MAC3702 ASSIGNMENT 1 SEMESTER 1 OF 2022

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MAC3702 ASSIGNMENT 1 – SEMESTER 1 OF
2022




FOR ACCADEMIC NEEDS CONTACT US AT /0651609781

, 1. 2.2662

𝐵𝑢𝑦i𝑛𝑔 𝑅𝑎𝑡𝑒 + 𝑆𝑒𝑙𝑙i𝑛𝑔 𝑅𝑎𝑡𝑒
Mid - Rate =
2

(2.2891 + 2.2433)
=
2


= 𝑅2. 2662

2. 2.0798

1 + i𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑟𝑎𝑡𝑒 i𝑛 𝑟𝑒𝑓𝑒𝑟𝑒𝑛𝑐𝑒 𝑐𝑜𝑢𝑛𝑡𝑟𝑦
90 – day forward rate = 𝑆𝑝𝑜𝑡 𝑟𝑎𝑡𝑒 *
1 + i𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝑟𝑎𝑡𝑒 i𝑛 𝑏𝑎𝑠𝑒 𝑐𝑢𝑟𝑟𝑒𝑛𝑐𝑦

90
1+(0.07 * )
365
= 2.0664 * 1+(0.0435 *
90
)
365


= 𝑅2. 0798

FOR ACCADEMIC NEEDS CONTACT US AT /0651609781

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