Question $1$

The two$-$month interest rates in the Eurozone and in the US are, respectively, $3\%$ and $6\%$ per annum with continuous compounding. The spot exchange rate is $$1\mathrm{.}14$ per $1$ Euro. The futures price for a Euro futures contract deliverable in $2$ months is $$1\mathrm{.}17$ per $1$ Euro. Does this create any arbitrage opportunities? If yes, derive a strategy to exploit them. If not, explain why not.

Question $2$

a$)$ Define the duration of a bond.

b$)$ Define the convexity of a bond.