Question
Sameera Khaled of Credit Suisse First Boston (Tokyo) is exploring covered interest arbitrage (CIA) possibilities in the market given the following current market quotes.Sameera Khaled
Sameera Khaled of Credit Suisse First Boston (Tokyo) is exploring covered interest arbitrage (CIA) possibilities in the market given the following current market quotes.Sameera Khaled of Credit Suisse First Boston (Tokyo) is exploring covered interest arbitrage (CIA) possibilities in the market given the following current market quotes.
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| Assumptions |
| Value |
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| Yen Equivalent |
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| Arbitrage funds available |
| $2,000,000 |
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| 220,400,000 |
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| Spot rate (/$) |
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| 110.20 |
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| 180-day forward rate (/$) |
| 109.80 |
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| 180-day U.S. dollar interest rate |
| 3.000% |
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| 180-day Japanese yen interest rate | 1.800% |
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| Required: 3. Where should Sameera Khaled Invest? 4. How much is his profit or loss? 5. Show your graph and Calculations. | |||||||||||
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Fundamentals Of Financial Management
Authors: James Van Horne, John Wachowicz
13th Revised Edition
978-0273713630, 273713639
