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3896金融与交易中等derivationmedium

Implied FX Basis 1

题目

Define an FX basis spread bb by F0=S0e(rdrfb)TF_0=S_0e^{(r_d-r_f-b)T}. If spot is 1.1, observed forward is 1.125, domestic rate is 0.04, foreign rate is 0.01, and maturity is 1, what is the implied basis bb?

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