The 180-day CAD/CHF rate is bid 62 and the 90-day CAD/CHF rate is bid 29. What is the bid rate for 120 days, assuming straight-line interpolation?
A) 33
B) 42
C) 27
D) 40

Question

Quizplus · Accepted Answer

To find the 120-day bid rate using straight-line interpolation, calculate the rate per day between the 90-day and 180-day rates, then apply it to the 30-day difference from 90 to 120 days. The rate per day is (62-29)/(180-90) = 33/90 = 0.3667. For 30 days, the increase is 0.3667 * 30 = 11. Therefore, the 120-day rate is 29 + 11 = 40.

The 180-Day CAD/CHF Rate Is Bid 62 and the 90-Day