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The following table lists currency rates: DC:FC1 DC:FC1 DC:FC2 DC:FC2 Maturity Bid Ask Bid Ask Spot 5.1381 5.1689 1.4182 1.4243 30-day 5.1438 5.2741 1.4124 1.4275
The following table lists currency rates:
|
| DC:FC1 | DC:FC1 | DC:FC2 | DC:FC2 |
| Maturity | Bid | Ask | Bid | Ask |
| Spot | 5.1381 | 5.1689 | 1.4182 | 1.4243 |
| 30-day | 5.1438 | 5.2741 | 1.4124 | 1.4275 |
| 90-day | 5.1202 | 5.2101 | 1.4025 | 1.4212 |
- Calculate the following cross rates of FC2:FC1 for spot, 30-day and 90-day.
- If one-year interest rates of FC1=5.4952%-5.7212% and FC2=20.1212%-20.1423%, what are the arbitrage chances and associated profits using forward (30 days or 90 days) and spot contacts to embark on transactions? (Assuming 360 days in a year and do not have to consider trading strategies using both 30-day and 90-day forwards)
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
9781285586618
