Question
The following is market information: Current spot rate of pound = $1.45 90-day forward rate of pound = $1.46 3-month deposit rate in U.S. =
The following is market information:
| Current spot rate of pound | = | $1.45 |
| 90-day forward rate of pound | = | $1.46 |
| 3-month deposit rate in U.S. | = | 1.1% |
| 3-month deposit rate in Great Britain | = | 1.3% |
If you have $250,000 and use covered interest arbitrage for a 90-day investment, what will be the amount of U.S. dollars you will have after 90 days?
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Empirical Techniques In Finance
Authors: Ramaprasad Bhar, Shigeyuki Hamori
1st Edition
3642064175, 978-3642064173
