Swap rate (median price) = [(0.0100+0.0080)/2 *12] *100%/[(1.5000+1.5020)
The interest rate difference here is obviously not higher than 5%. This is a typical covered interest arbitrage.
2. 1 10,000 Canadian dollars shall be converted into US dollars first =100/1.5020 *1.5000 = 99.867w.
Interest: 99.867 *10%/2 = 4.9934w.
Total * * * 99.867+4.9934 =104.8604w.
The exchange rate after six months is1.5000-0.0100/1.5020-0.0080 =1.4900/40.
Converted to CAD =104.86 *1.4900/1.4940 =104.5793 CAD.
In the same period, Canadian deposits received 100*0.05/2=2.5W after June.
Then the carry arbitrage is104.5793-102.5 = 2.0793 w CAD.
3. Yield = 2.0793 * 2/100 = 4.1586%
Landlord, I have worked very hard on this problem. I knocked for a long time. Give me more reward points. Thank you.
You studied banking, right? Read more books. (I counted it wrong several times before, but I recalculated it in tragedy. )