Exchange rate = (0.0067+0.0050)/2 *12/[(1.54+1.5410)/2 * 3] =1.5]

Converting francs into dollars is beneficial to arbitrage.

Three-month forward exchange rate: USD 1 = Swiss franc (1.5400-0.0067)/(1.5410-0.0050) =1.5333/60.

Practice: convert Swiss francs into US dollars (exchange rate 1.54 10), invest in US dollars for three months, sign a forward agreement (exchange rate 1.5333), and sell the principal and interest of the US dollar investment that will be received after three months. After three months, the principal and interest of the US dollar are recovered, converted into Swiss francs according to the forward agreement, and the opportunity cost of Swiss francs is deducted, which is profit.

11.5410 * (1+7.5%/4) *1.5333-(1+4%/4) = 0.00366.

The unit Swiss franc can arbitrage 0.00366 Swiss franc.