Question
The two-month interest rates in Australia and the United States are 4.5% and 1% per annum, respectively, with continuous compounding. The spot price of the
The two-month interest rates in Australia and the United States are 4.5% and 1% per annum, respectively, with continuous compounding. The spot price of the US dollar per Australian dollar is 0.9850. The futures price for a contract deliverable in two months is 0.9900. What arbitrage opportunities does this create?
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Bankers Handbook On Credit Management
Authors: Indian Institute Of Banking & Finance
1st Edition
9387957853, 978-9387957855
