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Suppose you work for Citicorp South Korea.

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Question

Suppose you work for Citicorp South Korea. A local bank wanted to buy USD50,000,000 one month forward. Since you think Korea is a risky environment you need to built 2% margin (monthly) in your forward price to account for risk. Current spot and one month interest rates in USD and Korean Won are as follows. What would be your forward quote?

 

Paper#27809 | Written in 18-Jul-2015

Price : $22
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