Given: (1) Suppose bid-ask price for 6-month Euro FRA one year from now is 4-4.5% (2) Bid-ask

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Given:

(1) Suppose bid-ask price for 6-month Euro FRA one year from now is 4-4.5%

(2) Bid-ask price for 6-month Euro-dollar FRA one year from now is 5-5.5%

(3) one year forward rate is $1.3-1.305/euro

(4) 18-month forward rate today is $1.3100-1.3205/Euro

Are they are arbitrage opportunities out there in the quotes? Show all work.

Posted Date: May 18, 2024 03:07 AM

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Given: (1) Suppose bid-ask price for 6-month Euro FRA one year from now is 4-4.5% (2) Bid-ask

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