DERIVATIVES: R-48, Example-5 (b) and (c), Page-40

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Rukhshinda Khan

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May 22, 2013, 4:10:09 PM5/22/13

to 2013 CFA Level 2 Group

R-48, Example-5 (b) and (c), Page-40. Can anyone explain why F(0,T) = $ 1.75 (i.e. quoted rate) is taken in the calculation rather than forward price calculated in part A is $1.7418. As per my understanding, calculated forward price (arbitrage free) is considered to calculate value.

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Rukhshinda

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