Compute the risk-free profit

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Problem - On Friday, March 12, 2021 at 4:00 PM EST, the CHF/USD exchange rate was 1.076 Dollars per Swiss Franc (you pay 1 Swiss Franc and receive 1.076 Dollars). The Swiss risk-free interest rate is -0.75%, while the US risk-free interest rate equals 0.10%. The forward rate on the CHF/USD currency pair with maturity in 1 year is 1.07 Dollars per Swiss Franc. Is there an arbitrage opportunity? If yes, compute the risk-free profit.

Reference no: EM132911300

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