Sunday, May 16, 2010

covered interest rate parity

1 + rDC = (1 + rFC) * (forward rate)/(spot rate)

If
1 + rDC > (1 + rFC) * (forward rate)/(spot rate)
then borrow in FC and invest in DC.


forward rate, spot rate: DC/FC
Posted by Unknown at 4:03 PM
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