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Given the following interest and exchange rate quotes, a foreign exchange trader at Morgan Stanley (NYSE:MS) concluded that it is NOT possible to make
Given the following interest and exchange rate quotes, a foreign exchange trader at Morgan Stanley (NYSE:MS) concluded that it is NOT possible to make an arbitrage profit through covered interest arbitrage with the Australian dollar and Thai baht. Spot exchange rate: Thai baht interest rate: Australian dollar interest rate: 24.50 bahts per one Australian dollar 1.00% per year 2.00% per year What must have been the baht per Australian dollar 12-month forward rate at that time?
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Fundamentals of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
5th edition
205989756, 978-0205989751
