018. A U.S. investor can. borrow dollars in New York at an 8 percent annual rate and invest .British pound sterling in London at a 13 percent annual rate. The spot rate for interest arbitrage profit closest to: A. $ 25,083. B. $ 30,387. C. $1.77,486. D. $185,0.83.
答案和详解如下：
Q18. A Study Session 6.31 .g Barrow US$2,000,000 ◎8%; amount due in one. year=US$2,160,000, Convert into pounds: US%2,000,000/1.81=1,104,972 Invest pounds◎13%; terminal value of investment in one year=1,248,619 Shell 1,248,619 forward ◎
1.75=$2,185.083, Profit=$2,185,083-$2,160,000=$25,083. Or($2,000,000/1.81*1.13 *1.75}－($2.000,000*1.08)=$25.083
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发表于 2007-11-7 09:46
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