FIN 4802

University of South Africa

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FIN4802 Assignment 1 ALL SOLUTION SPRING FALL-2022 LATEST 100% CORRECT GUARANTEED GRADE A+
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4

mei 2022

2021/2022
Question 1 James Clark is a foreign exchange trader with Citibank. He notices the following quotes. Spot exchange rate SFr1.2051/US$ 1 year forward exchange rate SFr1.1922/US$ 1 year US$ interest rate 1.25% per year 1 year SFr interest rate 3.75% per year 1.1 Is the interest rate parity holding? You may ignore transaction costs. [2] 1.2 Is there an arbitrage opportunity? If yes, show what steps need to be taken to make arbitrage profit. Assuming that James Clark is authorized t...
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