Heidi Jensen, a foreign exchange trader at JP Morgan Chase, can invest $5M or the currency equivalent of the banks short term funds in a covered interest arbitrage with Denmark. using the following quotes, can Heidi make a CIA profit?
Arbitrage fund available: $5M
Spot Exchange rate (KR/$): 6.1720
3 Month forward rate (KR/$): 6.1980
U.S. Dollar 3 month interest rate: 3.00%
Danish Kroner 3 month interest rate: 5.00%