Question
The spot gold is trading @ $1830 /oz. The1 year t-bill rate in the US is .39%. a) Calculate the 1 year forward rate for
The spot gold is trading @ $1830 /oz. The1 year t-bill rate in the US is .39%.
a) Calculate the 1 year forward rate for Gold using Spot Futures Parity.
b) If the observed 1 year forward rate is $1850/oz, is there an arbitrage opportunity? How would you take advantage of this? Show all your transactions and steps
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Multinational Business Finance
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
14th edition
133879879, 978-0133879872
