Question
You have the following market data. Continuously compounded two-year risk-free interest rates in Australia and the U.S. are 5.25% and 4.03%, respectively, per annum. Spot
You have the following market data.
Continuously compounded two-year risk-free interest rates in Australia and the U.S. are 5.25% and 4.03%, respectively, per annum.
Spot exchange rate between the Australian dollar and the U.S. dollar is $0.985 per Australian dollar.
What is the no-arbitrage two-year forward exchange rate (expressed in U.S. dollars)?
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International Financial Management
Authors: Jeff Madura
11th Edition
0538482966, 9780538482967
