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1. You observe the following exchange rate quotes: $ 1.2100 EUR GBP 0.7421 /$ GBP 0.8800 / EUR If you start with $ 1 million,
1. You observe the following exchange rate quotes: $ 1.2100 EUR GBP 0.7421 /$ GBP 0.8800 / EUR If you start with $ 1 million, what arbitrage profit in dollars can you make using triangular arbitrage? 2. Given the following information, find the JPY profits you can make using covered interest arbitrage. Assume you can borrow either EUR 100.000 or JPY 12.603,000. EUR interest rate = 4% per year JPY interest rate 0.6940% per year S (JPY/EUR)= JPY 126.03 per EUR F (JPY/EUR) = JPY 111.21 per EUR for 1 year maturity
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Public Finance
Authors: Harvey Rosen, Ted Gayer
10th edition
9781259716874, 78021685, 1259716872, 978-0078021688
