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The spot and 360-day forward rates on the Swiss franc are CHF2.1 and CHF1.9 respectively. The risk-free interest rate in United States is 9 percent,
- The spot and 360-day forward rates on the Swiss franc are CHF2.1 and CHF1.9 respectively. The risk-free interest rate in United States is 9 percent, and the risk free interest rate in Switzerland is 5 percent. Using the covered interest arbitrage, calculate;
- Interest rate parity.
-
- Arbitrage profit.
- Interest rate parity.
- Arbitrage profit.
- Explain and illustrate an example of currency swap.
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