Suppose that the interbank forward bid for March 20 on Swiss francs is $0.7827 and the...
Suppose that the interbank forward bid for March 20 on Swiss francs is $0.7827 and the price of IMM Swiss franc futures for delivery on March 20 is $0.7795. How much of an arbitrage profit could a dealer earn per March Swiss franc futures contract of SFr 125,000?
Homework Answers
Profit earned=Contract size*(interbank forward bid-price of IMM Swiss franc futures)=125000*(0.7827-0.7795)=$400.00
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Suppose that the interbank forward bid for March 20 on Swiss
francs is $0.7827 and the...
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3. The forward price of the Swiss franc for delivery in 50 days is quoted as 1.2000. The future price for a contract that will be delivered in 50 days is 0.85. Explain these two quotes. Which is more favorable for an investor wanting to sell Swiss francs? Why do you think so?
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