The two-month interest rates in Switzerland and the United States are 3% and 8% per annum, respectively,
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The two-month interest rates in Switzerland and the United States are 3% and 8% per annum, respectively, with continuous compounding. The spot price of the Swiss franc is $0.6500. The futures price for a contract deliverable in two months is $0.6600. What arbitrage opportunities does this create?
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