Covered Interest Arbitrage Illustration 1


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Covered Interest Arbitrage Illustration 1

Consider the following and calculate the arbitrage gain possible:

€ 1.4528/£ Spot                 € 1.4538/£ 3 months forward

Interest Rates                    € 2.15% per annum. £ 4.9% per annum.

(Ans.: Borrow €, gain 7,572 € per million)


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