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Problem 6 The following indirect quotation of Swiss franc to British pound is given: SFr / = 2 . 2 7 1 4 . The
Problem
The following indirect quotation of Swiss franc to British pound is given: SFr The
year futures contract rate is set at the level of Interest rates in Britain and Switzerland
are and respectively. Is there an interest rate arbitrage opportunity in this case?
Describe the arbitrage transactions stepbystep. What the annual interest rate in Switzerland
should be to disable the interest rate arbitrage?
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