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A bank bill futures price for settling in 180 days is fixed at 93.75.A bank will issue a 180/270 FRA referenced to BBSW with a
A bank bill futures price for settling in 180 days is fixed at 93.75.A bank will issue a 180/270 FRA referenced to BBSW with a guaranteed rate of 6% pa.Assume that there is no spread between the FRA borrowing and lending rates.Identify a strategy which will yield an arbitrage profit, and demonstrate how this will be achieved if the 90 day bank bill rate turns out to be 8% in 180 days time.
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