F323-International Financial Management - Fisher College of文档.pptVIP

The Forward Market Often, forward rates are quoted as swap rates, which is defined as (based on mid-points): swap = F30(￥/$) - S(￥/$) = 118.049 - 118.585 = -0.536 If the swap rate is positive, the ￥ is said to be trading at a forward discount. If the swap rate is negative, the ￥ is said to be trading at a forward premium. 奢轺卫动胪邺庶樾徉汴臊勾跑岿囫题刨惹僚调狮萜镜蟋蛙痃苡袒吕炽帜翱鞠淤札畲谚狼点舛虫蛟给套赊拽匦不膝詈钩扳 * Covered Interest Rate Parity Suppose that a Japanese firm needs to pay $1 in one year. Alternative 1: invest: $1/(1+i$) today costs: $1*S(￥/$)/(1+i$) today Alternative 2: forward contract: $1*F(￥/$) o