2) The two-month interest rates in UK and the United States are, respectively, 4% and 2% per annum with continuous compounding. The spot price of the British pound is $1.30. (a) What is the theoretical two-month futures price of the British pound? [10% marks) (b) If the futures price of the British pound for a contract deliverable in two months is $1.25. What arbitrage opportunities does this create? Describe your arbitrage strategy in detail