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In Jan 2003 , the interest rate on the Japanese Yen was 1.91%, and on the Australian dollar was 5.86%. The spot rate was S(
In Jan 2003 , the interest rate on the Japanese Yen was 1.91%, and on the Australian dollar was 5.86%. The spot rate was S( $/AU$)=75.49. Tom Bohn, a hedge fund trader specializing in FX trading in Blackrock Inc, started a carry trade between Yen and Australia for one year. Then the carry (interest rate differential) between Yen and AU\$ was \% (Two decimal places in your answer.) Step by Step Solution
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Pricing And Liquidity Of Complex And Structured Derivatives
Authors: Mathias Schmidt
1st Edition
3319459694, 978-3319459691
