Today is Jan. 31, 2021 and the current exchange rate between US dollar and Canadian dollar is US$0.7946/CAD (U.S. is the home country). The current June 2021 Micro CAD/USD Futures exchange rate is US$0.7949/CAD. Contract size is CAD $10,000. For more information about this futures contract, please go to the website below: The risk-free rate in Canada is 0.15% per annum with continuously compounding. Assume all futures contracts expire in the last day of the month. (a) What should the risk-free rate in US be assuming no arbitrage in the market? (3 points) (b) If the risk-free rate in US is 0.08% per annum with continuously compounding, is there an arbitrage opportunity? If yes, please specify your arbitrage strategy and cash flow. If no, please explain. (6 points) (c) Following (b), if you need to pay 0.1% of your total value of US dollar as a transaction fee when you convert between US dollar and Canadian dollar in the spot market, (i.e., if you want to buy 1 Canadian dollar, you need to pay US$ (0.7946 +0.1%*0.7946); if you want to sell 1 Canadian dollar, you will receive US$(0.7946-0.1%*0.7946), and no transaction fee for futures contracts, is there still an arbitrage opportunity? If yes, please specify your arbitrage strategy and cash flow. If no, please explain. (5 points)