Question: The two-month interest rates in Switzerland and the United States are, respectively, 1% and 2% per annum with continuous compounding. The spot price of the

The two-month interest rates in Switzerland and the United States are, respectively, 1% and 2% per annum with continuous compounding. The spot price of the Swiss franc is $1.0500. The futures price for a contract deliverable in two months is also $1.0500. What arbitrage opportunities does this create?

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The theoretical futures price is 10500 e 002... View full answer

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