The premium rate (annual rate) of Swiss francs: 0.0037 * 4/1.5341= 0.965%, which is less than the spread and can be arbitrage. Practice: Convert Swiss francs into US dollars for current investment, and then agree to sell the principal and interest of US dollar investment in the future. At maturity, the principal and interest of the US dollar investment will be recovered and the forward agreement will be implemented, minus the investment opportunity cost of Swiss francs.
11.5341* (1+8%/4) *1.5304-(1+5%/4) = 0.005040 Switzerland.
2. After 3 months, the Swiss franc will be discounted by 40 points, and the forward exchange rate1.5341.0040 =1.5381,and the currency with low interest rate will be discounted in the future, that is, exchange rate gains can be obtained at the same time as arbitrage gains. Practice as before, the unit Swiss franc arbitrage income:
1/ 1.534 1 * ( 1+8%/4) * 1.538 1-( 1+5%/4) = 0.0 10.