The contract calls for purchase of 200 million EUR in 30 days. To compute the mark-to-market value, we would have to use the quote on 30-day forward contract to sell EUR. Given USD/EUR quote structure, we should use the bid price (going up the quote).
All-in bid price for 30-day USD/CHF forward contract = 0.9817 – 7.6/10,000 = 0.98094
FP
t = 1.3110 + 3.18/10,000 = 1.31132
FP = 1.3912 (given)
R = 30-day USD interest rate (we are discounting USD, hence use U.S. interest rate) = 0.21%
