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A foreign exchange trader at J.P. Morgan Chase, can invest S5 million, or the foreign currency equivalent of the bank's shortterm funds, in a covered
A foreign exchange trader at J.P. Morgan Chase, can invest S5 million, or the foreign currency equivalent of the bank's shortterm funds, in a covered interest arbitrage with Denmark. Using the following quotes can the trader make covered interest arbitrage (CIA) profit. Valuc Arbitrage funds available Spot exchangc rate (DKR per S) 6-month forward rate (DKR per S) US dollar 6-month interest ratc Danish kroner 6-month interest rate A) Show if there is an arbitrage opportunity B) If your answer is yes in part A, show your arbitrage strategy and profit step by step. S5,000,000 7.0000 7.3500 2.000% 6.000%
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