Based on the above data calculate the theoretical futures


Consider the following data:

Spot on Canadian Dollar (C$) .6539 USD/C$

one month forward rate: .6532

three month forward rate: .6515

six month forward rate: .6486

90 day commercial paper rate: 1.20%

three month LIBOR: 1.34%%

three month London Euro commercial paper rate 2.69%

Based on the above data, calculate the theoretical futures price for a three month futures

Contract on the C$ if we treat the commercial paper rate as the domestic risk free rate and  The Euro CP as the foreign risk free rate.

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Financial Management: Based on the above data calculate the theoretical futures
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