With the information below, calculate the 3-month USD-CNH FX swap (in pips; corrected to 1...
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With the information below, calculate the 3-month USD-CNH FX swap (in pips; corrected to 1 decimal place) Marks are given to both the initial formula and final answer.
CNH spot: 6.5500
3mth USD Libor = 0.45% (Act/ 360)
3mth CNH Hibor = 2.88% (Act/ 365)
3mth xccy basis = -0.25 % (Act/365)
Take number of days in 3 months as 92 days
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