Question
Heidi Hi Jensen, a foreign exchange trader at J.P. Morgan Chase, can invest $5 million, or the foreign currency equivalent of the bank's short term
| Heidi Hi Jensen, a foreign exchange trader at J.P. Morgan Chase, can invest $5 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 covered interest arbitrage (CIA) profit on 3-month? | |||||||
| Assumptions | Value | ||||||
| Arbitrage funds available | $5.000.000 | ||||||
| Spot exchange rate (kr/$) | 6.1720 | ||||||
| 3-month forward rate (kr/$) | 6.1980 | ||||||
| US dollar interest rate | 3.000% | ||||||
| Danish kroner interest rate | 5.000% | ||||||
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Personal Finance
Authors: E Thomas Garman, Raymond Forgue
11th Edition
1111531013, 9781111531010
