Question
Spot rate Forward rate (one year) Interest rate () Interest rate ($) = $1.46/ = $1.49/ = 7% per year = 9% per year A.
|
Spot rate
Forward rate (one year) Interest rate () Interest rate ($) |
= $1.46/
= $1.49/ = 7% per year = 9% per year |
A. Assuming no transaction costs or taxes exist, determine whether interest rate parity exists.
B. What would be your arbitrage profit per dollar?
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Matlab An Introduction with Applications
Authors: Amos Gilat
5th edition
1118629868, 978-1118801802, 1118801806, 978-1118629864
