答案如下
The interest rate in Mexico is 8.02 percent and 7.45 percent in Canada. The spot rate between the Mexican peso and the Canadian dollar is 569.87 MXN/CAD, and the forward rate is 526.78 MXN/CAD. If arbitrage opportunities exist, how much would a person living in Mexico make borrowing 15,000,000 pesos or the equivalent in Canadian dollars?
A) 1,284,230 pesos.
B) 1,292,410 pesos.
C) 1,304,207 pesos.
D) No arbitrage opportunity exists.
answer
Your answer: C was correct!
Use the following formula to determine if an arbitrage opportunity exists and which currency to borrow.
if 1 + rD > [(1 + rF)(Forward rate)]/Spot rate then borrow foreign.
1.0802 > [(1.0745)(526.78)]/569.87.
1.0802 > 566.03/569.87.
1.0802 > 0.99326, therefore borrow foreign and lend domestic.
15000000×1.0802－15000000/569.87*1.0745*526.78=1,304,207
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发表于 2006-4-3 12:32
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