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1) You have the following market data. Continuously compounded two-year risk-free interest rates in Australia and the U.S. are 6.89% and 4.02%, respectively, per annum.
1)
You have the following market data.
- Continuously compounded two-year risk-free interest rates in Australia and the U.S. are 6.89% and 4.02%, respectively, per annum.
- Spot exchange rate between the Australian dollar and the U.S. dollar is $0.738 per Australian dollar.
What is the no-arbitrage two-year forward exchange rate (expressed in U.S. dollars)?
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
