Interest rate parity for asset managers and hedge fund arbitrageurs. You have been given the following information:

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Taking the perspective from a U.S.-based asset manager or hedge fund arbitrageur:

a. In which commercial paper would you invest?

b. In which currency would you borrow?

c. How would you arbitrage?

d. What is the profit from interest arbitrage per dollar borrowed?

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Related Book For answer-question

International Corporate Finance Value Creation With Currency Derivatives In Global Capital Markets

ISBN: 9781119550464

2nd Edition

Authors: Laurent L. Jacque

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Question Posted: Mar 09, 2024 01:02 AM

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Interest rate parity for asset managers and hedge fund arbitrageurs. You have been given the following information:

Question:

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International Corporate Finance Value Creation With Currency Derivatives In Global Capital Markets

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