I have a very specific question in regards to a forward calculation. The USDEUR spot rate today is 0.759503. Libor and Euribor forward rates for the NeXT year are as follows:
Fwd 3m Libor
0.00288 0.00283 0.00321 0.00348
Fwd 3m EUROIBOR
0.00218 0.00190 0.00259 0.00310
I am told that the implied appreciation of the EUR is 32 bp, which i do not understand. When i calculate it using interest rate parity i only get approx. 6bp.
Can anyone help?