Question
1.Given the following three currency quotes given by a Tokyo bank and a London bank: 116.14/$ 161.92/ 0.7462/$ Please answer parts (a) and (b) in
1.Given the following three currency quotes given by a Tokyo bank and a London bank:
116.14/$
161.92/
0.7462/$
Please answer parts (a) and (b) in the order they are given.
a.Show whether there is an arbitrage opportunity implied in these three quotes.
b.Starting with a nominal $28 million, show how much arbitrage profit (if any) you can make by trading the currency at the given rates.
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Financial Markets and Institutions
Authors: Jeff Madura
12th edition
9781337515535, 1337099740, 1337515531, 978-1337099745
