In this chapter, there are two equations presented for the implied repo rate related to the following
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And
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r = [(CF)[fo(t)] + AIT + C10,T) (I/T Bo Alo r = { [CE(t)]fo(t) + Alt + Clin 1/(T-t) t,T Co(t)+AI
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The following equation is the implied repo rate based on carry arbitrage of the underlying asset The ...View the full answer
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Related Book For
Introduction To Derivatives And Risk Management
ISBN: 9781305104969
10th Edition
Authors: Don M. Chance, Robert Brooks
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