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90-day interest rate in CAD = 6.25% 90-day interest rate in CHF = 5.50% Current spot rate is CAD/CHF = 0.7901 Quoted CAD/CHF 90-day forward

90-day interest rate in CAD = 6.25%

90-day interest rate in CHF = 5.50%

Current spot rate is CAD/CHF = 0.7901

Quoted CAD/CHF 90-day forward = 0.8100

  1. Calculate the correct 90-day forward rate
  2. Describe the correct arbitrage trade
  3. Calculate arbitrage profits based on an initial CHF 1 million

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