单选题
An investor examines the following rate quotes for the Brazilian real and the Australian dollar:
| Spot rate BRL/AUD | 2.1128 | BRL 1-year interest rate | 4.1% |
| orward rate BRL/AUD | 2.1388 | AUD 1-year interest rate | 3.1% |
If the investor shorts BRL500,000 he will achieve a risk-free arbitrage profit (in BRL) closest to:
【正确答案】
B
【答案解析】
B is correct. If the right side of the following equation is greater than the left, an arbitrage opportunity exists.
Ｓf/d = Spot rate: number of units of foreign currency (price currency) per one unit of domestic currency
Ff/d = Forward rate: number of units of foreign currency (price currency) per one unit of domestic currency
id = Domestic interest rate
if = Foreign interest rate
The arbitrage profit is the right side of the equation minus the left side.
Left side of equation: BRL500,000 × (1 + 0.041) = BRL520,500.
Right Side:
