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28 Sep 2019
Takeshi Kamada â CIA Japan. 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 equivalent, in a covered interest arbitrage between U.S. dollars and Japanese yen. He faced the following exchange rate and interest rate quotes.
Arbitrage funds available $5,000,000
Spot rate (JPY/$) 118.60
180-day forward rate (JPY/$) 117.80
180-day U.S. dollar interest rate 4.800 %
180-day Japanese yen interest rate 3.400 %
Takeshi Kamada â CIA Japan. 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 equivalent, in a covered interest arbitrage between U.S. dollars and Japanese yen. He faced the following exchange rate and interest rate quotes.
Arbitrage funds available $5,000,000
Spot rate (JPY/$) 118.60
180-day forward rate (JPY/$) 117.80
180-day U.S. dollar interest rate 4.800 %
180-day Japanese yen interest rate 3.400 %
Read by 3 people
Hubert KochLv2
28 Sep 2019
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