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A currency trader notices that the three-month forward

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The current spot CHF/USD rate is 1.3680CHF. The three-month USD interest rate is 1.05%, the three-month Swiss interest rate is 0.35%, both continuously compounded and per annum. A currency trader notices that the three-month forward price is USD 0.7350. In order to arbitrage, the trader should

A. Borrow CHF, buy USD spot, go long Swiss franc forward

B. Borrow CHF, sell Swiss franc spot, go short Swiss franc forward

C. Borrow USD, buy Swiss franc spot, go short Swiss franc forward

D. Borrow USD, sell USD spot, go long Swiss franc forward

Reference no: EM13569057

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