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4. Considering the following quotations: Spot Fwd 30 days Fwd 90 days Fwd 180 days $/€ 1.2215-2345 50-75 115-130 130-175 $/E 1.3656-3765 45-20 78-53 135-100 V/S 110.86-111.46 73-62 97-56 175-125 If interest rates in $ are 2%, in € 3%, in £ 1.5% and in x 0.5% , calculate outright fwd rates (all) and explain if there are arbitrage possibilities considering the $ and the € for six months.

4. Considering the following quotations: Spot Fwd 30 days Fwd 90 days Fwd 180 days $/€ 1.2215-2345 50-75 115-130 130-175 $/E 1.3656-3765 45-20 78-53 135-100 V/S 110.86-111.46 73-62 97-56 175-125 If interest rates in $ are 2%, in € 3%, in £ 1.5% and in x 0.5% , calculate outright fwd rates (all) and explain if there are arbitrage possibilities considering the $ and the € for six months.

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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4. Considering the following quotations: $/ € $/E X/S 1.3656-3765 110.86-111.46 Spot Fwd 30 days 1.2215-2345 50-75 45-20 73-62 Fwd 90 days 115-130 78-53 97-56 Fwd 180 days 130-175 135-100 175-125 If interest rates in $ are 2%, in € 3%, in £ 1.5% and in x 0.5%, calculate outright fwd rates (all) and explain if there are arbitrage possibilities considering the $ and the € for six months.
Transcribed Image Text:4. Considering the following quotations: $/ € $/E X/S 1.3656-3765 110.86-111.46 Spot Fwd 30 days 1.2215-2345 50-75 45-20 73-62 Fwd 90 days 115-130 78-53 97-56 Fwd 180 days 130-175 135-100 175-125 If interest rates in $ are 2%, in € 3%, in £ 1.5% and in x 0.5%, calculate outright fwd rates (all) and explain if there are arbitrage possibilities considering the $ and the € for six months.
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