Question: Question 12 (2 points) One has the following data regarding spot and 18 month forward for USDCHF Spot 1.2000 # of CHF to buy

Question 12 (2 points) One has the following data regarding spot and

Question 12 (2 points) One has the following data regarding spot and 18 month forward for USDCHF Spot 1.2000 # of CHF to buy 1 USD F 1.1200 US interest rate 5.00% Swiss interest rate 3.14% All quotes above are "market"quotes, i.e. one can buy or sell USD, borrow or lend, at the stated rates. A practioner would say that the quote for F seems "out of line", thus there could be an arbitrage opportunity. What would approximatelly be the profit in USD from arbitrage on a notional amount of 100,000,000 USD? 3.863.094 Breck Z

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