Question
Suppose that the 60-to-150day FRA rate is 4.30%, the 60-day bill rate is 4.25% and the 150-day bill rate is 4.40%. Show that there is
Suppose that the 60-to-150day FRA rate is 4.30%, the 60-day bill rate is 4.25% and the 150-day bill rate is 4.40%. Show that there is an arbitrage opportunity and construct an appropriate portfolio to take advantage of this opportunity.
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Investment Science
Authors: David G. Luenberger
2nd Edition
0199740089, 978-0199740086
