ive typing answer with explanation and conclusion b) Mary recognises that an arbitrage opportunity exists and decides to borrow $1 million US dollars to purchase Japanese yen and sell 3-month forward to pay off US dollars denominated loan. Calculate the yen arbitrage profit from her strategy, using the data below and Japanese yen as the local currency. Show your calculations. [Hint: the strategy is for 3 months only]. Japanese Yen/US Dollar - spot currency exchange rate ¥124.30000/$1.00000 Japanese interest rate 0.50% US interest rate 3.50% Currency forward rate ¥123.26050/$1.00000
ive typing answer with explanation and conclusion b) Mary recognises that an arbitrage opportunity exists and decides to borrow $1 million US dollars to purchase Japanese yen and sell 3-month forward to pay off US dollars denominated loan. Calculate the yen arbitrage profit from her strategy, using the data below and Japanese yen as the local currency. Show your calculations. [Hint: the strategy is for 3 months only]. Japanese Yen/US Dollar - spot currency exchange rate ¥124.30000/$1.00000 Japanese interest rate 0.50% US interest rate 3.50% Currency forward rate ¥123.26050/$1.00000
Chapter20: Short-term Financing
Section: Chapter Questions
Problem 3BIC
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Give typing answer with explanation and conclusion
b) Mary recognises that an arbitrage opportunity exists and decides to borrow $1 million US dollars to purchase Japanese yen and sell 3-month forward to pay off US dollars denominated loan. Calculate the yen arbitrage profit from her strategy, using the data below and Japanese yen as the local currency. Show your calculations. [Hint: the strategy is for 3 months only]. Japanese Yen/US Dollar - spot currency exchange rate ¥124.30000/$1.00000 Japanese interest rate 0.50% US interest rate 3.50% Currency forward rate ¥123.26050/$1.00000
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