Look at BB in Reading 20 on Carry Trade (p144) - it says, “If the NZD curve moves to reflect today’s implied forward rates. the rate on the then 4.5 year swap will rise by 19 bps from 2.84% to 3.03%”
Where did they get this 3.03 percent?!?
Calculate the 4.5-year NZD forward rate 0.5 year from now.
(\frac{(1+0.0292)^5}{(1+0.0203)^{0.5}})^{1/4.5} - 1 = 3.02\%
About there.
Thank you for the reply!!
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