|
- UID
- 223426
- 帖子
- 324
- 主题
- 4
- 注册时间
- 2011-7-11
- 最后登录
- 2014-8-7
|
F = 2 $/CS * (1.05/1.03) = 2.038835 $/CS
CS overvalued in F mkt, $ undervalued in F mkt.
1. Borrow $1000, at t=1, owe 1000*1.05 = $1050
$1000 is equivalent to $1000* (1 CS/$2) = 500 CS
2. Lend 500 CS, at t=1, receive 500*1.03 = 515 CS
3. Sell 515 CS forward, 515 CS * ($2.1 / 1 CS) = $1081.5
Profit = $31.5
Correct? |
|
发表于 2011-7-11 19:26
|