Question
The spot rate is $0.7542/SF, the 180-day forward rate for the Swiss franc is $0.8220/SF, the six-month interest rate in the U.S is 8% p.a.
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The spot rate is $0.7542/SF, the 180-day forward rate for the Swiss franc is $0.8220/SF, the six-month interest rate in the U.S is 8% p.a. and in Switzerland is 6% p.a. If I borrow $200,000 to take advantage of the arbitrage opportunity, how much money would I take?
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Refer to the above question. At what forward rate would the arbitrage opportunity disappear and the equilibrium is restored?
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$0.7615/SF
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$0.7684/SF
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$0.7469/SF
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$0.7402/SF
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Quantitative Analysis for Management
Authors: Barry Render, Ralph M. Stair, Michael E. Hanna, Trevor S. Ha
12th edition
133507335, 978-0133507331
