Investments, tenth edition

com/markets/currencies/fxc.html   .  

 Forward exchange rates on currency futures contracts can be found at   www.cmegroup.

com/trading/fx/index.html   .  

    1.  Select one of these countries and record the yield on a short-term government security 

from the Bloomberg Web site. Also make note of the U.S. Treasury yield on an instru-

ment with the same maturity.  

   2.  Record the spot exchange rate from the Bloomberg site and the futures contract 

exchange rate from the CME Web site for the date closest to the maturity of the invest-

ment you chose in the previous step.  

   3.  Calculate the rate of return available on the foreign government security, converting the 

foreign currency transactions into dollars at the current and forward exchange rates.  

   4.  How well does interest rate parity seem to hold? Are there bargains to be found in 

other currencies? What factors might account for interest rate parity violation?