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Assume you are a corporate customer – therefore, a price taker . You need to ...
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Assume you are a corporate customer – therefore, a price taker.
You need to buy EUR versus USD outright for delivery in 3 months.
ANZ and Westpac’s spot prices are 1.1515/19 and 1.1518/23 respectively.
Their 3 month FX swap prices are 38/40 and 37/39, respectively.
By combining the prices from both banks, the best possible available 3 month hedge rate is:
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