Investments
11th Edition
ISBN: 9781259277177
Author: Zvi Bodie Professor, Alex Kane, Alan J. Marcus Professor
Publisher: McGraw-Hill Education
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Chapter 23, Problem 5CP
A
Summary Introduction
To calculate: Theoretical price of future contract for 6 months Japanese yen/ U.S. dollar currency futures contract using the data given.
Introduction: A P.I is a banker in Japanese bank. She collected some data to calculate the future price of japans yen / U.S dollars for 6 months. The exchange rate is ¥124.30/$1.00 with interest rate in Japan is 0.10% and in U.S is 3.80%.
B
Summary Introduction
To calculate: Arbitrage profit to borrow the $1 million dollar to purchase Japanese yen.
Introduction: A P.I again reviews the future price of 3 months and she noticed that the interest rate has increased 0.50%. Here is an opportunity of arbitrage gain to borrow the $1million dollar to purchase Japanese yen.
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Chapter 23 Solutions
Investments
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