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Business, 19.02.2020 18:16 anggar20

You are given the following data on different rates with the same maturity (1.5 years), but quoted on a different basis and different compounding frequencies:

• Continuously compounded rate: 2.00% annualized rate

• Annually compounded rate: 2.10% annualized rate

• Semi-annually compounded rate: 2.01% annualized rate

You want to find an arbitrage opportunity among these rates. Is there any one that seems to be mispriced?

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