Rupee amount aer 90 days = Amount in euros × forward rate
= 500,000 × 71.2397
= INR 35,619,850
Amount in Indian rupees from the 180-day forward contract:
180-day interest rate in euros = 6% ×
180
365
= 2.9589%
180-day interest rate in Indian rupees = 9% ×
180
365
= 4.4384%
180-day forward rate =
e
R
R
0
1
1
×
+
+
INR
EUR
=
707242
1044384
1029589
.
.
.
×
= INR 71.74046
Amount in Indian rupees aer 180 days = Amount in euros × forward rate
= 500,000 × 71.74046
= INR 35,870,230
4.6.4 Covered Interest Arbitrage
e ...
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