Question
Edit question American Terms European Terms AUD .9035 1.1068 1-month forward .9018 1.1089 3-month forward .8981 1.1134 6-month forward .8926 1.1203 GBP 1.1050 .9050 1-month
Edit question
| American Terms | European Terms | |
| AUD | .9035 | 1.1068 |
| 1-month forward | .9018 | 1.1089 |
| 3-month forward | .8981 | 1.1134 |
| 6-month forward | .8926 | 1.1203 |
| GBP | 1.1050 | .9050 |
| 1-month forward | 1.1252 | .8887 |
| 3-month forward | 1.1258 | .8882 |
| 6-month forward | 1.1268 | .8875 |
For a CHF Based investor Facing 3 month $ interest rate of 8% per annum and 3 month CHF interest rate of 4% per annum. Specify the arbitrage process he can take to earn guaranteed profit. Discuss the impact of arbitrage on CHF interest rate, the price of CHF in the spot market, and the price of USD in the forward market.
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Local Public Finance
Authors: René Geissler, Gerhard Hammerschmid, Christian Raffer
1st Edition
3030674681, 978-3030674687
