You are quoted the following rates: Spot USD/JPY 97.10-15 3M USD/JPY swap 9/6 Spot USD/CHF 0.9320-23 3M USD/CHF swap 11/8 Where can you sell CHF against JPY 3-month outright?
A) 104.14
B) 104.21
C) 104.23
D) 104.30

Question

You are quoted the following rates: Spot USD/JPY        97.10-15 3M USD/JPY swap         9/6 Spot USD/CHF         0.9320-23 3M USD/CHF swap         11/8 Where can you sell CHF against JPY 3-month outright?
A) 104.14
B) 104.21
C) 104.23
D) 104.30

Quizplus · Accepted Answer

To sell CHF against JPY 3-month outright, you need to calculate the 3-month forward rate for both USD/JPY and USD/CHF, then find the cross rate. The forward rate for USD/JPY is 97.10 + 0.09 = 97.19. The forward rate for USD/CHF is 0.9320 + 0.0011 = 0.9331. The cross rate is 97.19 / 0.9331 = 104.14.

You Are Quoted the Following Rates: Spot USD/JPY 97