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16 September, 18:26

You read in the paper that the 24-month forward is actually $0.0088/U. Explain in detail how to exploit the mispricing using only the following instruments: buying or selling US or Japanese 2-year zero-coupon bonds, and buying or selling the yen forward. Ignore transaction costs. If you could borrow only up to the equivalent of $1 million, how much money would you make

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  1. 16 September, 18:52
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    Answer: the answer is a
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