Problem 6-15 (algorithmic) IE Question Help Statoils Arbitrage. Statoil, the national oil company of Norway, is...
Casper Landsten-CIA (A). Casper Landsten is a foreign exchange trader for a bank in New York. He has $1.1 million (or its Swiss franc equivalent) for a short term money market investment and wonders if he should invest in U.S. dollars for three months, or make a CIA investment in the Swiss franc. He faces the following quotes: Arbitrage funds available $ 1,100,000 Spot exchange rate (SFr/$) 1.2814 3-month forward rate (SFr/$) 1.2736 U.S. Dollar annual interest rate 4.802 %...
Kamada: CIA Japan (A) Takeshi Kamada, a foreign exchange trader at Credit Suisse (Tokyo), is exploring covered interest arbitrage possibilities. He wants to invest $5,000,000 or its yen equivalentina covered interest arbitrage between US dollars and Japanese y. He faced the following exchange rate and interest rate quotes Is CIA profit possible? If so, how? Arbitrage funds available Spot rate (W/S) 180-day forward rate (1/5) U.S. dollar annual interest rate Japanese yen annual interest rate $ 5.000.000 118 59 117.86...