03 AM Mon 13 Nov UB < Black 1 Unable to lo... Assignment #2: CH5 AA Blackboard... - Assumptions Arbitrage funds available Spot rate (Y/S) 180-day forward rate (/S) Expected spot rate in 180 days (Y/S) 180-day U.S. dollar interest rate UBT 180-day Japanese yen interest rate Grade Detail... + :: Akira Numata, a foreign exchange trader at Credit Suisse (Tokyo), is exploring covered interest arbitrage possibilities. He wants to invest $5,000,000 or its yen equivalent, in a covered interest arbitrage between U.S. dollars and Japanese yen. He faced the following exchange rate and interest rate quotes: Value $5,000,000 118.60 117.80 118.00 ubt.blackboard.com 4.800% (annual) 3.400% (annual) New Conten... B Yen Equivalent 593,000,000 a. Identify if there is an arbitrage opportunity? b. Use the rule of thumb to find out where to start whether in dollars or yen, and then work out the covered interest arbitrage strategy? learn-eu-ce