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On September 1, 20X0, the Citibank was searching for arbitrage opportunities in the FX and money markets between USD and JPY (Yen). One FX
On September 1, 20X0, the Citibank was searching for arbitrage opportunities in the FX and money markets between USD and JPY (Yen). One FX forward dealer quoted $0.010050 / for settlement in 180 days. The spot market quotes were as follows: Spot exch. Rate = $0.010000/; 180 day US interest rate = 3.5% p.a.; 180 day JPY interest rate = 3.1 % p.a. Use simple interest rate method and 30/360 day count. How can Citibank find out if there is an arbitrage opportunity?
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Lets start with say 1 million and follow the steps for both strategies Strategy 1 Investing in USD a...
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Spreadsheet Modeling And Decision Analysis A Practical Introduction To Management Science
Authors: Cliff T. Ragsdale
5th Edition
324656645, 324656637, 9780324656640, 978-0324656633
