What arbitrage opportunities does this create

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Reference no: EM132033886

The two-month interest rates in Switzerland and the United States are 1% and 2% per annum, respectively, with continuous compounding. The spot price of the Swiss franc is $1.06.

The futures price for a contract deliverable in two months is $1.05. What arbitrage opportunities does this create?

Reference no: EM132033886

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