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Sir,
Just need your clarification. Can I assume the Three-month forward rates equal spot rate on transaction date, to estimate the expected futures rate which comes to 0.8657 as follow :
(Jun Futures – Current Spot * 1/4) + 3-month forward rate
(0.8656 – 0.8632 * 1/4) + 0.8651 = 0.8657, which is different from the examiner’s answer.
Thanking you in advance.
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