Type 2: Calculation of Swap Points:
Q.1) Given:
Spot GBP USD 1.9845/1.9855
USD Interest Rate 4.1250–4.3750% p.a.
GBP Interest Rate 5.8750–6.1250% p.a.
Calculate Swap Points for 3 months.
(Ans.: 98/70)
Q.2) Given:
Spot USD CAD 1.1000/1.1100
CAD deposit rate 4.75%
USD deposit rate 4.00%
3 months forward (swap points) 20/30
Calculate arbitrage free lending rates for the two currencies.
(Ans.: Interest Rate in USD 5.09% & CAD 4.02%)
Q.3) Given:
Spot GBP INR 78.3525/75
INR rate 4% – 4.25%
USD rate
Calculate 6 months forward rate.
(Ans.: 78.4980/78.6005)
Q.4) Given: Spot EUR INR 67.80/68.00. Interest rates in India are 9% and 9.20%. Interest rates in Europe are 5.00% and 5.20%. Calculate 3 months forward rate and swap points.
(Ans.: 68.4358/68.7052 and 6358/7052)
Q.5) USD INR 44.8350/44.8400
USD Deposit Interest Rates 2.35%
INR Deposit Interest Rates 4%
3 months forward 1159/2117
Calculate lending rates.
(Ans.: 2.60% & 4.25%)
Q.6)
GBP USD 1.6500/1.6580 Spot
Interest Rates in Britain 5.00% and 5.10% p.a.
GBP USD 1.6600/1.6700 for 6 months forward
Calculate interest rates in US of A.
(Ans.: 6.34% and 6.48% p.a.)
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