Suppose you observe the spot Canadian Dollar (CAD) at $0 7000 CAD, the U S risk free interest rate of 5 (continuously compounded), and the Canadian risk free interest rate of 7 (continuously compounded) Suppose the actual quoted futures price for a 6 month contract on CAD is $0 682 CAD What would ...

Lets break down the steps an arbitrageur would take 1 Calculate the cost of creating a synthetic futures contract Borrow 1 in the US at the riskfree r ...

Suppose you observe the spot Canadian Dollar (CAD) at $0.7000/CAD, the U. S. risk- free interest...

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Suppose you observe the spot Canadian Dollar (CAD) at $0.7000/CAD, the U. S. risk- free interest...

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