Question
in early 2012, the spot exchange rate between the Swiss Franc and US dollar was 1,0404($ per franc). Interest rates in the US and Switzerland
in early 2012, the spot exchange rate between the Swiss Franc and US dollar was 1,0404($ per franc). Interest rates in the US and Switzerland were 0.25% and the 0% per annuam, respectively, with continuous compounding. The three month forward exchange rate was 1.0300($ per franc). What arbitrage strategy was possible? How does your answer change if the exchange rate is 1.0500($ per franc).
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Financial Terms Dictionary Investment Terminology Explained
Authors: Thomas Herold, Wesley Crowder
1st Edition
1521725764, 978-1521725764
