I’m convinced the interest rates in this question are switched around. (However, I’ve been wrong before.)
In the problem, the domestic currency is Euros & foreign is GBP. In the formula for the arbitrage-free forward exchange rate, the UK interest rate should be in the denominator & the Euro interest rate in the numerator; the given answer has it flipped. Thoughts? |
发表于 2013-5-6 02:41
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