Question
assume you have the following information about the euro and usd. the spot rate So = 1.0304/usd, the US$ interest rates 5.84%, the euro interest
assume you have the following information about the euro and usd. the spot rate So = 1.0304/usd, the US$ interest rates 5.84%, the euro interest rate is 3.59%, the time to expiration is 90/365 = 0.2466
a) what is the forward rate between the euro and usd?
b) if the observed forward rate is 0.98 euro/ 1 USD, is there any arbitrage opportunity? if yes, show the steps involved in this transaction.
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Financial Stability Website Fraud Confidence And The Wealth Of Nations
Authors: Frederick L. Feldkamp, R. Christopher Whalen
2nd Edition
1118935799, 978-1118935798
