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I1. James Clark is a currency trader with Wac hovia. He notices the following quotes: Spot exchange rate Six-month forward exchange rate Six-month dollar interest

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I1. James Clark is a currency trader with Wac hovia. He notices the following quotes: Spot exchange rate Six-month forward exchange rate Six-month dollar interest rate Six-month Swiss franc interest rate SFr1.2051/S SFr1.1922/S 2.50% per year 2.0% per year a. Is the interest rate parity holding? You may ignore transaction costs b. Is there an arbitrage opportunity? I yes, show what steps need to be taken to make arbitrage profit. Assuming that James Clark is authorized to work with $1,000,000, compute the arbitrage profit in dollars

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