Problem # 12

exchallLU rate rate Spot (kr/SJ 3-month forward interest rate US dollar 3-month interest Danish kroner 3-month 4.000% 5.000% 11. Copenhagen Covered (C) Heidi Hgi Jensen again evaluating arbitrage profit potential in the sam ket after another change in interest rates. (Remembe that any time the difference in interest rates does equal the forward it must be possible to make a CIA profit one way or another. $5,000,000 Arbitrage funds available 6.1720 Spot exchange rate (kr/$) 3-month forward rate (krs) 6.1980 3.000% US. dollar 3-month interest rates Danish kroner 3-month interest rates 6.000 12 Casper Landsten-CIA (A). Casper Landsten is eign exchange trader for a bank in New He York. has million (or its Swiss franc a short term market equivalent) for he money investment and wonder v or should invest in dollars months for three