Question
The current AUD/NZD exchange rate is AUD0.9 = NZD1.0. Interest rates in Australia are 1.2%, while NZ interest rates are 1.4% (both with continuous compounding).
The current AUD/NZD exchange rate is AUD0.9 = NZD1.0. Interest rates in Australia are 1.2%, while NZ interest rates are 1.4% (both with continuous compounding). 1. What is a fair three year forward price for AUD 1 million? 2. Suppose you are offered a forward price for AUD 1 million of NZD 1.1 million. What is the arbitrage opportunity?
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Principles Of Finance
Authors: Besley, Scott Besley, Eugene F Brigham, Brigham
4th Edition
0324655886, 9780324655889
