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Suppose the following swaps are available: Index Swap $2.75 for P(ANR) ; Futures Swap $3.02 for P(HH) ; and Basis Swap $-0.25 for (P(ANR) -
Suppose the following swaps are available: Index Swap $2.75 for P(ANR); Futures Swap $3.02 for P(HH); and Basis Swap $-0.25 for (P(ANR) - P(HH)). An arbitrage opportunity exists and involves buying the index swap, selling the futures swap, and selling the basis swap. (True / False). Show the work.
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