3901金融与交易中等derivationmedium
Covered Arbitrage Direction 1
题目
Spot is 1.1, the domestic rate is 4.00%, the foreign rate is 1.00%, maturity is 1 years, and the market forward is 1.16 under continuous compounding. Is the forward rich or cheap relative to CIP, and what covered-arbitrage profit is locked in per 1 unit of foreign currency notional?
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