what would you expect the gbp chf swap price to be for one year forward ignore the b 600431

Aug 29, 2021 | Uncategorized

What would you expect the GBP/CHF swap price to be for one year forward? (Ignore the buy–sell spread and calculate the middle price only.)

Spot

3-month forward swap

USD/CHF

1.5140/45

29/32

USD/NOK

7.1020/40

246/259

GBP/USD

1.6490/00

268/265

Based on the prices above, what are the two-way prices for:

  1. CHF/NOK spot? Which side does the customer buy NOK?
  2. GBP/NOK spot? Which side does the customer sell GBP?
  3. USD/NOK 3 months forward outright?
  4. GBP/USD 3 months forward outright?
  5. GBP/NOK 3 months forward outright? Which currency has higher interest rates?
  6. CHF/NOK 3 months forward outright? Which currency has higher interest rates?

g. CHF/NOK 3 months forward swap?