Question
Copenhagen Covered (A). Heidi Hi Jensen, a foreign exchange trader at J.P. Morgan Chase, can invest $5.055.05 million, or the foreign currency equivalent of the
Copenhagen Covered (A). Heidi Hi Jensen, a foreign exchange trader at J.P. Morgan Chase, can invest
$5.055.05
million, or the foreign currency equivalent of the bank's short term funds, in a covered interest arbitrage with Denmark. Using the following quotes, can Heidi make a covered interest arbitrage (CIA) profit?
| Arbitrage funds available | $ | 5,050,000 | |
| Spot exchange rate (kr/$) | 6.1722 | ||
| 3-month forward rate (kr/$) | 6.1981 | ||
| U.S. dollar annual interest rate | 2.950 | % | |
| Danish krone annual interest rate | 5.050 | % |
Heidi Hi Jensen generates a covered interest arbitrage (CIA) profit of
$nothing.
(Round to the nearest cent.)
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The Essentials Of Machine Learning In Finance And Accounting
Authors: Mohammad Zoynul Abedin, M. Kabir Hassan, Petr Hajek, Mohammed Mohi Uddin
1st Edition
0367480816, 978-0367480813
