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assume 1000000 90-day Interest rates in U.S.: 5.5% (annualized) 90-day interest rates in South Africa: 11% (annualized) Spot ZAR/USD = 7.8780 90-day Forward ZAR/USD =
assume 1000000
90-day Interest rates in U.S.: 5.5% (annualized)
90-day interest rates in South Africa: 11% (annualized)
Spot ZAR/USD = 7.8780 90-day
Forward ZAR/USD = 7.9685
find Arbitrage profit:
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