Fx PRM

ameyakukde
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Joined: Thu Aug 02, 2012 11:55 am

Fx PRM

Postby ameyakukde » Tue Apr 09, 2013 12:58 am

Consider the following Fx rates:

What is the 3 months CHF/ZAR outright forward price?

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The Correct answer is 3.2875/24. Outright rates against USD

CHF USD/ZAR
Spot 1.6250/60 5.3180/00
3 months 48/43 133/143
Outright forward rate 1.6202/17 5.3313/43

Base currency=CHF
Variable currency= ZAR
Both are quoted normally against USD.
Forward cross rate is therefore: Bid (B) of currency 2 / Ask of currency 1 i.e., A2 / Bl
(5.3313 * 5.3343)/(1.6217*1.6202)== 3.2875/24

Please ExpLAIN THE FORMULAE USED. Also, how about we solve this taking ZAR as base currency?

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