Problem
The following table shows the midmarket (i.e., average of the bid and offer) for the current YEN/GBP spot exchange rate as well as for GBP and YEN 270-day LIBOR (annualized):
Spot (YEN/GBP)
|
1.2089
|
270-day LIBOR (GBP)
|
5.25%
|
270-DAY LIBOR (YEN)
|
1.25%
|
• What is the forward premium or discount for a 270-day forward contract for YEN/GBP?