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A bank can borrow or lend at LIBOR. Suppose that the six-month rate is 5% and the nine-month rate is 6%. The rate that can
A bank can borrow or lend at LIBOR. Suppose that the six-month rate is 5% and the nine-month rate is 6%. The rate that can be locked in for the period between six months and nine months using an FRA is 9%. What arbitrage opportunities are open to the bank? All rates are continuously compounded.
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Finance And Sustainability Proceedings From The Finance And Sustainability Conference Wroclaw 2017
Authors: Agnieszka Bem, Karolina Daszy?ska-?ygad?o , Ta?ána Hajdíková, Péter Juhász
1st Edition
