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
Problem 1PS
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Question
The following tables contain information on Swiss Franc/Singapore dollar exchange rate and their interest rates: Currency Spot 1 Month 3 Months 6 Months 12 Months CHF/SGD 6.6575/625 73/86 263/296 505/590 1194/1351 Currency 1 Month 3 Months 6 Months 12 Months SGD 5.6785-5.8125 5.5000-5.6250 5.5000-5.6250 5.6250-5.7500 CHF 7.1250-7.2500 7.1875-7.3125 7.1875-7.3125 7.2500-7.3750 Consider the 12-month premium/discount and the relevant interest rates. Is there way to make arbitrage profits? If yes, explain the strategy. Assume you have CHF 10m to work with.
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