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6) You have the following market data. Spot price for the Mexican Peso is $0.06 per Peso. Futures price is $0.064 per Peso on a
6)
You have the following market data.
- Spot price for the Mexican Peso is $0.06 per Peso.
- Futures price is $0.064 per Peso on a contractthat expires in one month.
- U.S. dollar LIBOR for one month is a continuously compounded rate of 1.48% per annum.
- Mexican LIBOR for one month is a continuously compounded rate of 2.71% per annum.
- The contract size is 500,000 Mexican Pesos.
What is thetotal net profitif you execute the arbitrage strategy with one futures contract?
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Introduction to Finance Markets Investments and Financial Management
Authors: Melicher Ronald, Norton Edgar
15th edition
9781118800720, 1118492676, 1118800729, 978-1118492673
