Question
James Clark is a foreign exchange trader with Citibank. He notices the following quotes. __________________________________________________________________________________________________ Spot exchange rate USD1.2051/SFr Six-month forward exchange rate USD1.1922/SFr Six-month
James Clark is a foreign exchange trader with Citibank. He notices the following quotes. __________________________________________________________________________________________________
Spot exchange rate USD1.2051/SFr
Six-month forward exchange rate USD1.1922/SFr
Six-month $ interest rate 8% per year
Six-month SFr interest rate 10% per year
___________________________________________________________________________________________________
Is there an arbitrage opportunity? If yes, determine the arbitrage profit in Swiss Francs. Assume that James Clark is authorized to work with $1,000,000. Input your answer without any currency information.
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International Financial Management
Authors: Cheol Eun
9th Edition
1260788865, 9781260788860
