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Problem 6 Which currency is quoted at a premium? ( M x N U S D ) S p o t = 1 6 .
Problem
Which currency is quoted at a premium?
Problem
The following indirect quotation of Chinese yuan to American dollar is given as CNY USD
The month futures contract rate is set at the level of Interest rates in China and
the USA are and respectively. Is there an interest rate arbitrage opportunity in this
case? Describe the arbitrage transactions stepbystep. What the annual interest rate in China
should be to disable the interest rate arbitrage?
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