Question
The Canadian dollar (CAD) trades at a positive cross-currency basis against the US dollar (USD). The Euro is trading at a negative cross-currency basis against
The Canadian dollar (CAD) trades at a positive cross-currency basis against the US dollar (USD). The Euro is trading at a negative cross-currency basis against the USD. Which of the following strategies will generate the greatest return?
a. Swap CAD for USD and invest in US government bonds
b.Swap Euro for CAD and invest in CAD government bonds
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Managing Currency Options In Financial Institutions
Authors: Yat-Fai Lam, Kin-Keung Lai
1st Edition
1138778052, 978-1138778054
