Question
Let 90-days T-bill price is P90 = 0.94, 120-days T-bill price is P120 = 0.90 and the forward (on a 30-day T-bill) price with delivery
Let 90-days T-bill price is P90 = 0.94, 120-days T-bill price is P120 = 0.90 and the forward (on a 30-day T-bill) price with delivery in 90 days is PF = 0.96. Is there an arbitrage opportunity and how to use it?
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To determine if there is an arbitrage opportunity we need to check if the ...
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Investment Analysis and Portfolio Management
Authors: Frank K. Reilly, Keith C. Brown
10th Edition
538482109, 1133711774, 538482389, 9780538482103, 9781133711773, 978-0538482387
