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Spot rate of Mexican peso = $1.00 180 - day forward rate of Mexican peso = $ .098 180 - day Mexican interest rate =
Spot rate of Mexican peso = $1.00
180 - day forward rate of Mexican peso = $ .098
180 - day Mexican interest rate = 6%
180 - day U.S. interest = 5%
Given this information is covered interest arbitrage profitable for the US investors ?
(1+Rh)=(1+Rf)*F/e
A. No , because LHS > RHS
B. Yes , because LHS > RHS
C. No, because LHS = RHS
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Fixed Income Securities Valuation Risk and Risk Management
Authors: Pietro Veronesi
1st edition
0470109106, 978-0470109106
