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What is Uncovered Interest Arbitrage Analysis about?

Takeshi Kamada, a foreign exchange trader at Credit Suisse in Tokyo, wants to invest $5 million in a covered interest arbitrage between US dollars and Japanese yen. The assumptions provide the exchange rates, interest rates, and yen equivalent for the $5 million. Kamada faces 118.60 yen per dollar spot rate, 117.80 six-month forward rate, 4.8% 180-day US interest rate, and 3.4% 180-day Japanese interest rate.

Author

Hà Vân

Language

EN