Question
1. Covered Interest Arbitrage in Both Directions. The following information is available: You have $500,000 to invest The current spot rate of the Moroccan dirham
1. Covered Interest Arbitrage in Both Directions. The following information is available:
You have $500,000 to invest
The current spot rate of the Moroccan dirham is $.110.
The 60-day forward rate of the Moroccan dirham is $.108.
The 60-day interest rate in the U.S. is 1 percent.
a)The 60-day interest rate in Morocco is 2 percent.a. What is the yield to a U.S. investor who conducts covered interest arbitrage? Did covered interest arbitrage work for the investor in this case?
b. Would covered interest arbitrage be possible for a Moroccan investor in this case?
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Principles Of Housing Finance Reform
Authors: Susan M. Wachter, Joseph Tracy
1st Edition
0812248627, 978-0812248623
