Question
Question 12 (2 points) One has the following data regarding spot and 18 month forward for USDCHF Spot 1.2000 # of CHF to buy
Question 12 (2 points) One has the following data regarding spot and 18 month forward for USDCHF Spot 1.2000 # of CHF to buy 1 USD F 1.1200 US interest rate 5.00% Swiss interest rate 3.14% All quotes above are "market"quotes, i.e. one can buy or sell USD, borrow or lend, at the stated rates. A practioner would say that the quote for F seems "out of line", thus there could be an arbitrage opportunity. What would approximatelly be the profit in USD from arbitrage on a notional amount of 100,000,000 USD? 3.863.094 Breck Z
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Advanced Financial Accounting An IFRS Standards Approach
Authors: Pearl Tan, Chu Yeong Lim, Ee Wen Kuah
4th Edition
9781285428765
