As a trader for Goldman Sachs, you see the following prices from two different banks: 1-year euro
Question:
1-year euro deposits/loans: 6.0%–6.125% p.a.
1-year Malaysian ringgit deposits/ loans: 10.5%– 10.625% p.a.
Spot exchange rates: MYR4.6602/EUR–MYR4.6622 /EUR
1-year forward exchange rates: MYR4.9500/EUR– MYR4.9650/EUR
The interest rates are quoted on a 360-day year. Can you do a covered interest arbitrage?
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Related Book For
International Financial Management
ISBN: 978-0132162760
2nd edition
Authors: Geert Bekaert, Robert J. Hodrick
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