Question
Assume the following information: Current spot rate of Australian dollar = $.64 Forecasted spot rate of Australian dollar 1 year from now = $.59 1-year
Assume the following information: Current spot rate of Australian dollar = $.64 Forecasted spot rate of Australian dollar 1 year from now = $.59 1-year forward rate of Australian dollar = $.62 Annual interest rate for Australian dollar deposit = 9% Annual interest rate in the United States = 6% Use the above information to show the gain a trader could have from covered interest arbitrage
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Derivatives And Internal Models
Authors: H. Deutsch
4th Edition
1349307661, 9781349307661
