An Arbitrager wants to design a strategy to exploit profit out of differential in the interest rates across two markets while being covered against exchange rate volatility. The following market information is provided

Assumption

Arbitrage funds available Spot rate aud/us 90 day forward aud/us Expected spot rate in 90 days aud/us 0.7210 90 day us interest 2.5%

90 day aus interest 1.75% What is the percentage CIA profit potential if the day count convention is based on 365 days a year?

A. (((0.7212-0.7155)/0.7155)*(360/90))-0.75

B. (((0.7212-0.7155)/0.7155)*(365/90))+1.75

C. (((0.7212-0.7155)/0.7155)*(365/180))-0.75

D. (((0.7212-0.7155)/0.7155)*(365/90))-1.75

E. (((0.7155-0.7212)/0.7212)*(365/90))-0.75

F. (((0.7212-0.7155)/0.7155)*(365/90))-0.75