Question
Assume arbitrage fund RM1,000,000, Spot exchange rate (MYR/RMB) 0.66, 1-month forward rate (MYR/RMB) 0.70, RMB 1-month interest rate 0.36% and MYR 1-month interest rate 0.16%.
Assume arbitrage fund RM1,000,000, Spot exchange rate (MYR/RMB) 0.66, 1-month forward rate (MYR/RMB) 0.70, RMB 1-month interest rate 0.36% and MYR 1-month interest rate 0.16%.
1.How to calculate CIA using international parity condition?
2.Is CIA's opportunity exist or bring profit?
3.If the Spot exchange rate change to 0.60, what is the new percentage arbitrage profit or loss for
a)'cover' arbitrage investment?
b)'non cover' arbitrage investment?
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Fundamentals Of Multinational Finance
Authors: Michael Moffett
6th Global Edition
1292215216, 978-1292215211
