Foreign exchange futures trade on several foreign currencies. The interest rate parity relationship for foreign exchange futures

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Foreign exchange futures trade on several foreign currencies. The interest rate parity relationship for foreign exchange futures is F0 = E0 (

_________ 1 + rUS 1 + rforeign

)

T with exchange rates quoted as dollars per foreign currency. Deviations of the futures price from this value imply an arbitrage opportunity. P-63

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