Question
Q9. Assume that a bank can borrow or lend money at the same interest rate in the LIBOR market. The 91-day rate is 7.5% per
Q9. Assume that a bank can borrow or lend money at the same interest rate in the LIBOR market. The 91-day rate is 7.5% per year, and the 182-day rate is 8.2%. Assume the LIBOR rates are continuously compounded. The Eurodollar futures price for a contract maturing in 91 days is quoted as 92.
a) Could you find any arbitrage opportunities?
b) How would you conduct the arbitrage? What should be the arbitrage profit?
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Security Audit And Control Features SAP ERP
Authors: Deloitte Touche Tohmatsu Research Team And Isaca
3rd Edition
1604201150, 978-1604201154
