tweety0930

(direct quote)

earning risk-free profit is possible buy borrowing yen, thus assuming borrowing 1 jpy for time period t, S (1+ R usd)^t - F (1 + R jpy)^t > 0

(unannualized) hedged japanese interest (relative) return = F (1+R jpy)^t / S < (1+ R usd)^t

(annualized) hedged jpy return =  F (1+R jpy) / S - 1 < R usd

[此贴子已经被作者于2009-2-11 16:04:18编辑过]