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Assume the annual interest rate is 0.25% in Switzerland and 1.75% in New Zealand. Today, the CHF/NZD=1.64 and the 1-year forward rate is 1.65. Based
Assume the annual interest rate is 0.25% in Switzerland and 1.75% in New Zealand. Today, the CHF/NZD=1.64 and the 1-year forward rate is 1.65.
- Based on the IRP, compute what the forward CHF/NZD should be
- Since the IRP does not hold, show how you could generate a CIA profit by trading 10,000 CHF or 10,000 NZD
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Analysis Of Financial Data
Authors: Gary Koop
1st Edition
0470013214, 978-0470013212
