Given CHF 3,500,000 as your capital, calculate the possible profit from covered interest arbitrage. Explain specific steps that you must take to make a covered interest arbitrage. CHF Fr = SwissFranc BND = Brunei Darul Salam Spot rate CHF0.7359/BND 270-day forward rate CHF 0.7359/BND 9-month Brunei interest rate 5% 9-month swiss interest rate 4%
Given CHF 3,500,000 as your capital, calculate the possible profit from covered interest arbitrage. Explain specific steps that you must take to make a covered interest arbitrage. CHF Fr = SwissFranc BND = Brunei Darul Salam Spot rate CHF0.7359/BND 270-day forward rate CHF 0.7359/BND 9-month Brunei interest rate 5% 9-month swiss interest rate 4%
Chapter20: Short-term Financing
Section: Chapter Questions
Problem 11QA
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Given CHF 3,500,000 as your capital, calculate the possible profit from covered interest arbitrage. Explain specific steps that you must take to make a covered
interest arbitrage.
CHF Fr = SwissFranc BND = Brunei Darul Salam
Spot rate | CHF0.7359/BND |
270-day forward rate | CHF 0.7359/BND |
9-month Brunei interest rate | 5% |
9-month swiss interest rate | 4% |
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