The current price of a 3*6 Euribor FRA is 1.500% while the Euribor yield curve prevailing today is as follow: Maturity(Months) 3 6 Yield 1.049%
The current price of a 3*6 Euribor FRA is 1.500% while the Euribor yield curve prevailing today is as follow:
| Maturity(Months) | 3 | 6 |
| Yield | 1.049% | 1.272% |
Is there any arbitrage opportunity?
Illustrate the arbitrage operation assuming that the 3-month Euribor observed at maturity is a)1.550% and b) 1.430%
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Authors: David Hartzell, Andrew E. Baum
2nd Edition
1119526094, 978-1119526094
