The nine-month interest rates in Switzerland and the United States are 3% and 5% per annum respectively with continuous compounding. The spot exchange rate is 0.71 USD per 1 CHF. The nine-month forward exchange rate for a contract deliverable in two months is 0.81 USD per 1 CHF. To set up arbitrage, you should (keep all answers in two decimal places unless it is an integer):

Borrow 1000 _______ (fill in the currency label, USD or CHF) and Convert into ______ (fill in currency label) at ______(fill in the value of the exchange rate, ie. 0.35). Invest _______(fill in the amount with appropriate currency label. ie. 1100 USD ) at _______% (fill in the value for interest rate, i.e. 3). At the same time, enter a forward contract on CHF_______ (fill in long or short). 9 months later, use your forward contract to _______(fill in buy or sell) _______(fill in the amount. Please label your number with appropriate currency. ie. 1200 CHF or 1100 USD) at_______ (fill in the value for exchange rate, i.e 0.71). Pay off your loan _______(please label your number with appropriate currency. ie. 1200 CHF or 1100 USD). Your profit is _______(please label your number with appropriate currency).