Swiss investors, assuming that the amount of Swiss francs is a,

Now in the futures market, the two-month call futures of Swiss francs are 0.68a, and the obtained US dollars are invested in the US dollar market (interest rate is 0.07);

Two months later, we got 0.68a * (1+0.07/12) 2 in the dollar market.

Deliver the agreed futures at the agreed futures price of $0.70, that is, buy back Swiss francs.

Get 0.68a * (1+0.07/12) 2/0.7 (francs).

Extended data:

Arbitrage is also called "interest arbitrage". There are two main forms:

(1) No arbitrage. That is, using the interest rate difference between the capital markets of the two countries, short-term funds will be transferred from the low interest rate market to the high interest rate market to obtain spread income.

(2) arbitrage. That is to say, the arbitrageurs use forward foreign exchange transactions to avoid the risk of exchange rate changes while transferring short-term funds from place A to place B for arbitrage.

Arbitrage will change the relationship between supply and demand in different capital markets, make the short-term capital interest rates in different places tend to be consistent, narrow the difference between the recent exchange rate and the forward exchange rate of money, and keep the interest rate difference in the capital market in balance with the exchange rate difference in the foreign exchange market, thus objectively strengthening the integration of international financial markets.

However, a large number of arbitrage activities will lead to a large-scale international flow of short-term capital and aggravate the turmoil in the international financial market.