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3897金融与交易中等derivationmedium

Implied FX Basis 2

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 145, observed forward is 146.2, domestic rate is 0.02, foreign rate is 0.005, and maturity is 0.5, what is the implied basis bb?

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