I've gotten into the habit of converting all forex related items in the curriculum to FCC. That said, I'm hoping someone can give me an answer to the following question that will lock down covered interest arbitrage for me.
If spot FCC x r(DC)/r(FC) > Forward FCC, do I borrow foreign or domestic for the arb?
E.g. Implied forward = 115 while forward is trading 110.
发表于 2011-7-13 13:28
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C. That said, I'm hoping someone can give me an answer to the following question that will lock down covered interest arbitrage for me.