Question
Suppose that the U.S. dollar-pound sterling spot exchange rate equals $1.60/, while the 360-day forward rate is $1.64/. The yield on a one-year U.S. treasury
Suppose that the U.S. dollar-pound sterling spot exchange rate equals $1.60/, while the 360-day forward rate is $1.64/. The yield on a one-year U.S. treasury bill is 9% and that on a one-year U.K. treasury bill is 8%.
a. Calculate the 360-day covered interest differential (in favor of London). Show your calculation.
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Pricing And Hedging Financial Derivatives A Guide For Practitioners
Authors: Leonardo Marroni, Irene Perdomo
1st Edition
1119953715, 978-1119953715
