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
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