Question
Assume the following information: Quoted Price Spot rate of Australian dollar USD.855/AUD 180day forward rate of Australian dollar USD.839/AUD 180day Australian interest rate (a periodic
- Assume the following information:
Quoted Price
Spot rate of Australian dollar USD.855/AUD
180day forward rate of Australian dollar USD.839/AUD
180day Australian interest rate (a periodic rate) 3.0%
180day U.S. interest rate (a periodic rate) 4.4%
- What % ROR can a US investor earn if they attempt covered interest arbitrage?
- What % ROR can an Australian investor earn if they attempt covered interest arbitrage?
- Given this information, who has a covered interest arbitrage opportunity?
Answer either Australian investors or U.S. investors.
- What changes in the 4 quoted prices above would likely occur to eliminate any further possibilities of covered interest arbitrage? ( answer with just or )
Spot rate of Australian dollar
180day forward rate of Australian dollar
180day Australian interest rate (a periodic rate)
180day U.S. interest rate (a periodic rate)
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Covered Calls Option Trading Strategy
Authors: Andrew P.C.
1st Edition
1549658697, 978-1549658693
