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Derivatives and Risk Management, 1st Edition
book

Derivatives and Risk Management, 1st Edition

by Sundaram Janakiramanan
May 2024
Intermediate to advanced content levelIntermediate to advanced
542 pages
27h 26m
English
Pearson India
Content preview from Derivatives and Risk Management, 1st Edition
58 Derivatives and Risk Management
90-day forward rate = e
0
×
1
1
INR
EUR
+
+
R
R
= 70 7242
1 022192
1 014795
.
.
.
×
= INR 71.2397
Rupee amount aer 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
=
70 7242
1 044384
1 029589
.
.
.
×
= INR 71.74046
Amount in Indian rupees aer 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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Publisher Resources

ISBN: 9781299447547Publisher Website