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Suppose that the current spot exchange rate is 0.80/$ and the three-month forward exchange rate is 0.7813/$. The three-month interest rate is 5.60% per annum
Suppose that the current spot exchange rate is 0.80/$ and the three-month forward exchange rate is 0.7813/$. The three-month interest rate is 5.60% per annum in the United States and 5.40% per annum in France. Assume that you can borrow $1,000,000. How much can you realize via covered interest arbitrage? 10,800. $23,758. 37,757. $7,813. $37,757. $14,000
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Foundations Of Financial Markets And Institutions
Authors: Frank J Fabozzi, Franco G Modigliani, Frank J Jones
4th Edition
0136135315, 978-0136135319
