Reading 40 Schweser, Challenge Problem 14

CFA Level II Derivatives
#1

In this question on currency forwards, the answer is based on a 365 day convention on the forward pricing. I have seen on formula sheets the 360 day convention…Which is correct?

#2

In Economics, they assume nominal interest rates with 360 days per year.

In Derivatives, they assume effective interest rates with 365 days per year.

#3

Thanks for your input!

#4

You’re welcome.